A stochastic Newton-Raphson method |
| |
Authors: | Dan Anbar |
| |
Institution: | Case Western Reserve University, Israel;Tele Aviv University, Israel |
| |
Abstract: | A stochastic approximation procedure of the Robbins-Monro type is considered. The original idea behind the Newton-Raphson method is used as follows. Given n approximations X1,…, Xn with observations Y1,…, Yn, a least squares line is fitted to the points (Xm, Ym),…, (Xn, Yn) where m<n may depend on n. The (n+1)st approximation is taken to be the intersection of the least squares line with y=0. A variation of the resulting process is studied. It is shown that this process yields a strongly consistent sequence of estimates which is asymptotically normal with minimal asymptotic variance. |
| |
Keywords: | 62L20 62L05 Stochastic Approximation Robbins-Monro Procedure Efficient Estimation |
本文献已被 ScienceDirect 等数据库收录! |
|