Nonparametric estimation of time-dependent quantiles in a simulation model

DOI10.5705/SS.202017.0276zbMATH Open1444.62050OpenAlexW2809822438WikidataQ130158858 ScholiaQ130158858MaRDI QIDQ5220362FDOQ5220362

Authors: Felix Heimrich, Michael Kohler, L. Kristl 

Publication date: 16 March 2020

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/133b630dbdfdaf20b169544052814162d10dddbd

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zbMATH Keywords

rate of convergenceimportance samplingconditional quantile estimation

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Cited In (3)

• Nonparametric recursive quantile estimation
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Nonparametric estimation of time-variant densities and time-variant quantiles in a simulation model

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