Online estimation of the asymptotic variance for averaged stochastic gradient algorithms
نویسندگان
چکیده
منابع مشابه
Online estimation of the asymptotic variance for averaged stochastic gradient algorithms
Stochastic gradient algorithms are more and more studied since they can deal efficiently and online with large samples in high dimensional spaces. In this paper, we first establish a Central Limit Theorem for these estimates as well as for their averaged version in general Hilbert spaces. Moreover, since having the asymptotic normality of estimates is often unusable without an estimation of the...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2019
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2019.01.001