Wear convergence of stochastic approximation processes with random indices
作者:
Edward W. Frees,
期刊:
Sequential Analysis
(Taylor Available online 1985)
卷期:
Volume 4,
issue 1-2
页码: 59-82
ISSN:0747-4946
年代: 1985
DOI:10.1080/07474948508836072
出版商: Marcel Dekker, Inc.
关键词: strong approximations;mode estimation;stopping times
数据来源: Taylor
摘要:
Conditions are given for weak convergence through random indices of a general stochastic approximation process which includes the Robbins-Monro and Kiefer-Wolfowitz processes. For a particular index, a sequential fixed-width bounded length confidence interval for the parameter being estimated is established. As an example, an optimal recursive estimator and confidence interval for the mode of a distribution function is constructed.
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