On a stochastic approximation procedure based on averaging

On a stochastic approximation procedure based on averaging

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Article ID: iaor19972601
Country: Germany
Volume: 44
Issue: 2
Start Page Number: 165
End Page Number: 180
Publication Date: Sep 1996
Journal: Metrika
Authors: ,
Abstract:

Based on the idea of averaging a new stochastic approximation algorithm has been proposed by Bather, which shows a preferable performance for small to moderate sample sizes. In the present paper an almost sure representation is established for this procedure, which gives the optimal rate of convergence with minimal asymptotic variance.

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