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This article is cited in 1 scientific paper (total in 1 paper)
Recursive estimation of a vector parameter under Bahadur risk
A. P. Korosteleva, A. L. Rukhinb a Department of Mathematics, Wayne State University, USA
b Department of Mathematics and Statistics, UMBC, USA
Abstract:
Recursive estimation of a vector parameter is investigated when the performance of a procedure is measured by the probability of its closeness to the parameter, i.e., when the loss is defined by a zero-one function. The large deviations of recurrent procedures are studied and asymptotic efficiency of these procedures is explored. The results are extended to the case of a search algorithm in a half-space.
Keywords:
Bahadur risk, large deviations, Markov processes, recursive estimation, stochastic approximation.
Received: 01.06.1998
Citation:
A. P. Korostelev, A. L. Rukhin, “Recursive estimation of a vector parameter under Bahadur risk”, Teor. Veroyatnost. i Primenen., 45:4 (2000), 639–656; Theory Probab. Appl., 45:4 (2001), 589–603
Linking options:
https://www.mathnet.ru/eng/tvp496https://doi.org/10.4213/tvp496 https://www.mathnet.ru/eng/tvp/v45/i4/p639
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