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

Research output: Contribution to journal › Article (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 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	E-pub ahead of print - 7 Aug 2020

Keywords

Set Identification
Proximal Algorithm

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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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