Exponential inequalities for the Robbins–Monro’s algorithm under mixing condition

DOI10.1080/03610926.2013.830751MaRDI QIDQ2807700zbMATH OpenOpenAlexFDO

Authors Samir Rahmani, Abdelnasser Dahmani

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.830751

zbMATH Keywords

Robbins-Monro algorithmconvergence rate\(\psi\)-mixing

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic approximation (62L20) Strong limit theorems (60F15)

Cites work

• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• Contributions to Central Limit Theory for Dependent Variables

Cited in

(2)

• Robbins-Monro algorithm with \(\psi\)-mixing random errors
• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds

This page was built for publication: Exponential inequalities for the Robbins–Monro’s algorithm under mixing condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807700)