This is their implementation in SAS: https://www3.nd.edu/~scorwin/HILOW_Estimator_Sample_002.sasThis is my translation into R:# --- # ### 2. CALCULATE BID-ASK-SPREAD ### # --- # ### 2.1 AGGREGATE TRADES BY DAY # To calculate...
Self-tuningIn this paper we present a self-tuning EWMA mean estimator and its application in R2R (run-to-run or run-by-run) control. The self-tuning controller, capable of estimating the process mean dynamically in response to the underlying process disturbances, consists of two modules: ...
Adaptive Kalman Filtering with Recursive Noise Estimator for Integrated SINS/DVL Systems This paper considers the estimation of the process state and noise parameters when the statistics of the process and measurement noise are unknown or time ... G Wei,J Li,G Zhou,... - 《Journal of Navigatio...
We study the stochastic properties of the two-sample naive estimator conditional on the ancillary statistics, the observed treatment allocation proportions and/or the stratum sizes, and present a biased-adjusted estimator. This adjusted estimator is asymptotically equivalent to the augmentation estimators ...