A smoothing stochastic algorithm for quantile estimation

In this paper, we provide the almost-sure convergence and the asymptotic normality of a smooth version of the Robbins–Monro algorithm for the quantile estimation. A Monte Carlo simulation study shows that our proposed method works well within the framework of a data stream.

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Year of publication:	2014
Authors:	Amiri, Aboubacar ; Thiam, Baba
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 93.2014, C, p. 116-125
Publisher:	Elsevier
Subject:	Quantile estimation \| Stochastic approximation \| Nonparametric estimation \| Almost-sure convergence \| Asymptotic normality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010906229