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Activity Number: 178
Type: Contributed
Date/Time: Monday, August 10, 2015 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract #316384 View Presentation
Title: Efficient Robbins-Monro Procedure for Multivariate Binary Data
Author(s): Cui Xiong* and Jin Xu
Companies: and East China Normal University
Keywords: Binary response ; Quantile estimation ; Robbins-Monro procedure ; Sequential design
Abstract:

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.

Authors who are presenting talks have a * after their name.

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