Wear convergence of stochastic approximation processes with random indices |
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Authors: | Edward W Frees |
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Affiliation: | Department of Statistics and School of Business , University of Wisconsin , 1210 West Dayton Street, Madison, 53706, Wisconsin |
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Abstract: | Conditions are given for weak convergence through random indices of a general stochastic approximation process which includes the Robbins-Monro and Kiefer-Wolfowitz processes. For a particular index, a sequential fixed-width bounded length confidence interval for the parameter being estimated is established. As an example, an optimal recursive estimator and confidence interval for the mode of a distribution function is constructed. |
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Keywords: | strong approximations mode estimation stopping times |
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