Probabilistic Error Bounds for Simulation Quantile Estimators

DOI10.1287/MNSC.49.2.230.12743zbMath1232.91349OpenAlexW2032148197MaRDI QIDQ3114834

Michael C. Fu, Xiaoping Xiong, Xing Jin

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/380a56369c13c22c6845162fadf06e95abe7a313

zbMATH Keywords

Latin hypercube samplingquantile estimationsimulation variance reduction

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05)

Related Items (15)

Quantile estimation with adaptive importance sampling ⋮ Simulating risk measures via asymptotic expansions for relative errors ⋮ Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles ⋮ A simulation-based method for estimating systemic risk measures ⋮ Quantile regression metamodeling: toward improved responsiveness in the high-tech electronics manufacturing industry ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations ⋮ Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques ⋮ Some large deviations results for Latin hypercube sampling ⋮ Distribution-Invariant Risk Measures, Entropy, and Large Deviations ⋮ Performance evaluation of output analysis methods in steady-state simulations ⋮ Efficient Sampling Allocation Procedures for Optimal Quantile Selection ⋮ Selecting the Best Alternative Based on Its Quantile

This page was built for publication: Probabilistic Error Bounds for Simulation Quantile Estimators