On fixed gain recursive estimators with discontinuity in the parameters
Probability
2018-10-17 v4
Abstract
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.
Cite
@article{arxiv.1609.05166,
title = {On fixed gain recursive estimators with discontinuity in the parameters},
author = {Huy N. Chau and Chaman Kumar and Miklós Rásonyi and Sotirios Sabanis},
journal= {arXiv preprint arXiv:1609.05166},
year = {2018}
}
Comments
Thoroughly revised, Assumption 3.4 strengthened