AN ALMOST SURE INVARIANCE PRINCIPLE FOR STOCHASTIC APPROXIMATION PROCEDURES IN LINEAR FILTERING THEORY

被引：0

作者：

Berger, Erich ^{[1
]}

机构：

[1] Univ Gottingen, Inst Math Stochast, Lotzestr 13, D-37083 Gottingen, Germany

来源：

ANNALS OF APPLIED PROBABILITY | 1997年 / 7卷 / 02期

关键词：

Stochastic approximation; linear filtering; almost sure invariance principles;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider a class of stochastic approximation procedures that arises in linear filtering and regression theory. Our main result asserts that the stochastic approximation process satisfies an almost sure invariance principle (with a certain rate of convergence) if the partial sums of the errors do.

引用

页码：444 / 459

页数：16

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