Conditional quantile sequential estimation for stochastic codes

DOI10.1007/S42519-019-0053-8MaRDI QIDQ2321791zbMATH OpenOpenAlexFDO

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

Publication date 23 August 2019

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

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)

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.

Recommendations

• A smoothing stochastic algorithm for quantile estimation
• Conditional quantile estimation through optimal quantization
• Estimating conditional quantiles at the root of a regression function
• Recursive estimation of quantitles using recursive kernel density estimators
• Recursive Estimation of Conditional Spatial Medians and Conditional Quantiles

Cites work

• scientific article; zbMATH DE number 976356 (Why is no real title available?)
• scientific article; zbMATH DE number 893887 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• Assessing transfer functions in control systems
• Asymptotic Distribution of Stochastic Approximation Procedures
• Classification in general finite dimensional spaces with the \(k\)-nearest neighbor rule
• Concentration bounds for stochastic approximations
• Consistent nonparametric regression. Discussion
• Convergence of Markovian stochastic approximation with discontinuous dynamics
• Design and analysis of computer experiments. With comments and a rejoinder by the authors
• Estimating Percentiles of Uncertain Computer Code Outputs
• Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: \(L^p\) and almost sure rates of convergence
• Kernel and nearest-neighbor estimation of a conditional quantile
• Normal approximation and large deviations for the Robbins-Monro Process
• On Asymptotic Normality in Stochastic Approximation
• Online estimation of the geometric median in Hilbert spaces: nonasymptotic confidence balls
• Order Statistics
• Predicting the output from a complex computer code when fast approximations are available
• Sequential design of computer experiments for the estimation of a probability of failure
• The design and analysis of computer experiments.

Cited in

(2)

• A smoothing stochastic algorithm for quantile estimation
• scientific article; zbMATH DE number 7014218 (Why is no real title available?)

This page was built for publication: Conditional quantile sequential estimation for stochastic codes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2321791)