Convergence of a Robbins-Monro Algorithm for Recursive Estimation with Non-Monotone Weights for a Function with a Restricted Domain and Multiple Zeros

DOI10.1177/0008068320050501zbMATH Open1083.62074OpenAlexW2514875328MaRDI QIDQ3375982FDOQ3375982

Authors: David F. Findley 

Publication date: 17 March 2006

Published in: Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/0008068320050501

Recommendations

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• Necessary and sufficient conditions for the Robbins-Monro method

zbMATH Keywords

incorrect modelsmoving average models

Mathematics Subject Classification ID

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

Cited In (3)

• Recursive estimation of possibly misspecified MA(1) models: convergence of a general algorithm
• Convergence from below of the modified Robbins-Monro procedure
• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds

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