Conditional quantile sequential estimation for stochastic codes

DOI10.1007/S42519-019-0053-8zbMATH Open1425.62119arXiv1508.06505OpenAlexW2969758463MaRDI QIDQ2321791FDOQ2321791

Fabrice Gamboa, Aurélien Garivier, T. Labopin-Richard, Jérôme Stenger

Publication date: 23 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Abstract: We propose and analyze an algorithm for the sequential estimation of a conditional quantile in the context of real stochastic codes with vectorvalued inputs. Our algorithm is based on k-nearest neighbors smoothing within a Robbins-Monro estimator. We discuss the convergence of the algorithm under some conditions on the stochastic code. We provide non-asymptotic rates of convergence of the mean squared error and we discuss the tuning of the algorithm's parameters.

Full work available at URL: https://arxiv.org/abs/1508.06505

zbMATH Keywords

conditional quantile\(k\)-nearest neighbors methodRobbins-Monro stochastic algorithmstochastic code

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32) Sequential estimation (62L12) Stochastic approximation (62L20)

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