Joseph, Ajin George ; Bhatnagar, Shalabh (2019) An Incremental Algorithm for Estimating Extreme Quantiles In: Sixth Indian Control Conference (ICC), 18-20 Dec. 2019, Hyderabad, India.
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Official URL: http://doi.org/10.1109/ICC47138.2019.9123207
Related URL: http://dx.doi.org/10.1109/ICC47138.2019.9123207
Abstract
Extreme quantile is a very influential and powerful performance measure in high risk environments like financial markets, targeted advertising and high frequency trading. Extreme quantiles are defined as the threshold in the range of the performance values of the system being monitored beyond which the probability is extremely low. Unfortunately, the estimation of extreme quantiles is usually accompanied by high variance. We provide an incremental, single pass and adaptive variance reduction technique to estimate extreme quantiles. We further provide additional theoretical and empirical analysis pertaining to the effectiveness of our approach. Our experiments show considerable performance improvement over other widely popular algorithms.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Source: | Copyright of this article belongs to Institute of Electrical and Electronics Engineers. |
| ID Code: | 116620 |
| Deposited On: | 12 Apr 2021 07:13 |
| Last Modified: | 12 Apr 2021 07:13 |
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