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arXiv · 1508.06505

Conditional quantile sequential estimation for stochastic codes

Tatiana Labopin-Richard·Fabrice Gamboa·Aurélien Garivier·Jerome Stenger
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Abstract

We propose and analyze an algorithm for the sequential estimation of a conditional quantile in the context of real stochastic codes with vectorvalued inputs. Our algorithm is based on k-nearest neighbors smoothing within a Robbins-Monro estimator. We discuss the convergence of the algorithm under some conditions on the stochastic code. We provide non-asymptotic rates of convergence of the mean squared error and we discuss the tuning of the algorithm's parameters.

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Tatiana Labopin-Richard, Fabrice Gamboa, Aurélien Garivier, Jerome Stenger. 2015-08-26. Conditional quantile sequential estimation for stochastic codes. https://arxiv.org/abs/1508.06505

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