Bercu, Bernard, Costa, Manon and Gadat, Sébastien (2020) Stochastic approximation algorithms for superquantiles estimation. TSE Working Paper, n. 20-1142, Toulouse
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Abstract
This paper is devoted to two dierent two-time-scale stochastic ap-
proximation algorithms for superquantile estimation. We shall investigate the
asymptotic behavior of a Robbins-Monro estimator and its convexied 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.
Item Type: | Monograph (Working Paper) |
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Language: | English |
Date: | September 2020 |
Place of Publication: | Toulouse |
Subjects: | B- ECONOMIE ET FINANCE |
Divisions: | TSE-R (Toulouse) |
Institution: | Université Toulouse 1 Capitole |
Site: | UT1 |
Date Deposited: | 15 Sep 2020 08:40 |
Last Modified: | 01 Sep 2021 09:26 |
OAI Identifier: | oai:tse-fr.eu:124668 |
URI: | https://publications.ut-capitole.fr/id/eprint/41782 |
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