Joint tracking of multiple quantiles through conditional quantiles

DOI10.1016/J.INS.2021.02.014MaRDI QIDQ6064465zbMATH OpenOpenAlexWikidataFDO

Authors Hugo Lewi Hammer, Anis Yazidi, Håvard Rue

Publication date 9 November 2023

Published in Information Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1902.05428

zbMATH Keywords

data miningdata streamjoint estimatesquantile trackingreal-time analytics

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: Estimation of quantiles is one of the most fundamental real-time analysis tasks. Most real-time data streams vary dynamically with time and incremental quantile estimators document state-of-the art performance to track quantiles of such data streams. However, most are not able to make joint estimates of multiple quantiles in a consistent manner, and estimates may violate the monotone property of quantiles. In this paper we propose the general concept of *conditional quantiles* that can extend incremental estimators to jointly track multiple quantiles. We apply the concept to propose two new estimators. Extensive experimental results, on both synthetic and real-life data, show that the new estimators clearly outperform legacy state-of-the-art joint quantile tracking algorithm and achieve faster adaptivity in dynamically varying data streams.

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Cited in

(1)

• Best subset selection for high-dimensional non-smooth models using iterative hard thresholding

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