Nonparametric recursive quantile estimation

DOI10.1016/J.SPL.2014.06.007MaRDI QIDQ395976zbMATHOpenAlexFDO

Authors Adam Krzyżak, Harro Walk, Michael Kohler

Publication date 8 August 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.06.007

zbMATH Keywords

rate of convergenceimportance samplingRobbins-Monro procedurenonparametric quantile estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cites work

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• Acceleration of Stochastic Approximation by Averaging
• Controlled stratification for quantile estimation
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• Optimal global rates of convergence for noiseless regression estimation problems with adaptively chosen design
• Quantile estimation with adaptive importance sampling
• Recursive estimation of quantitles using recursive kernel density estimators
• Stochastic approximation and its applications

Cited in

(15)

• Non asymptotic controls on a recursive superquantile approximation
• Nonparametric quantile estimation using surrogate models and importance sampling
• Estimating quantiles in imperfect simulation models using conditional density estimation
• Nonparametric estimation of time-dependent quantiles in a simulation model
• Recursive estimates of quantile based on 0-1 observations
• Estimation of extreme quantiles in a simulation model
• Nonparametric Recursive Variance Estimation
• Nonparametric quantile estimation using importance sampling
• Noninformative nonparametric quantile estimation for simple random samples
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• Nonparametric estimation of a maximum of quantiles
• Nonparametric estimation of quantiles using importance sampling and surrogate models
• Recursive estimation of quantitles using recursive kernel density estimators
• Narrow big data in a stream: computational limitations and regression

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