Some convergence theorems for RM algorithm

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).

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Year of publication:	2015
Authors:	Wang, Zhen ; Mu, Jianyong ; Miao, Yu
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 54-60
Publisher:	Elsevier
Subject:	Stochastic approximation \| Robbins–Monro algorithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011208316