论文信息 - On properties of the algorithm for pursuing a drifting quantile

On properties of the algorithm for pursuing a drifting quantile

The recurrent algorithm for pursuing a time-varying (“drifting”) quantile is suggested. The common nonasymptotic upper bound of the algorithm quality is established, which is then used in a few examples of the conditions for the quantile drift function. Estimates of the degree (rate) of convergence of the algorithm for the considered examples are obtained.

Paulo Serra | Eduard N. Belitser | E. Belitser | P. Serra

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