Non-parametric Quantile Estimation Through Stochastic Approximation.
NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF
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The extreme values which a random variable X may take on are usually best characterized by the quantiles of the random variable. Known non-parametric methods for the statistical estimation of extreme quantiles all suffer from serious shortcomings, however. In this thesis a robust and efficient method for quantile estimation is described both the asymptotic and finite sample properties of the estimator are determined and computer implementations are given. Possible applications for the technique include the analysis of computer simulations and data analysis in large data bases or real time computer systems.
- Statistics and Probability
- Computer Hardware