# Asymptotic normality of randomly truncated stochastic algorithms

ESAIM: Probability and Statistics (2013)

- Volume: 17, page 105-119
- ISSN: 1292-8100

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topLelong, Jérôme. "Asymptotic normality of randomly truncated stochastic algorithms." ESAIM: Probability and Statistics 17 (2013): 105-119. <http://eudml.org/doc/274364>.

@article{Lelong2013,

abstract = {We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins–Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to ensure convergence when standard algorithms fail because the expected-value function grows too fast. In this work, we give a self contained proof of a central limit theorem for this algorithm under local assumptions on the expected-value function, which are fairly easy to check in practice.},

author = {Lelong, Jérôme},

journal = {ESAIM: Probability and Statistics},

keywords = {stochastic approximation; central limit theorem; randomly truncated stochastic algorithms; martingale arrays},

language = {eng},

pages = {105-119},

publisher = {EDP-Sciences},

title = {Asymptotic normality of randomly truncated stochastic algorithms},

url = {http://eudml.org/doc/274364},

volume = {17},

year = {2013},

}

TY - JOUR

AU - Lelong, Jérôme

TI - Asymptotic normality of randomly truncated stochastic algorithms

JO - ESAIM: Probability and Statistics

PY - 2013

PB - EDP-Sciences

VL - 17

SP - 105

EP - 119

AB - We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins–Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to ensure convergence when standard algorithms fail because the expected-value function grows too fast. In this work, we give a self contained proof of a central limit theorem for this algorithm under local assumptions on the expected-value function, which are fairly easy to check in practice.

LA - eng

KW - stochastic approximation; central limit theorem; randomly truncated stochastic algorithms; martingale arrays

UR - http://eudml.org/doc/274364

ER -

## References

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