On a discrete stochastic approximation and its application to data analysis

DOI10.1515/156939603322587452zbMATH Open1044.65008OpenAlexW2092544208MaRDI QIDQ4457880FDOQ4457880

Shuhei Ogihara, Shigeyoshi Ogawa

Publication date: 17 March 2004

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939603322587452

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zbMATH Keywords

parameter estimationconvergencedata analysiserror estimatesstochastic differential equationsnoisy observationdiscrete stochastic approximationobserved value sequencestarting point detection

Mathematics Subject Classification ID

Point estimation (62F10) Stochastic approximation (62L20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Approximation Methods which Converge with Probability one

Cited In (3)

• Stochastic approximation - A powerful method for solving deterministic numerical problems
• Adapting the Warmack-Gonzalez algorithm to handle discrete data.
• A general algorithm for covariance modeling of discrete data

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