I have a collection of datasets with (x,y) - pairs where the value of y is conditional on x. Neither the distribution of x nor of y is known, n is ranging from 1000 to 10000. Here is the scatterplot for one of the sets.
Now I want to calculate the percentiles of y conditional on x, so basically a function mapping x to the e.g. 80th percentile.
My thoughts on this subject:
- To control the variance the percentiles should be calculated on a minimum number of values (e.g. 100, does a rule of the thumb exists for this ?)
- This lead to the idea to discretize x with equal-width-bins, but a smoother curve is more desirable
- Which lead to kernel-functions as used in density estimation, but the formula is not directly applicable to percentile estimation (as far as I see)
- I had a look at Bayesian Networks, but I do not know the distribution of x or y and I am reluctant to make any assumptions here.
At this point I was pretty sure that a standard solution must exist for this kind of problem, for example when it comes to plotting certain properties of y given x (both continuous). So ... what is the common approach here ? Does this problem / method have a name ?