Quantile Estimation in Dependent Sequences

DOI10.1287/OPRE.32.1.185MaRDI QIDQ3321245zbMATH OpenOpenAlexFDO

Authors Philip Heidelberger, Peter A. W. Lewis

Publication date 1984

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.32.1.185

zbMATH Keywords

averaged group quantilescorrelated random variablesestimators of quantilesextensions of method of batched meansextreme quantilemaximum transformationnested group quantilesorder statisticsphi-mixing processesspectral analysis of reduced sampletwo-way layout of data

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

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(20)

• A quantile-based approach to system selection
• Extreme quantile estimation for dependent data, with applications to finance
• Extreme quantile estimation for \(\beta\)-mixing time series and applications
• Inference on heavy tails from dependent data
• Stochastic dominance based comparison for system selection
• Estimating high quantiles based on dependent circular data
• Quantile and tolerance-interval estimation in simulation
• Workload portfolio optimization for virtualized computer systems based on semiparametric quantile function estimation
• scientific article; zbMATH DE number 1194782 (Why is no real title available?)
• Modeling persistent trends in distributions
• Selecting the best alternative based on its quantile
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Kernel estimation of quantile sensitivities
• A Hellinger distance approach to MCMC diagnostics
• Nonparametric estimation of time-dependent quantiles in a simulation model
• Simulation output analysis using the threshold bootstrap
• Simulating risk measures via asymptotic expansions for relative errors
• Statistical analysis of steady-state simulations: Survey of recent progress
• Sequential quantiles via Hermite series density estimation
• Estimating steady-state distributions via simulation-generated histograms

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