Asymptotic behavior of truncated stochastic approximation procedures |
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Authors: | T Sharia L Zhong |
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Institution: | 1.Dept. of Math., Royal Holloway,Univ. of London,London,UK |
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Abstract: | We study asymptotic behavior of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix-valued random step-size sequence, and a dynamically changing random regression function. In particular, we show that under quitemild conditions, stochastic approximation procedures are asymptotically linear in the statistical sense, that is, they can be represented as weighted sums of random variables. Therefore, a suitable formof the central limit theoremcan be applied to derive asymptotic distribution of the corresponding processes. The theory is illustrated by various examples and special cases. |
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