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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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Official URL : http://tse-fr.eu/pub/124668
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) |
|---|---|
| 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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