Stochastic approximation algorithms for superquantiles estimation
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Publication:2042800
Abstract: This paper is devoted to two different two-time-scale 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.
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Cited in
(6)- Non asymptotic controls on a recursive superquantile approximation
- Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
- A smoothing stochastic algorithm for quantile estimation
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Bregman superquantiles. Estimation methods and applications
- Inducing Super-Approximation
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