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

DOI10.1080/03610926.2013.830751zbMATH Open1338.60062OpenAlexW1966299987MaRDI QIDQ2807700FDOQ2807700

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

Cited In (2)

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

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