Some results about averaging in stochastic approximation

DOI10.1007/BF01894297MaRDI QIDQ1902154zbMATH OpenFDO

Authors Alain Le Breton, A. 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

confidence regionsaveraginggeneral linear regression modelmartingale structureintegrated squared deviation functionals

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(16)

• Deviation inequalities for stochastic approximation by averaging
• A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm
• About the averaging approach in Gaussian schemes for stochastic approximation
• scientific article; zbMATH DE number 4163846 (Why is no real title available?)
• scientific article; zbMATH DE number 5305397 (Why is no real title available?)
• On extensions of Polyak's averaging approach to stochastic approximation
• Averaging for estimating covariances in stochastic approximation
• The multivariate Révész's online estimator of a regression function and its averaging
• On averaging methods for identification of linear regression models
• The Robbins-Monro type stochastic differential equations. III: Polyak's averaging
• A Young Measures Approach to Averaging
• General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
• On stochastic approximation procedures with averaging
• scientific article; zbMATH DE number 4163835 (Why is no real title available?)
• On the mean square error of randomized averaging algorithms
• On the almost sure asymptotic behaviour of stochastic algorithm

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