Averaging for estimating covariances in stochastic approximation

zbMath0826.60029MaRDI QIDQ1894109

Alain Le Breton, Alexander Novikov

Publication date: 29 November 1995

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

Gaussian martingalesestimating covariancesmultidimensional linear stochastic approximation proceduresstrongly consistent procedure

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05) Stochastic approximation (62L20)

Related Items (3)

Some results about averaging in stochastic approximation ⋮ Semimartingale stochastic approximation procedure and recursive estimation ⋮ On the almost sure asymptotic behaviour of stochastic algorithm

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