A smoothing stochastic algorithm for quantile estimation

DOI10.1016/J.SPL.2014.06.016MaRDI QIDQ395982zbMATH OpenOpenAlexFDO

Authors Aboubacar Amiri, Baba Thiam

Publication date 8 August 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://orbi.uliege.be/handle/2268/247677

zbMATH Keywords

asymptotic normalitynonparametric estimationstochastic approximationquantile estimationalmost-sure convergence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Sequential estimation (62L12) Stochastic approximation (62L20)

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Cited in

(9)

• Non asymptotic controls on a recursive superquantile approximation
• Stochastic approximation algorithms for superquantiles estimation
• Algorithm 727: Quantile estimation using overlapping batch statistics
• A smooth estimator for MC/QMC methods in finance
• Low-storage quantile estimation
• Conditional quantile sequential estimation for stochastic codes
• Nonparametric recursive estimation of the copula
• On properties of the algorithm for pursuing a drifting quantile
• Online renewable smooth quantile regression

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Uses Software

• CAViaR

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