| Autor: |
Heimrich, Felix, Kohler, Michael, Kristl, Lisa |
| Předmět: |
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| Zdroj: |
Statistica Sinica; Jan2020, Vol. 30 Issue 1, p135-151, 17p, 1 Chart |
| Abstrakt: |
This study considers the problem of estimating a time-dependent quantile at each time point t ∈ [0; 1], given independent samples of a stochastic process at discrete time points in [0, 1]. It is assumed that the quantiles depend smoothly on t. Here we present the rate of convergence of quantile estimates based on a local average estimate of the time-dependent cumulative distribution functions. Then we apply importance sampling in a simulation model to construct estimates that achieve better rates of convergence. Lastly, we demonstrate the finite-sample performance of our estimates by applying them to simulated data. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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