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A smoothing stochastic algorithm for quantile estimation.

Authors :
Amiri, Aboubacar
Thiam, Baba
Source :
Statistics & Probability Letters. Oct2014, Vol. 93, p116-125. 10p.
Publication Year :
2014

Abstract

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. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*SMOOTHING (Numerical analysis)
*QUANTILES
*ALGORITHMS
*ESTIMATION theory
*STOCHASTIC convergence
*MONTE Carlo method

Details

Language :
English
ISSN :
01677152
Volume :
93
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
97392142
Full Text :
https://doi.org/10.1016/j.spl.2014.06.016
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