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Bernstein-Frechet Inequalities for the Robbins Monro's algorithm

Abdelnasser DAHMANI, Mohamed Hamza BENGRINA, Ahmed AIT SAIDI


In this note, we establish exponential inequalities of type Bernstein-Frechet for the Robbins-Monro's procedure. These inequalities allow us to precise the complete convergence rate and to construct confidence intervals for the root of the regression function.


Stochastic approximation, convergence rate, Bernstein-Frechet inequalities

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