Some convergence theorems for RM algorithm

Zhen Wang, Jianyong Mu and Yu Miao

Statistics & Probability Letters, 2015, vol. 99, issue C, 54-60

Abstract: In this paper, we consider the multi-dimensional Kesten algorithm studied in Xu and Dai (2012). The convergence in rth mean for the algorithm is established under the weaker assumptions than Xu and Dai (2012). Moreover, we obtain also the almost sure convergence of the algorithm under the conditions of Xu and Dai (2012).

Keywords: Stochastic approximation; Robbins–Monro algorithm (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.12.023

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