Central Limit Theorems for Truncating and Averaging Stochastic Algorithms: a functional approach
نویسندگان
چکیده
This article is devoted to the study of the convergence rate of stochastic algorithms using Chen’s procedure throughout a functional Central Limit Theorem. We establish the convergence in the Skorokhod space of a well defined interpolation of the renormalised iterates to a stationary Ornstein Uhlenbeck process. This new result enables us to derive a CLT for the moving window averaging version of Chen’s algorithm.
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تاریخ انتشار 2006