A Space-Efficient Recursive Procedure for Estimating a Quantile of an Unknown Distribution

DOI10.1137/0904048zbMath0524.65099OpenAlexW2037676475WikidataQ61688121 ScholiaQ61688121MaRDI QIDQ3036670

Luke Tierney

Publication date: 1983

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0904048

zbMATH Keywords

stochastic approximationsimulation resultsasymptotic variancequantile estimationrecursive estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (12)

Sequential online subsampling for thinning experimental designs ⋮ Quantile estimation with adaptive importance sampling ⋮ Monitoring networked applications with incremental quantile estimation ⋮ Estimating percentage points by simulation ⋮ Nonparametric recursive quantile estimation ⋮ A smoothing stochastic algorithm for quantile estimation ⋮ Joint tracking of multiple quantiles through conditional quantiles ⋮ An approximation procedure of quantiles using an estimation of kernel method for quality control ⋮ Real Time Anomaly Detection And Categorisation ⋮ Simultaneous probability statements for Bayesian P-splines ⋮ Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures ⋮ Smooth nonparametric estimation of the quantile function

This page was built for publication: A Space-Efficient Recursive Procedure for Estimating a Quantile of an Unknown Distribution