Higher order representations of the Robbins-Monro process

Jürgen Dippon

Journal of Multivariate Analysis, 2004, vol. 90, issue 2, 301-326

Abstract: For quasi-linear regression functions, the Robbins-Monro process Xn is decomposed in a sum of a linear form and a quadratic form both defined in the observation errors. Under regularity conditions, the remainder term is of order O(n-3/2) with respect to the Lp-norm. If a cubic form is added, the remainder term can be improved up to an order of O(n-2). As a corollary the expectation of Xn is expanded up to an error of order O(n-2). This is used to correct the bias of Xn up to an error of order O(n-3/2 log n).

Keywords: Stochastic; approximation; Robbins-Monro; procedure; Non-recursive; representation; Asymptotic; expansion; Bias; correction (search for similar items in EconPapers)
Date: 2004
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