Geodesic
Recursive estimation of a vector parameter under Bahadur risk
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 639-656

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Recursive estimation of a vector parameter is investigated when the performance of a procedure is measured by the probability of its closeness to the parameter, i.e., when the loss is defined by a zero-one function. The large deviations of recurrent procedures are studied and asymptotic efficiency of these procedures is explored. The results are extended to the case of a search algorithm in a half-space.
Keywords: Bahadur risk, large deviations, Markov processes, recursive estimation, stochastic approximation. 
@article{TVP_2000_45_4_a1,
     author = {A. P. Korostelev and A. L. Rukhin},
     title = {Recursive estimation of a vector parameter under {Bahadur} risk},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {639--656},
     publisher = {mathdoc},
     volume = {45},
     number = {4},
     year = {2000},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a1/}
}
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A. P. Korostelev; A. L. Rukhin. Recursive estimation of a vector parameter under Bahadur risk. Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 639-656. http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a1/