On fixed gain recursive estimators with discontinuity in the parameters

Huy N. Chau, Chaman Kumar, Miklós Rásonyi, Sotirios Sabanis

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instead. Furthermore, the updating function may be discontinuous in the parameter.
Original languageEnglish
Pages (from-to)217-244
Number of pages31
JournalESAIM: Probability and Statistics
Volume23
DOIs
Publication statusPublished - 1 May 2019

Keywords / Materials (for Non-textual outputs)

  • math.PR
  • Primary: 62L20, secondary: 93E15, 93E35

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