Stochastic approximation from ergodic sample for linear regression

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Abstract

Robbins-Monro stochastic approximation procedure {Mathematical expression} is used to solve the linear equation Ax=y in Hilbert space, where yn and An are estimators such that their arithmetic means converge to y and A, respectively. Under some additional conditions it is shown that Xn goes to the unique solution of this equation.

Original languageEnglish
Pages (from-to)47-55
Number of pages9
JournalZeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
Volume54
Issue number1
DOIs
Publication statusPublished - Jan 1 1980

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ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability
  • Mathematics(all)

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