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Statistical Properties and Control Algorithms of Recursive Quantile Estimators
Author(s) -
Möller Eva,
Grieszbach Gert,
Schack Bärbel,
Witte Herbert
Publication year - 2000
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/1521-4036(200010)42:6<729::aid-bimj729>3.0.co;2-w
Subject(s) - estimator , quantile , computation , variance (accounting) , algorithm , mathematics , extension (predicate logic) , computer science , statistics , mathematical optimization , accounting , business , programming language
The present study is an extension of the investigations made by Grieszbach and Schack (1993) where the recursive estimators of the quantile were introduced. Attention is focused on statistical properties and on the controlling of these estimators in order to reduce their variance and to improve their capability of adaptation. Using methods of stochastic approximation, several control algorithms have been developed, where both the consistent and the adaptive estimation are considered. Due to the recursive computation formula the estimators are suitable for the analysis of large data sets and for sets whose elements are obtained sequentially. In this study, application examples from the analysis of EEG‐records are presented, where quantiles are used as threshold values.