Sequential estimation of quantiles from delayed observations

Agnieszka Stępień-Baran

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 6, 1937-1945

Abstract: The problem of sequentially estimating quantiles is considered in the case when the observations become available at random times. Certain class of sequential estimation procedures which are composed of optimal stopping time and sequential minimum risk invariant estimator of a median is obtained under a invariant loss function and with the observation cost determined by a convex function of the moment of stopping and the number of observations up to this moment.

Date: 2023
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DOI: 10.1080/03610926.2021.1942048

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