This article is cited in 1 paper

Short Communications

Slow stochastic approximation processes are good for estimating slope

L. Gerencsér

Systems and Control Laboratory, Computer and Automation Institute Hungarian Academy of Sciences, Budapest, Hungary

Abstract: A continuous-time Robbins–Monroe process violating the conditions necessary for the CLT to hold will be considered. It will be shown that although the estimator process 6% converges to the root to be determined a.s. it is sufficiently rich to get strong consistent estimator of the slope of the regressor function using noisy observations of the regressor function at $\theta_t-s$ only.

Keywords: stochastic approximation, least square estimation, stochastic regression, the Lai–Wei condition, the Cameron–Martin formula.

Received: 26.08.1993

Language: English

 English version: Theory of Probability and its Applications, 1995, 40:1, 145–151

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