An Adaptive Filtering Procedure for Estimating Regression Quantiles

DOI10.1287/MNSC.31.8.1019MaRDI QIDQ3746744zbMATH OpenOpenAlexFDO

Authors

Publication date 1985

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.31.8.1019

zbMATH Keywords

Monte Carlo experimentadaptive filterair pollution case studyQuantile Estimation Proceduretime-varying parameters of multivariate regression quantiles

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

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Cited in

(3)

• Time-adaptive quantile regression
• Forecasting daily supermarket sales using exponentially weighted quantile regression
• Baseline drift estimation for air quality data using quantile trend filtering

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