Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes
AbstractThe authors provide a convergence theory for adaptive learning algorithms useful for the study of learning by economic agents. Their results extend the framework of L. Ljung previously utilized by A. Marcet-T. J. Sargent and M. Woodford by permitting nonlinear laws of motion driven by stochastic processes that may exhibit moderate dependence, such as mixing and mixingale processes. The authors draw on previous work by H. J. Kushner and D. S. Clark to provide readily verifiable and/or interpretable conditions ensuring algorithm convergence, chosen for their suitability in the context of adaptive learning. Copyright 1994 by The Econometric Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 62 (1994)
Issue (Month): 5 (September)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Atanas Christev, 2007.
Money Macro and Finance (MMF) Research Group Conference 2006
126, Money Macro and Finance Research Group.
- Alan Beggs, 2002.
"On the Convergence of Reinforcement Learning,"
Economics Series Working Papers
96, University of Oxford, Department of Economics.
- Evans, George W. & Honkapohja, Seppo, 1998. "Convergence of learning algorithms without a projection facility," Journal of Mathematical Economics, Elsevier, vol. 30(1), pages 59-86, August.
- Heinemann, Maik & Lange, Carsten, 1997. "Modellierung von Preiserwartungen durch neuronale Netze," Hannover Economic Papers (HEP) dp-203, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Timothy Kam, 2004. "Two-sided Learning and Optimal Monetary Policy in an Open Economy Model," Economics Discussion / Working Papers 04-07, The University of Western Australia, Department of Economics.
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Properties of equilibrium asset prices under alternative learning schemes,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(1), pages 161-217, January.
- Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
- Sergio Pastorello & Valentin Patilea & Éric Renault, 2003.
"Iterative and Recursive Estimation in Structural Non-Adaptive Models,"
CIRANO Working Papers
- Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-82, October.
- Evans, George W. & Honkapohja, S., 1998.
"Stochastic gradient learning in the cobweb model,"
Elsevier, vol. 61(3), pages 333-337, December.
- Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
- Flam, Sjur Didrik, 1996. "Approaches to economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1505-1522.
- Myles Callan & Eric Ghysels & Norman R. Swanson, 1998.
"Monetary Policy Rules with Model and Data Uncertainty,"
CIRANO Working Papers
- Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, Southern Economic Association, vol. 69(2), pages 239-265, October.
- Chen, Xiaohong & White, Halbert, 1998. "Nonparametric Adaptive Learning with Feedback," Journal of Economic Theory, Elsevier, vol. 82(1), pages 190-222, September.
- Gregoir, Stephane & Weill, Pierre-Olivier, 2007. "Restricted perception equilibria and rational expectation equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 81-109, January.
- Barucci, Emilio & Landi, Leonardo, 1996. "Speculative dynamics with bounded rationality learning," European Journal of Operational Research, Elsevier, vol. 91(2), pages 284-300, June.
- Heinemann, Maik, 2000. "Adaptive learning of rational expectations using neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1007-1026, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.