Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations

DOI10.1081/SQA-120022081MaRDI QIDQ4429468zbMATH OpenOpenAlexFDO

Authors Victor Konev, Serguei Pergamenchtchikov

Publication date 25 September 2003

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sqa-120022081

zbMATH Keywords

algorithmsautoregressive sequencesroot findingstochastic approximationuniform convergenceunknown parameters

Mathematics Subject Classification ID

Stochastic approximation (62L20) Approximation methods and heuristics in mathematical programming (90C59)

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Cites work

• A new dynamic stochastic approximation procedure
• A Newton-Raphson version of the multivariate Robbins-Monro procedure
• A Stochastic Approximation Method
• Adaptive design and stochastic approximation
• Asymptotic Distribution of Stochastic Approximation Procedures
• Estimators with prescribed Precision in Stochastic regression models
• General convergence results for stochastic approximations via weak convergence theory
• scientific article; zbMATH DE number 777603 (Why is no real title available?)
• On Asymptotic Normality in Stochastic Approximation
• On guaranteed estimation of the mean of an autoregressive process
• On sequential estimation of an autoregressive parameter
• Stochastic approximation with dependent noise
• Strong convergence of a stochastic approximation algorithm

Cited in

(12)

• Edgeworth expansions for stochastic approximation theory
• Asymptotic properties of quasi-optimal algorithms of stochastic approximation under unknown density of noise
• Estimation of the minimum point of an unknown function observed in the presence of dependent noise
• Estimation of regression parameters with arbitrary noise
• scientific article; zbMATH DE number 4130299 (Why is no real title available?)
• scientific article; zbMATH DE number 4043678 (Why is no real title available?)
• scientific article; zbMATH DE number 1944272 (Why is no real title available?)
• Sequential estimation in a subclass of exponential family under weighted squared error loss
• On a discrete stochastic approximation and its application to data analysis
• Stochastic approximation and compound delayed observations with independent random time delay distribution
• scientific article; zbMATH DE number 903864 (Why is no real title available?)
• Polyak's method based on the stochastic Lyapunov function for justifying the consistency of estimates produced by a stochastic approximation search algorithm under an unknown-but-bounded noise

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