STOCHASTIC APPROXIMATION ALGORITHMS FOR SUPERQUANTILES ESTIMATION
Langue
en
Document de travail - Pré-publication
Résumé en anglais
This paper is devoted to two different two-timescale stochastic approximation algorithms for superquantile estimation. We shall investigate the asymptotic behavior of a Robbins-Monro estimator and its convexified version. ...Lire la suite >
This paper is devoted to two different two-timescale stochastic approximation algorithms for superquantile estimation. We shall investigate the asymptotic behavior of a Robbins-Monro estimator and its convexified version. Our main contribution is to establish the almost sure convergence, the quadratic strong law and the law of iterated logarithm for our estimates via a martingale approach. A joint asymptotic normality is also provided. Our theoretical analysis is illustrated by numerical experiments on real datasets.< Réduire
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