An almost sure invariance principle for stochastic approximation procedures in linear filtering theory

DOI10.1214/AOAP/1034625339zbMATH Open0877.62078OpenAlexW1980654622MaRDI QIDQ1364396FDOQ1364396

Authors: Erich Berger 

Publication date: 25 August 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034625339

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zbMATH Keywords

linear filteringalmost sure invariance principles

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)

Cites Work

• An invariance principle for the Robbins-Monro process in a Hilbert space
• An invariance principle for the law of the iterated logarithm
• On Asymptotic Normality in Stochastic Approximation
• An almost sure invariance principle for stationary ergodic sequences of Banach space valued random variables
• Asymptotic behaviour of a class of stochastic approximation procedures
• Convergence of the Robbins-Monro method for linear problems in a Banach space
• Title not available (Why is that?)
• On the interrelation of almost sure invariance principles for certain stochastic adaptive algorithms and for partial sums of random variables
• Rates of Convergence for an Adaptive Filtering Algorithm Driven by Stationary Dependent Data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (2)

• Convergence rates and decoupling in linear stochastic approximation algorithms
• Stochastic algorithms for computing means of probability measures

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