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Asymptotic behavior for the Robbins–Monro process
Published online by Cambridge University Press: 26 July 2018
Abstract
In this paper we study the Robbins–Monro procedure Xn+1 = Xn - an-1Yn with some fixed number a > 0 and establish the moderate deviation principle of the process {Xn}.
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- Copyright © Applied Probability Trust 2018
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