A Bayesian stochastic approximation method

DOI10.1016/J.JSPI.2020.07.006zbMATH Open1455.62161arXiv1705.02069OpenAlexW3082464988MaRDI QIDQ826995FDOQ826995

Cui Xiong, Jin Xu, Rongji Mu

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Motivated by the goal of improving the efficiency of small sample design, we propose a novel Bayesian stochastic approximation method to estimate the root of a regression function. The method features adaptive local modelling and nonrecursive iteration. Strong consistency of the Bayes estimator is obtained. Simulation studies show that our method is superior in finite-sample performance to Robbins--Monro type procedures. Extensions to searching for extrema and a version of generalized multivariate quantile are presented.

Full work available at URL: https://arxiv.org/abs/1705.02069

zbMATH Keywords

stochastic approximationquantile estimationadaptive designRobbins-Monro process

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Sequential statistical design (62L05) Response surface designs (62K20) Stochastic approximation (62L20)

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Cited In (4)

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