Semimartingale Stochastic Approximation Procedures and Recursive Estimation

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dc.creatorLazrieva, N.
dc.creatorSharia, T.
dc.creatorToronjadze, T.
dc.date2007-05-12
dc.date.accessioned2026-07-07T08:01:18Z
dc.date.available2026-07-07T08:01:18Z
dc.descriptionThe semimartingale stochastic approximation procedure, namely, the Robbins-Monro type SDE is introduced which naturally includes both generalized stochastic approximation algorithms with martingale noises and recursive parameter estimation procedures for statistical models associated with semimartingales. General results concerning the asymptotic behaviour of the solution are presented. In particular, the conditions ensuring the convergence, rate of convergence and asymptotic expansion are established. The results concerning the Polyak weighted averaging procedure are also presented.
dc.description62 pages, no figures
dc.identifierhttps://arxiv.org/abs/0705.1794
dc.identifierhttp://arxiv.org/abs/0705.1794
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/128871
dc.subjectProbability
dc.subjectStatistics Theory
dc.titleSemimartingale Stochastic Approximation Procedures and Recursive Estimation
dc.typetext

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