Deterministic computation of quantiles in a Lipschitz framework

DOI10.1016/J.CAM.2024.116344MaRDI QIDQ6664849zbMATH OpenFDO

Authors Yurun Gu, Clément Rey

Publication date 16 January 2025

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.116344

zbMATH Keywords

convergenceoptimalityLipschitz functionsadaptive algorithmquantile approximation

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic models, generic numerical methods in probability and statistics (65C20) Analysis of algorithms and problem complexity (68Q25) Approximation algorithms (68W25) Algorithms for approximation of functions (65D15)

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Cites work

• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• Adaptive multilevel splitting: historical perspective and recent results
• Control Variates for Quantile Estimation
• Control variates for probability and quantile estimation.
• Controlled stratification for quantile estimation
• Finding the minimum of a function
• Fluctuation analysis of adaptive multilevel splitting
• Generalized quantiles as risk measures
• Measure theory and fine properties of functions
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Optimise importance sampling quantile estimation
• Quantile estimation with adaptive importance sampling
• Quantile regression.
• Recursive estimation of a failure probability for a Lipschitz function
• Sequential Monte Carlo for rare event estimation
• Simulation and estimation of extreme quantiles and extreme probabilities
• Smoothed jackknife empirical likelihood for the one-sample difference of quantiles

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