Stochastic approximation with dependent noise

V. Solo

Stochastic Processes and their Applications, 1982, vol. 13, issue 2, 157-170

Abstract: In this work we derive the usual limit laws (weak and strong convergence, central limit theorem, invariance principle) for stochastic approximation with stationary noise. The idea is to introduce an artificial sequence, related to the SA scheme, but which clearly obeys the desired limit law. This sequence is subtracted from the SA scheme and the remainder, which behaves more or less deterministically, is shown to vanish using simple limit arguments.

Keywords: Stochastic; approximation; invariance; principle; autocorrelated; errors (search for similar items in EconPapers)
Date: 1982
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