An invariance principle for the Robbins-Monro process in a Hilbert space

DOI10.1007/BF00535182zbMath0342.62060MaRDI QIDQ4110499

Harro Walk

Publication date: 1977

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic approximation (62L20) Convergence of probability measures (60B10)

Related Items (32)

On a new stopping rule for stochastic approximation ⋮ Higher order representations of the Robbins--Monro process ⋮ Central limit theorems for weighted sums of dependent random vectors in Hilbert spaces via the theory of the regular variation ⋮ A stochastic Remes algorithm ⋮ Convergence of recursive procedures with a random response time ⋮ Choices and intervals ⋮ On the rate of convergence in the martingale CLT ⋮ An almost sure invariance principle for stochastic approximation procedures in linear filtering theory ⋮ The local asymptotic minimax adaptive property of a recursive estimate ⋮ On h–valued stochastic approximation: finite dimenstional projections ⋮ Abstract stochastic approximations and applications ⋮ Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning ⋮ Stochastic fictitious play with continuous action sets ⋮ Artificial neural networks: an econometric perspective^∗ ⋮ Newsvendor-type models with decision-dependent uncertainty ⋮ Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion ⋮ On H-valued Robbins-Monro processes ⋮ Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space ⋮ Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm ⋮ Asymptotic behavior for the Robbins–Monro process ⋮ A functional central limit theorem for Hilbert-valued martingales ⋮ Weak convergence in the functional autoregressive model ⋮ Nonparametric tests for conditional symmetry ⋮ Martingales and the Robbins-Monro procedure in \(D[0,1\)] ⋮ Edgeworth expansions for stochastic approximation theory ⋮ Asymptotic expansions of the Robbins-Monro process ⋮ Stochastic approximation and the final value theorem ⋮ Sequential block bootstrap in a Hilbert space with application to change point analysis ⋮ The conditional central limit theorem in Hilbert spaces. ⋮ Maximum-likelihood asymptotic inference for autoregressive Hilbertian processes ⋮ An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space ⋮ Asymptotic behaviour of a class of stochastic approximation procedures

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