Nonparametric estimation of time-dependent quantiles in a simulation model

DOI10.5705/SS.202017.0276MaRDI QIDQ5220362zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

rate of convergenceimportance samplingconditional quantile estimation

Mathematics Subject Classification ID

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

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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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