Some results about averaging in stochastic approximation

DOI10.1007/BF01894297zbMath0834.62074MaRDI QIDQ1902154

Alain Le Breton, Alexander Novikov

Publication date: 8 April 1996

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176573

zbMATH Keywords

averagingconfidence regionsgeneral linear regression modelmartingale structureintegrated squared deviation functionals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20)

Related Items (5)

The multivariate Révész's online estimator of a regression function and its averaging ⋮ A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm ⋮ General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type ⋮ The Robbins-Monro type stochastic differential equations. III. Polyak's averaging ⋮ On the almost sure asymptotic behaviour of stochastic algorithm

Cites Work

• Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size
• Asymptotic properties of least-squares estimates in stochastic regression models
• A stopped stochastic approximation algorithm
• Adaptive design and stochastic approximation
• New method of stochastic approximation type
• A stopping rule for the Robbins-Monro method
• About Gaussian schemes in stochastic approximation
• About the averaging approach in Gaussian schemes for stochastic approximation
• Averaging for estimating covariances in stochastic approximation
• Correction to ? On a new stopping rule for stochastic approximation
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• On a new stopping rule for stochastic approximation
• On extensions of Polyak's averaging approach to stochastic approximation
• Acceleration of Stochastic Approximation by Averaging
• Stochastic optimization with averaging of trajectories
• Asymptotically efficient stochastic approximation
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean

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