Nonparametric quantile estimation using surrogate models and importance sampling

DOI10.1007/s00184-019-00736-3zbMath1436.62142OpenAlexW2964768670MaRDI QIDQ2303750

Reinhard Tent, Michael Kohler

Publication date: 5 March 2020

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-019-00736-3

zbMATH Keywords

rate of convergenceimportance samplingsurrogate modelsnonparametric quantile estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Monte Carlo methods (65C05)

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