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May, 1973 Asymptotically Efficient Stochastic Approximation; The RM Case
Vaclav Fabian
Ann. Statist. 1(3): 486-495 (May, 1973). DOI: 10.1214/aos/1176342414

Abstract

Anbar (1971) and, independently, Abdelhamid (1971) have shown that if the density $g$ of the errors of estimates of function values is known, a transformation of observations leads to stochastic approximation methods which under mild conditions produce asymptotically efficient estimators (the first author considers the RM case, the second the RM and KW cases). This paper treats the RM case and shows that the same asymptotic result can be achieved without the knowledge of the density $g$.

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Vaclav Fabian. "Asymptotically Efficient Stochastic Approximation; The RM Case." Ann. Statist. 1 (3) 486 - 495, May, 1973. https://doi.org/10.1214/aos/1176342414

Information

Published: May, 1973
First available in Project Euclid: 12 April 2007

zbMATH: 0258.62048
MathSciNet: MR381189
Digital Object Identifier: 10.1214/aos/1176342414

Rights: Copyright © 1973 Institute of Mathematical Statistics

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Vol.1 • No. 3 • May, 1973
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