On the convergence of moments in the almost sure central limit theorem for stochastic approximation algorithms

Peggy Cénac

ESAIM: Probability and Statistics (2013)

  • Volume: 17, page 179-194
  • ISSN: 1292-8100

Abstract

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We study the almost sure asymptotic behaviour of stochastic approximation algorithms for the search of zero of a real function. The quadratic strong law of large numbers is extended to the powers greater than one. In other words, the convergence of moments in the almost sure central limit theorem (ASCLT) is established. As a by-product of this convergence, one gets another proof of ASCLT for stochastic approximation algorithms. The convergence result is applied to several examples as estimation of quantiles and recursive estimation of the mean.

How to cite

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Cénac, Peggy. "On the convergence of moments in the almost sure central limit theorem for stochastic approximation algorithms." ESAIM: Probability and Statistics 17 (2013): 179-194. <http://eudml.org/doc/273615>.

@article{Cénac2013,
abstract = {We study the almost sure asymptotic behaviour of stochastic approximation algorithms for the search of zero of a real function. The quadratic strong law of large numbers is extended to the powers greater than one. In other words, the convergence of moments in the almost sure central limit theorem (ASCLT) is established. As a by-product of this convergence, one gets another proof of ASCLT for stochastic approximation algorithms. The convergence result is applied to several examples as estimation of quantiles and recursive estimation of the mean.},
author = {Cénac, Peggy},
journal = {ESAIM: Probability and Statistics},
keywords = {stochastic approximation algorithms; almost sure central limit theorem; martingale transforms; moments},
language = {eng},
pages = {179-194},
publisher = {EDP-Sciences},
title = {On the convergence of moments in the almost sure central limit theorem for stochastic approximation algorithms},
url = {http://eudml.org/doc/273615},
volume = {17},
year = {2013},
}

TY - JOUR
AU - Cénac, Peggy
TI - On the convergence of moments in the almost sure central limit theorem for stochastic approximation algorithms
JO - ESAIM: Probability and Statistics
PY - 2013
PB - EDP-Sciences
VL - 17
SP - 179
EP - 194
AB - We study the almost sure asymptotic behaviour of stochastic approximation algorithms for the search of zero of a real function. The quadratic strong law of large numbers is extended to the powers greater than one. In other words, the convergence of moments in the almost sure central limit theorem (ASCLT) is established. As a by-product of this convergence, one gets another proof of ASCLT for stochastic approximation algorithms. The convergence result is applied to several examples as estimation of quantiles and recursive estimation of the mean.
LA - eng
KW - stochastic approximation algorithms; almost sure central limit theorem; martingale transforms; moments
UR - http://eudml.org/doc/273615
ER -

References

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