An Adaptive Filtering Procedure for Estimating Regression Quantiles
设计了一种新的自适应滤波程序QEP，用于非参数估计多变量回归分位数的时变参数，蒙特卡洛测试表明其能准确估计多种随机过程，并应用于空气质量监测案例。
Applications of reliability theory and some forms of chance-constrained programming need real-time, nonstationary estimates of regression quantiles to trigger preventive actions, thereby avoiding undesirable system states. We have designed the Quantile Estimation Procedure (QEP) for this purpose. QEP is a new adaptive filter that nonparametrica11y estimates time-varying parameters of multivariate regression quantiles. Results of Monte Carlo tests show that QEP provides accurate estimates for a range of stochastic processes. Falling within this range is the case study of this paper on monitoring compliance with short-term air quality standards.