Proximal Statistic: Asymptotic Normality

David Pacini

doi:10.1016/j.spl.2020.108896

Proximal Statistic: Asymptotic Normality

David Pacini^*

^*Corresponding author for this work

School of Economics

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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	https://doi.org/10.1016/j.spl.2020.108896
Publication status	Published - 1 Dec 2020

Keywords

Set Identification
Proximal Algorithm

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This is the author accepted manuscript (AAM). The final published version (version of record) is available online via Elsevier at https://doi.org/10.1016/j.spl.2020.108896 . Please refer to any applicable terms of use of the publisher.
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This is the author accepted manuscript (AAM). The final published version (version of record) is available online via Elsevier at https://doi.org/10.1016/j.spl.2020.108896 . Please refer to any applicable terms of use of the publisher.
Accepted author manuscript, 151 KBLicence: CC BY-NC-ND

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title = "Proximal Statistic: Asymptotic Normality",

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.",

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AB - 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.

KW - Set Identification

KW - Proximal Algorithm

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DO - 10.1016/j.spl.2020.108896

M3 - Article (Academic Journal)

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

M1 - 108896

ER -

Proximal Statistic: Asymptotic Normality

Abstract

Keywords

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