Control Variates for Quantile Estimation

DOI10.1287/MNSC.36.7.835zbMath0711.62024OpenAlexW2031455838MaRDI QIDQ3497037

Barry L. Nelson, Jason C. Hsu

Publication date: 1990

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

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/5292

zbMATH Keywords

queueingsimulationmean squared errormaximum likelihoodconfidence intervalvariance reductionquantilescontrol variateunbiased testsinterval estimatorsstochastic activity network models

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Point estimation (62F10)

Related Items (9)

Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts ⋮ Quantile estimation with adaptive importance sampling ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques ⋮ Efficient estimation of extreme quantiles using adaptive kriging and importance sampling ⋮ Deterministic computation of quantiles in a Lipschitz framework ⋮ Quantile and tolerance-interval estimation in simulation ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

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