Proximal Statistic: Asymptotic Normality

David Pacini*

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)

Abstract

This note introduces an asymptotically normal statistic for the value function of a convex stochastic minimization program, which may have more than one minimizer. The statistic uses a recursive estimator, based on the proximal algorithm, of one of the minimizers.
Original languageEnglish
Article number108896
Number of pages4
JournalStatistics and Probability Letters
Volume167
Early online date7 Aug 2020
DOIs
Publication statusE-pub ahead of print - 7 Aug 2020

Keywords

  • Set Identification
  • Proximal Algorithm

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