Abstract Details
Activity Number:
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178
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Type:
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Contributed
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Date/Time:
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Monday, August 10, 2015 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract #316384
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View Presentation
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Title:
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Efficient Robbins-Monro Procedure for Multivariate Binary Data
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Author(s):
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Cui Xiong* and Jin Xu
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Companies:
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and East China Normal University
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Keywords:
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Binary response ;
Quantile estimation ;
Robbins-Monro procedure ;
Sequential design
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Abstract:
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This paper considers the problem of jointly estimating marginal quantiles of a multivariate distribution. A sufficient condition for converging sequential estimator under a multivariate version of Robbins-Monro procedure is provided. Secondly, we propose an efficient procedure which incoporates the correlation structure of the multivariate distribution to improve the estimation especially for extreme quantiles. The efficiency of the proposed method is demonstrated by simulation in comparison with a general multivariate Robbins-Monro procedure and an efficient Robbins-Monro procedure that estimates the marginal quantiles separately.
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Authors who are presenting talks have a * after their name.
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