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

DOI10.1137/0904048MaRDI QIDQ3036670zbMATH OpenOpenAlexWikidataFDO

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

(13)

• A smoothing stochastic algorithm for quantile estimation
• Nonparametric recursive quantile estimation
• Risk-averse approximate dynamic programming with quantile-based risk measures
• 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
• Asymptotics of wide remedians
• 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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