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December, 1977 Almost Sure Approximation of the Robbins-Monro Process by Sums of Independent Random Variables
Gotz Kersting
Ann. Probab. 5(6): 954-965 (December, 1977). DOI: 10.1214/aop/1176995663

Abstract

It is shown in this paper that the sample paths of a Robbins-Monro process with harmonic coefficients may be approximated by weighted sums of independent, identically distributed random variables. A law of iterated logarithm and a weak invariance principle follow from this result.

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Gotz Kersting. "Almost Sure Approximation of the Robbins-Monro Process by Sums of Independent Random Variables." Ann. Probab. 5 (6) 954 - 965, December, 1977. https://doi.org/10.1214/aop/1176995663

Information

Published: December, 1977
First available in Project Euclid: 19 April 2007

zbMATH: 0374.62082
MathSciNet: MR494741
Digital Object Identifier: 10.1214/aop/1176995663

Subjects:
Primary: 60K99
Secondary: 60F05, 60F15, 60G17

Rights: Copyright © 1977 Institute of Mathematical Statistics

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Vol.5 • No. 6 • December, 1977
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