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  • Search: subject:"Robbins–Monro"
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Year of publication
Subject
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stochastic approximation 5 Stochastic approximation 4 Robbins-Monro algorithm 3 Algorithm 2 Algorithmus 2 Hilbert-valued Near Epoch Dependent processes 2 Hilbert-valued Robbins-Monro procedures 2 Monte-Carlo-Simulation 2 Nonparametric recursive moment estimations 2 Robbins–Monro algorithm 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 convergence rate 2 limiting distributions 2 nonparametric learning procedures 2 simulation 2 stochastic optimization 2 1] initial value problem 1 1] martingales in D[0 1 1] strong theorems invariance principles Gaussian process Brownian motion in C[0 1 Analysis 1 Applied statistics 1 Averaging 1 CVaR 1 Comparative analysis 1 Composite indicators 1 Consumer behaviour 1 Cultural sector 1 Cultural statistics 1 Culture 1 EU countries 1 EU-Staaten 1 Esscher transform 1 Eurostat 1 Finanzmathematik 1 Gain function 1 Genetic matching 1 Harris recurrence 1
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Online availability
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Undetermined 17 Free 1
Type of publication
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Article 17 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 research-article 1
Language
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Undetermined 14 English 6
Author
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Chen, Xiaohong 2 Walk, Harro 2 White, Halbert 2 Andradóttir, Sigrún 1 Andradöttir, Sigrún 1 Bardou, O. 1 Berbeglia, Franco 1 Berbeglia, Gerardo 1 Brown, David 1 Cardot, Hervé 1 Cénac, Peggy 1 De Diego, Sergio 1 Egloff, Daniel 1 Fei, W. 1 Feng, Jianfeng 1 Ferreira, Eva 1 Frikha, N. 1 Georgii, Hans-Otto 1 Jöhri, Stephan 1 Kohler, Michael 1 Krzyżak, Adam 1 LI, YINGYING 1 Leippold, Markus 1 Maldonado, Felipe 1 Miao, Yu 1 Monnez, Jean-Marie 1 Moser, B. 1 Mu, Jianyong 1 Nielsen, Erland Hejn 1 Nualart, Eulàlia 1 PATILEA, Valentin 1 Pagès, Gilles 1 Peace, Karl 1 RENAULT, Eric 1 Schwabe, Rainer 1 Srakar, Andrej 1 Tsai, Kao-Tai 1 Van Hentenryck, Pascal 1 Verbič, Miroslav 1 Walk, H. 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Institut for Marketing og Organisation, Aarhus Universitet 1 Institut für Schweizerisches Bankwesen <Zürich> 1
Published in...
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Management Science 2 Metrika 2 Statistics & Probability Letters 2 Studies in Nonlinear Dynamics & Econometrics 2 Asia-Pacific Journal of Operational Research (APJOR) 1 CORE Discussion Papers 1 Computational Statistics & Data Analysis 1 European journal of operational research : EJOR 1 Institut für Schweizerisches Bankwesen Zürich - Working Paper Series 1 Journal of Causal Inference 1 Journal of Multivariate Analysis 1 Journal of cultural economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Physica A: Statistical Mechanics and its Applications 1 The journal of computational finance 1 Working Paper 1 Working Papers / Institut for Marketing og Organisation, Aarhus Universitet 1
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Source
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RePEc 14 ECONIS (ZBW) 4 USB Cologne (business full texts) 1 Other ZBW resources 1
Showing 1 - 10 of 20
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Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
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Popularity signals in trial-offer markets with social influence and position bias
Maldonado, Felipe; Van Hentenryck, Pascal; Berbeglia, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 775-793
Persistent link: https://www.econbiz.de/10011811934
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European cultural statistics in a comparative perspective : index of economic and social condition of culture for the EU countries
Srakar, Andrej; Čopič, Vesna; Verbič, Miroslav - In: Journal of cultural economics 42 (2018) 2, pp. 163-199
Persistent link: https://www.econbiz.de/10012007428
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CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
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Some convergence theorems for RM algorithm
Wang, Zhen; Mu, Jianyong; Miao, Yu - In: Statistics & Probability Letters 99 (2015) C, pp. 54-60
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...
Persistent link: https://www.econbiz.de/10011208316
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SIMULATION-BASED OPTIMIZATION BY NEW STOCHASTIC APPROXIMATION ALGORITHM
XU, ZI; LI, YINGYING; ZHAO, XINGFANG - In: Asia-Pacific Journal of Operational Research (APJOR) 31 (2014) 04, pp. 1450026-1
classical Robbins–Monro (RM) algorithm and several other existing algorithms for one noisy nonlinear function minimization …
Persistent link: https://www.econbiz.de/10010888464
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Nonparametric recursive quantile estimation
Kohler, Michael; Krzyżak, Adam; Walk, Harro - In: Statistics & Probability Letters 93 (2014) C, pp. 102-107
-times continuously differentiable. It is shown that an importance sampling Robbins–Monro type quantile estimate achieves for 0<p≤d the …
Persistent link: https://www.econbiz.de/10011039780
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Analysis of Subgroup Data of Clinical Trials
Tsai, Kao-Tai; Peace, Karl - In: Journal of Causal Inference 1 (2013) 2, pp. 193-207
confidence intervals whose limits are determined using the Robbins–Monro stochastic approximation. Data from a recent clinical …
Persistent link: https://www.econbiz.de/10014610788
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A fast and recursive algorithm for clustering large datasets with k-medians
Cardot, Hervé; Cénac, Peggy; Monnez, Jean-Marie - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1434-1449
Clustering with fast algorithms large samples of high dimensional data is an important challenge in computational statistics. A new class of recursive stochastic gradient algorithms designed for the k-medians loss criterion is proposed. By their recursive nature, these algorithms are very fast...
Persistent link: https://www.econbiz.de/10010577715
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Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
Chen, Xiaohong; White, Halbert - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 1, pp. 1000-1000
observed with noise, we consider two modified Robbins-Monro procedures to estimate the zero point ?o ( H of M. These procedures …
Persistent link: https://www.econbiz.de/10004966197
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