Abstract
Let M(x)M(x) be a regression function which has a maximum at the unknown point θ.M(x)θ.M(x) is itself unknown to the statistician who, however, can take observations at any level xx. This paper gives a scheme whereby, starting from an arbitrary point x1x1, one obtains successively x2,x3,⋯x2,x3,⋯ such that xnxn converges to θθ in probability as n→∞n→∞.
Citation
J. Kiefer. J. Wolfowitz. "Stochastic Estimation of the Maximum of a Regression Function." Ann. Math. Statist. 23 (3) 462 - 466, September, 1952. https://doi.org/10.1214/aoms/1177729392
Information