Recursive estimation of quantitles using recursive kernel density estimators

DOI10.1080/07474948708836128MaRDI QIDQ3030063zbMATH OpenOpenAlexFDO

Authors Ulla Holst

Publication date 1987

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948708836128

zbMATH Keywords

adaptive stochastic approximationkernel density estimatorsRecursive estimation of quantilesstationary and strongly regular processsufficient conditions for almost sure convergence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sequential estimation (62L12) Stochastic approximation (62L20)

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Cites work

• An Extension of the Robbins-Monro Procedure
• Approximation Methods which Converge with Probability one
• Convergence of a recursive robust algorithm with strongly regular observations
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• On Asymptotic Normality in Stochastic Approximation
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• Robustized vector Robbins-Monro algorithm with applications to M-interval detection

Cited in

(16)

• Recursive estimates of quantile based on 0-1 observations
• Non asymptotic controls on a recursive superquantile approximation
• Conditional quantile sequential estimation for stochastic codes
• The Recursive Kernel Distribution Function Estimator Based on Negatively and Positively Associated Sequences
• Recursive kernel estimate of the conditional quantile for functional ergodic data
• scientific article; zbMATH DE number 3919595 (Why is no real title available?)
• Recursive M-estimators of location
• Nonparametric recursive quantile estimation
• A smoothing stochastic algorithm for quantile estimation
• Recursive estimation: asymptotic confidence regions by empirical quantiles
• Adaptive Quantile Estimation and its Application in Analysis of Biological Signals
• Recursive U-quantiles
• scientific article; zbMATH DE number 1556792 (Why is no real title available?)
• Recursive Kernel Density Estimation for Time Series
• Asymptotically efficient recursive estimation for incomplete data models using the observed information.
• On the use of stochastic approximation in recursive estimation

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