Year: 2007
Type: preprint
Abstract: The semimartingale stochastic approximation procedure, namely, the Robbins-Monro type SDE is introduced which naturally includes both generalized stochastic approximation algorithms with martingale noises and recursive parameter estimation procedures for statistical models associated with semimartingales. General results concerning the asymptotic behaviour of the solution are presented. In particular, the conditions ensuring the convergence, rate of convergence and asymptotic expansion are established. The results concerning the Polyak weighted averaging procedure are also presented.
Source: arXiv (Cornell University)
Authors: Lazrieva, N., Sharia, T., Toronjadze, T.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2952948710