Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes

Chung-Ming Kuan () and Halbert White

Econometrica, 1994, vol. 62, issue 5, 1087-1114

Abstract: The authors provide a convergence theory for adaptive learning algorithms useful for the study of learning by economic agents. Their results extend the framework of L. Ljung previously utilized by A. Marcet-T. J. Sargent and M. Woodford by permitting nonlinear laws of motion driven by stochastic processes that may exhibit moderate dependence, such as mixing and mixingale processes. The authors draw on previous work by H. J. Kushner and D. S. Clark to provide readily verifiable and/or interpretable conditions ensuring algorithm convergence, chosen for their suitability in the context of adaptive learning. Copyright 1994 by The Econometric Society.

Date: 1994
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