scientific article; zbMATH DE number 976356

zbMath0868.62069MaRDI QIDQ4331760

Marie Duflo

Publication date: 5 February 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

identificationcontrollabilityrate of convergencetrackingstabilizationmartingalesbibliographyconvergence in distributioncausalityautoregressive modelsexcitationstochastic algorithmsregressionexamplesARMALyapunov function methoddiscrete-time modelsMarkov chain modelsrecursive methodsinfinite-horizon controlRobbins-Monro algorithmcontrolled Markov chainssequential statisticsrecurrence of Markov chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems and control (93E99) Sequential statistical methods (62L99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic approximation (62L20) Probabilistic methods, stochastic differential equations (65C99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

Related Items (only showing first 100 items - show all)

Recursive regression estimation based on the two-time-scale stochastic approximation method and Bernstein polynomials ⋮ Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: \(L^p\) and almost sure rates of convergence ⋮ Statistical study of asymmetry in cell lineage data ⋮ Importance sampling and statistical Romberg method for Lévy processes ⋮ Computation of sensitivities for the invariant measure of a parameter dependent diffusion ⋮ Central limit theorems for iterated random Lipschitz mappings. ⋮ Convergence rate of linear two-time-scale stochastic approximation. ⋮ Practical drift conditions for subgeometric rates of convergence. ⋮ Nonparametric relative recursive regression ⋮ Automatic bandwidth selection for recursive kernel density estimators with length-biased data ⋮ Asymptotic results with estimating equations for time-evolving clustered data ⋮ Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes ⋮ Weighted multilevel Langevin simulation of invariant measures ⋮ An adaptive scheme for the approximation of dissipative systems ⋮ Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator ⋮ Random rounded integer-valued autoregressive conditional heteroskedastic process ⋮ On the ergodicity properties of some adaptive MCMC algorithms ⋮ Randomized urn models revisited using stochastic approximation ⋮ On the elephant random walk with stops playing hide and seek with the Mittag-Leffler distribution ⋮ Trajectory averaging for stochastic approximation MCMC algorithms ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Recursive estimation in a class of models of deformation ⋮ Modeling nonlinearities with mixtures-of-experts of time series models ⋮ Asymptotic theory for curve-crossing analysis ⋮ Further results on the \(h\)-test of Durbin for stable autoregressive processes ⋮ A generalized urn with multiple drawing and random addition ⋮ Persistence of structured populations in random environments ⋮ A space quantization method for numerical integration ⋮ Descent algorithm for nonsmooth stochastic multiobjective optimization ⋮ Revisiting the estimation of the error density in functional autoregressive models ⋮ Multidimensional renewal theory in the non-centered case: application to strongly ergodic Markov chains ⋮ A new concept of strong controllability via the Schur complement for ARX models in adaptive tracking ⋮ Predictive neuro-control of uncertain systems: Design and use of a neuro-optimizer ⋮ Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise ⋮ Stochastic heavy ball ⋮ A fast and recursive algorithm for clustering large datasets with \(k\)-medians ⋮ Recursive estimation of the conditional geometric median in Hilbert spaces ⋮ Parameters estimation for asymmetric bifurcating autoregressive processes with missing data ⋮ A Robbins-Monro procedure for estimation in semiparametric regression models ⋮ Asymmetry tests for bifurcating auto-regressive processes with missing data ⋮ Stabilization of stochastic approximation by step size adaptation ⋮ Approximation of stationary solutions of Gaussian driven stochastic differential equations ⋮ Generalization of a result of Fabian on the asymptotic normality of stochastic approximation ⋮ On the adaptive wavelet deconvolution of a density for strong mixing sequences ⋮ Weighted estimation and tracking for Bienaymé Galton Watson processes with adaptive control ⋮ Self-excited hysteretic negative binomial autoregression ⋮ Nonparametric approach to identifying NARX systems ⋮ Widening the scope of an eigenvector stochastic approximation process and application to streaming PCA and related methods ⋮ Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff ⋮ A simple Markovian individual-based model as a means of understanding forest dynamics ⋮ Non asymptotic controls on a recursive superquantile approximation ⋮ Change detection for uncertain autoregressive dynamic models through nonparametric estimation ⋮ Qualitative properties of certain piecewise deterministic Markov processes ⋮ Reinforced random walks under memory lapses ⋮ Weakly dependent chains with infinite memory ⋮ On the center of mass of the elephant random walk ⋮ Popularity signals in trial-offer markets with social influence and position bias ⋮ Multiclass classification and gene selection with a stochastic algorithm ⋮ A renewal theorem for strongly ergodic Markov chains in dimension \(d \geq 3\) and centered case ⋮ A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes ⋮ Experiments with the site frequency spectrum ⋮ The stochastic approximation method for estimation of a distribution function ⋮ Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm ⋮ Adaptive designs and Robbins-Monro algorithm ⋮ Nonlinear randomized urn models: a stochastic approximation viewpoint ⋮ On the convergence of reinforcement learning ⋮ Unconstrained recursive importance sampling ⋮ Dwell-time control sets and applications to the stability analysis of linear switched systems ⋮ A test of correlation in the random coefficients of an autoregressive process ⋮ Rate of convergence in the central limit theorem for strongly ergodic Markov chains ⋮ Stochastic approximation algorithms for superquantiles estimation ⋮ On the recurrence set of planar Markov random walks ⋮ A new approach on recursive and non-recursive SIR methods ⋮ Convergence of a stochastic approximation version of the EM algorithm ⋮ The stochastic approximation method for the estimation of a multivariate probability density ⋮ Inference for the degree distributions of preferential attachment networks with zero-degree nodes ⋮ Moderate deviations in a class of stable but nearly unstable processes ⋮ A stochastic approximation view of boosting ⋮ New insights on the reinforced elephant random walk using a martingale approach ⋮ On the multi-dimensional elephant random walk ⋮ Online estimation of the asymptotic variance for averaged stochastic gradient algorithms ⋮ How often does a Harris recurrent Markov chain recur? ⋮ Predictive control of discrete time stochastic nonlinear state space dynamical systems: a particle nonparametric approach ⋮ Nearest neighbor conditional estimation for Harris recurrent Markov chains ⋮ Conditional quantile sequential estimation for stochastic codes ⋮ Recursive kernel density estimation and optimal bandwidth selection under \(\alpha\): mixing data ⋮ Testing linearity for NARX models ⋮ Dimension reduction in recurrent networks by canonicalization ⋮ Almost sure convergence of randomized urn models with application to elephant random walk ⋮ Joint invariance principles for random walks with positively and negatively reinforced steps ⋮ A martingale approach for Pólya urn processes ⋮ Stochastic approximation algorithms with constant step size whose average is cooperative ⋮ Implementing adaptive nonlinear models ⋮ Towards a nonparametric test of linearity for times series ⋮ Introducing smooth amnesia to the memory of the elephant random walk ⋮ Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection ⋮ Limit theorems for bifurcating integer-valued autoregressive processes ⋮ On the almost sure convergence of adaptive allocation procedures ⋮ Blind channel identification via stochastic approximation: constant step-size algorithms ⋮ Identification of multitype branching processes

This page was built for publication: