Exponential inequalities for the Robbins–Monro’s algorithm under mixing condition

Samir Rahmani and Abdelnasser Dahmani

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 2, 520-528

Abstract: In this work, we establish exponential inequalities for the Robbins–Monro’s algorithm with ψ-mixing variables, and we give a result on the almost complete convergence rate.

Date: 2016
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DOI: 10.1080/03610926.2013.830751

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