A smoothing stochastic algorithm for quantile estimation

作者：Amiri Aboubacar^*; Thiam Baba

来源：Statistics & Probability Letters, 2014, 93: 116-125.

DOI：10.1016/j.spl.2014.06.016

• Quantile estimation
• Stochastic approximation
• Nonparametric estimation
• Almost-sure convergence
• Asymptotic normality

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.

• 出版日期2014-10