Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.
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Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Establishes central limit theorems for the renormalized estimation errors of nested and multilevel stochastic approximation algorithms for VaR and ES, including averaged versions, with numerical illustration.