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- Renlund, Henrik,1979-Uppsala universitet,Matematisk statistik (author)
Limit theorems for stochastic approximation algorithms.
- BookEnglish2011
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- 2011
- 26 s.
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:uu-145343
- https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-145343URI
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- Language:English
- Summary in:English
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- U.U.D.M ;2011:6
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- We prove a central limit theorem applicable to one dimensional stochastic approximation algorithms that converge to a point where the error terms of the algorithm do not vanish. We show how this applies to a certain class of these algorithms that in particular covers a generalized Pólya urn model, which is also discussed. In addition, we show how to scale these algorithms in some cases where we cannot determine the limiting distribution but expect it to be non-normal.
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- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- stochastic approximation algorithms
- central limit theorem
- generalized Polya urn
- Mathematical statistics
- Matematisk statistik
- Mathematical Statistics
- Matematisk statistik
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- Uppsala universitetMatematisk statistik (creator_code:org_t)
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