An Adaptive Filtering Procedure for Estimating Regression Quantiles

Wilpen L. Gorr and Cheng Hsu
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Wilpen L. Gorr: School of Public Administration, The Ohio State University, Columbus, Ohio 43210
Cheng Hsu: School of Management, Rensselaer Polytechnic Institute, Troy, New York 12181

Management Science, 1985, vol. 31, issue 8, 1019-1029

Abstract: Applications of reliability theory and some forms of chance-constrained programming need real-time, nonstationary estimates of regression quantiles to trigger preventive actions, thereby avoiding undesirable system states. We have designed the Quantile Estimation Procedure (QEP) for this purpose. QEP is a new adaptive filter that nonparametrica11y estimates time-varying parameters of multivariate regression quantiles. Results of Monte Carlo tests show that QEP provides accurate estimates for a range of stochastic processes. Falling within this range is the case study of this paper on monitoring compliance with short-term air quality standards.

Keywords: forecasting/time; series (search for similar items in EconPapers)
Date: 1985
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