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Recursive Quantile Estimation through a Stochastic Algorithm

Year: 2020       Vol.: 69       No.: 1      

Authors: A. Bachir and K. Djeddour-Djaballah

Abstract:

In this paper, we propose an estimate of a quantile of an unknown population. By considering this problem as a stochastic approximation problem, we obtain an estimator of the quantile and provide the almost-sure convergence as well as the asymptotic normality of this estimator. Some simulation results are presented to show that the proposed estimator works well.

Keywords: stochastic approximation, non-parametric estimation, quantile estimation

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