Nonparametric recursive quantile estimation

Michael Kohler, Adam Krzyżak and Harro Walk

Statistics & Probability Letters, 2014, vol. 93, issue C, 102-107

Abstract: A simulation model with outcome Y=m(X) is considered, where X is an Rd-valued random variable and m:Rd→R is p-times continuously differentiable. It is shown that an importance sampling Robbins–Monro type quantile estimate achieves for 0Keywords: Nonparametric quantile estimation; Importance sampling; Rate of convergence; Robbins–Monro procedure (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.007

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