1. Nonparametric Quantile Estimation Based on Surrogate Models
- Author
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Adam Krzyżak, Michael Kohler, Georg Christoph Enss, Roland Platz, and Publica
- Subjects
Statistics::Theory ,Monte Carlo method ,Nonparametric statistics ,020206 networking & telecommunications ,02 engineering and technology ,Function (mathematics) ,Library and Information Sciences ,Quantile function ,01 natural sciences ,Electronic mail ,Computer Science Applications ,Combinatorics ,010104 statistics & probability ,Distribution (mathematics) ,Statistics ,0202 electrical engineering, electronic engineering, information engineering ,Statistics::Methodology ,0101 mathematics ,Random variable ,Information Systems ,Quantile ,Mathematics - Abstract
Nonparametric estimation of a quantile $q_{m(X),\alpha }$ of a random variable $m(X)$ is considered, where $m: \mathbb {R}^{d}\rightarrow \mathbb {R}$ is a function, which is costly to compute and $X$ is an $ \mathbb {R}^{d}$ -valued random variable with known distribution. Monte Carlo surrogate quantile estimates are considered, where in a first step, the function $m$ is estimated by some estimate (surrogate) $m_{n}$ , and then, the quantile $q_{m(X),\alpha }$ is estimated by a Monte Carlo estimate of the quantile $q_{m_{n}(X),\alpha }$ . A general error bound on the error of this quantile estimate is derived, which depends on the local error of the function estimate $m_{n}$ , and the rates of convergence of the corresponding Monte Carlo surrogate quantile estimates are analyzed for two different function estimates. The finite sample size behavior of the estimates is investigated in simulations.
- Published
- 2016