2.36 ( ) www Using an analogous procedure to that used to obtain (2.126), derive an expression for the sequential estimation of the variance of a univariate Gaussian distribution, by starting with the maximum likelihood expression σ2 ML = 1 N N n=1 (xn − μ)2. (2.292)
Verify that substituting the expression for a Gaussian distribution into the Robbins-
Monro sequential estimation formula (2.135) gives a result of the same form, and hence obtain an expression for the corresponding coefficients aN.