Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151513 | Statistics & Probability Letters | 2014 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Aboubacar Amiri, Baba Thiam,