Recursive Quantile Estimation: Non-Asymptotic Confidence Bounds

Chen, LK; Keilbar, G; Wu, WB

Chen, LK (通讯作者),Washington Univ, Dept Math & Stat, St Louis, MO 63130 USA.

JOURNAL OF MACHINE LEARNING RESEARCH, 2023; 24 ():

Abstract

This paper considers the recursive estimation of quantiles using the stochastic gradient descent (SGD) algorithm with Polyak-Ruppert averaging. The al......

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