Nonparametric recursive quantile estimation

DOI10.1016/j.spl.2014.06.007zbMath1463.62093OpenAlexW2042204282MaRDI QIDQ395976

Harro Walk, Adam Krzyżak, Michael Kohler

Publication date: 8 August 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.06.007

zbMATH Keywords

rate of convergenceimportance samplingRobbins-Monro procedurenonparametric quantile estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models, Narrow big data in a stream: computational limitations and regression, Nonparametric quantile estimation using importance sampling, Estimation of extreme quantiles in a simulation model

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