Working paper

Stochastic approximation algorithms for superquantiles estimation

B. Bercu, Manon Costa, and Sébastien Gadat

Abstract

This paper is devoted to two dierent two-time-scale stochastic ap- proximation algorithms for superquantile estimation. We shall investigate the asymptotic behavior of a Robbins-Monro estimator and its convexied 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.

Reference

B. Bercu, Manon Costa, and Sébastien Gadat, Stochastic approximation algorithms for superquantiles estimation, TSE Working Paper, n. 20-1142, September 2020.

See also

Published in

TSE Working Paper, n. 20-1142, September 2020