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Proximal statistic: Asymptotic normality

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  • Pacini, David

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.

Suggested Citation

  • Pacini, David, 2020. "Proximal statistic: Asymptotic normality," Statistics & Probability Letters, Elsevier, vol. 167(C).
    • Handle: RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220301991
    DOI: 10.1016/j.spl.2020.108896
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    References listed on IDEAS

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    1. Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2011. "Sharp Identification Regions in Models With Convex Moment Predictions," Econometrica, Econometric Society, vol. 79(6), pages 1785-1821, November.
    2. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-333, March.
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    Keywords

    Set identification; Proximal algorithm;

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