Stochastic approximation algorithms for superquantiles estimation

DOI10.1214/21-EJP648zbMath1469.62323arXiv2007.14659MaRDI QIDQ2042800

Sébastien Gadat, Manon Costa, Bernard Bercu

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.14659

zbMATH Keywords

stochastic approximationlimit theoremsconditional value-at-riskquantile and superquantile

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic approximation (62L20)

Related Items (1)

Non asymptotic controls on a recursive superquantile approximation

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