An Almost Sure Central Limit Theorem for Stochastic Approximation Algorithms

Mariane Pelletier

Journal of Multivariate Analysis, 1999, vol. 71, issue 1, 76-93

Abstract: We prove an almost sure central limit theorem for some multidimensional stochastic algorithms used for the search of zeros of a function and known to satisfy a central limit theorem. The almost sure version of the central limit theorem requires either a logarithmic empirical mean (in the same way as in the case of independent identically distributed variables) or another scale, depending on the choice of the algorithm gains.

Keywords: Stochastic; approximation; algorithms; central; limit; theorem; almost; sure; invariance; principles (search for similar items in EconPapers)
Date: 1999
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