Truncated stochastic approximation with moving bounds: convergence

DOI10.1007/S11203-014-9093-6MaRDI QIDQ398576zbMATH OpenOpenAlexFDO

Authors Teo Sharia

Publication date 15 August 2014

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.0031

zbMATH Keywords

parameter estimationrecursive estimationstochastic approximation

Mathematics Subject Classification ID

Point estimation (62F10) Sequential estimation (62L12) Stochastic approximation (62L20)

Abstract: In this paper we propose a wide class of truncated stochastic approximation procedures with moving random bounds. While we believe that the proposed class of procedures will find its way to a wider range of applications, the main motivation is to accommodate applications to parametric statistical estimation theory. Our class of stochastic approximation procedures has three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and dynamically changing random regression function. We establish convergence and consider several examples to illustrate the results.

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Cited in

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