An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space

Rainer Nixdorf

Journal of Multivariate Analysis, 1984, vol. 15, issue 2, 252-260

Abstract: For the application of the classical Robbins-Monro procedure in a Hilbert space the statistician generally has to observe infinite dimensional vectors. A modified procedure is proposed, which works in appropriate finite dimensional subspaces of growing dimension. For this procedure an invariance principle is given together with some applications.

Keywords: stochastic; approximation; Robbins-Monro; process; invariance; principles (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (2)

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