A limit theorem for the Robbins-Monro approximation

DOI10.1007/BF00736010zbMath0253.62046OpenAlexW2076742758MaRDI QIDQ5667394

Pál Révész, Péter Major

Publication date: 1973

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00736010

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stochastic approximation (62L20)

Cites Work

• Unnamed Item
• On Dvoretzky Stochastic Approximation Theorems
• On Asymptotic Normality in Stochastic Approximation
• Normal approximation and large deviations for the Robbins-Monro Process
• Asymptotic Distribution of Stochastic Approximation Procedures
• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• On a Stochastic Approximation Method

Related Items (14)

An estimate for the convergence rate of the Robbins-Monro process ⋮ Asymptotic confidence regions of stochastic approximation procedures in Hilbert spaces ⋮ On the choice of step size in the Robbins-Monro procedure ⋮ Unnamed Item ⋮ Recursive M-estimators of location ⋮ Asymptotically efficient recursive estimation for incomplete data models using the observed information. ⋮ Asymptotic behavior for the Robbins–Monro process ⋮ Parallel and bootstrapped stochastic approximation ⋮ Isotonic estimation in stochastic approximation ⋮ Lower error bounds for the stochastic gradient descent optimization algorithm: sharp convergence rates for slowly and fast decaying learning rates ⋮ Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size ⋮ Stochastic approximation and the final value theorem ⋮ Asymptotic behaviour of a class of stochastic approximation procedures ⋮ Stochastic approximation models in estimating productivity

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