Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
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Cites work
- A Classified Bibliography Of Research On Stochastic Pert Networks: 1966-1987
- A New Proof of the Bahadur Representation of Quantiles and an Application
- A Note on Quantiles in Large Samples
- Approximation Theorems of Mathematical Statistics
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
- Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
- Batch Size Effects in the Analysis of Simulation Output
- Bootstrap methods: another look at the jackknife
- Confidence intervals for quantiles when applying variance-reduction techniques
- Control variates for probability and quantile estimation.
- Control Variates for Quantile Estimation
- Correlation-induction techniques for estimating quantiles in simulation experiments
- Exact convergence rate of bootstrap quantile variance estimator
- scientific article; zbMATH DE number 3656936 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- scientific article; zbMATH DE number 847282 (Why is no real title available?)
- On a Simple Estimate of the Reciprocal of the Density Function
- On the estimation of the quantile density function
- On the validity of the batch quantile method for Markov chains
- Probabilistic Error Bounds for Simulation Quantile Estimators
- Simulation Output Analysis Using Standardized Time Series
- Stochastic simulation: Algorithms and analysis
- Stochastic-Process Limits
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- The jackknife and bootstrap
- Variance Reduction Techniques for Estimating Value-at-Risk
- WHICH PART OF THE SAMPLE CONTAINS THE INFORMATION?
Cited in
(14)- Efficient VaR and CVaR measurement via stochastic kriging
- Quantile estimation with Latin hypercube sampling
- Confidence intervals for quantiles when applying variance-reduction techniques
- A Multilevel Simulation Optimization Approach for Quantile Functions
- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
- A Tutorial on Quantile Estimation via Monte Carlo
- Estimation of extreme quantiles in a simulation model
- Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
- Batching Adaptive Variance Reduction
- Enhancing response predictions with a joint Gaussian process model for stochastic simulation models
- Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics
- Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
- Extensible grid sampling for quantile estimation
- Controlling antithetic variates
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