Abstract
We consider the problem of constructing an on-line (recursive) algorithm for tracking a conditional spatial median, a center of a multivariate distribution. In the one-dimensional case we also track conditional quantiles of arbitrary level. We establish a nonasymptotic upper bound for the L
Original language | English |
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Pages (from-to) | 519-538 |
Journal | Sequential Analysis |
Volume | 33 |
DOIs | |
Publication status | Published - 2014 |