A Space-Efficient Recursive Procedure for Estimating a Quantile of an Unknown Distribution

DOI10.1137/0904048zbMATH Open0524.65099OpenAlexW2037676475WikidataQ61688121 ScholiaQ61688121MaRDI QIDQ3036670FDOQ3036670

Authors: Luke Tierney 

Publication date: 1983

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0904048

zbMATH Keywords

recursive estimationstochastic approximationasymptotic variancesimulation resultsquantile estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Probabilistic methods, stochastic differential equations (65C99) Estimation in multivariate analysis (62H12)

Cited In (12)

• Risk-averse approximate dynamic programming with quantile-based risk measures
• A smoothing stochastic algorithm for quantile estimation
• Nonparametric recursive quantile estimation
• Sequential online subsampling for thinning experimental designs
• Joint tracking of multiple quantiles through conditional quantiles
• Quantile estimation with adaptive importance sampling
• Estimating percentage points by simulation
• Simultaneous probability statements for Bayesian P-splines
• Real Time Anomaly Detection And Categorisation
• Monitoring networked applications with incremental quantile estimation
• An approximation procedure of quantiles using an estimation of kernel method for quality control
• Smooth nonparametric estimation of the quantile function

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