Accession Number:

AD1028383

Title:

Two Approximations to the Robbins Monro Process

Descriptive Note:

Conference Paper

Corporate Author:

UNIVERSITY OF CALIFORNIA Oakland United States

Personal Author(s):

• Hodges,,J Jr L
• Lehmann,E L

Report Date:

1956-01-01

Pagination or Media Count:

11.0

Abstract:

The following process was introduced by Robbins and Monro 1. For each real number x let Yx be a random variable such that EYx Mx exists. We assume that M is Borel measurable, that the regression equation Mx a has a single root theta, which we wish to estimate, and that x - theta Mx - a 0 for all x does not equal theta. An initial value xi and a sequence asub n. of positive numbers are selected. The n 1 approximation to theta is defined inductively by the formula.

Descriptors:

• approximation(mathematics)
• stochastic processes
• probability
• convergence
• random variables
• statistics

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE