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 language | English |
---|---|
Article number | 108896 |
Number of pages | 4 |
Journal | Statistics and Probability Letters |
Volume | 167 |
Early online date | 7 Aug 2020 |
DOIs | |
Publication status | Published - 1 Dec 2020 |
Keywords
- Set Identification
- Proximal Algorithm