A Tutorial on Quantile Estimation via Monte Carlo (Q5117919): Difference between revisions

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+Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling
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+Automated Estimation of Extreme Steady-State Quantiles via the Maximum Transformation
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+Stochastic simulation: Algorithms and analysis
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+Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments
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+A note on bootstrapping the variance of sample quantile
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+A Note on Quantiles in Large Samples
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+Q4836494
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+On a Simple Estimate of the Reciprocal of the Density Function
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+ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
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+Controlled stratification for quantile estimation
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+Confidence intervals for quantiles when applying variance-reduction techniques
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+Q3323133
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+Quantile Estimation with Latin Hypercube Sampling
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+On the estimation of the quantile density function
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+A New Proof of the Bahadur Representation of Quantiles and an Application
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+Q4433608
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+Variance Reduction Techniques for Estimating Value-at-Risk
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+Control Variates for Probability and Quantile Estimation
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+Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
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+Control Variates for Quantile Estimation
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+Probabilistic Error Bounds for Simulation Quantile Estimators
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+Reclaiming Quasi–Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation Through Fourier Transform
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+Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
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+The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling
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+Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques
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+Iterative Solution of Nonlinear Equations in Several Variables
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+Nonparametric Statistical Data Modeling
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+Variance reduction for quantile estimates in simulations via nonlinear controls
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+Approximation Theorems of Mathematical Statistics
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+The use of cutsets in Monte Carlo analysis of stochastic networks
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+Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
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+On the Bahadur representation of sample quantiles for dependent sequences
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