On fixed gain recursive estimators with discontinuity in the parameters

Huy N. Chau, Chaman Kumar, Miklós Rásonyi, Sotirios Sabanis
2019 E S A I M: Probability & Statistics  
In this paper, we estimate the expected tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instead. Furthermore, the updating function may be discontinuous in the parameter.
doi:10.1051/ps/2018019 fatcat:fsov3yagqrgwlpzz47dfwklgdy