Metrika

, Volume 42, Issue 1, pp 153–171 | Cite as

Some results about averaging in stochastic approximation

  • Alain Le Breton
  • Alexander Novikov
Article

Abstract

The paper presents some results concerning the averaging approach in a “general” linear regression model in one dimension under suitable conditions about the martingale structure of errors. At first asymptotics of the primary and averaged estimators are discussed. Then it is shown that variances of estimators can be consistently estimated by appropriate integrated squared deviations functionals. Finally applications to the construction of confidence regions are considered.

Keywords

Linear Regression Regression Model Stochastic Process Probability Theory Economic Theory 

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Copyright information

© Physica-Verlag 1995

Authors and Affiliations

  • Alain Le Breton
    • 1
  • Alexander Novikov
    • 2
  1. 1.Laboratoire de Modélisation et Calcul/IMAGUniversité Joseph Fourier Grenoble IGrenoble Cedex 09France
  2. 2.Steklov Mathematical InstituteMoscow, GSP1Russia

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