A smoothing stochastic algorithm for quantile estimation

DOI10.1016/j.spl.2014.06.016zbMath1463.62246MaRDI QIDQ395982

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 normality; stochastic approximation; quantile estimation; nonparametric estimation; almost-sure convergence

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

62G05: Nonparametric estimation

65C05: Monte Carlo methods

62L20: Stochastic approximation

62L12: Sequential estimation

Uses Software

• CAViaR