2023/04/14 by Andrey Akinshin, Akinshin, Andrey
Computer Science · Mathematics · #62G05 #Advanced Statistical Methods and Models #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Methodology (stat.ME) #Statistical Distribution Estimation and Applications
paper · pdf · doi:10.48550/arxiv.2304.07265
openalex publication_date 2023/04/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we consider a generic scheme that allows building weighted versions of various quantile estimators, such as traditional quantile estimators based on linear interpolation of two order statistics, the Harrell-Davis quantile estimator and its trimmed modification. The obtained weighted quantile estimators are especially useful in the problem of estimating a distribution at the tail of a time series using quantile exponential smoothing. The presented approach can also be applied to other problems, such as quantile estimation of weighted mixture distributions.