Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space

DOI10.2202/1558-3708.1000MaRDI QIDQ3368286zbMATH OpenOpenAlexFDO

Authors Xiaohong Chen, Halbert White

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/4z4380t7

zbMATH Keywords

convergence ratelimiting distributionsHilbert-valued near epoch dependent processesHilbert-valued Robbins-Monro proceduresnonparametric learning proceduresnonparametric recursive moment estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of functional analysis in probability theory and statistics (46N30) Stochastic approximation (62L20) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

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(6)

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• Stochastic forward-backward splitting for monotone inclusions
• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space
• Uncertainty quantification for stochastic approximation limits using chaos expansion
• An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space
• Projected stochastic gradients for convex constrained problems in Hilbert spaces

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