Control Variates for Quantile Estimation

DOI10.1287/MNSC.36.7.835MaRDI QIDQ3497037zbMATH OpenOpenAlexFDO

Authors Jason C. Hsu, Barry L. Nelson

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

confidence intervalcontrol variateinterval estimatorsmaximum likelihoodmean squared errorquantilesqueueingsimulationstochastic activity network modelsunbiased testsvariance reduction

Mathematics Subject Classification ID

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

Recommendations

• On control variate estimators
• Monte Carlo, Control Variates, and Stochastic Ordering
• Control Variates for Monte Carlo Analysis of Nonlinear Statistical Models, I: Overview
• scientific article; zbMATH DE number 1790424
• Control Variate Remedies

Cited in

(16)

• On control variate estimators
• A splitting scheme for control variates
• Quantile estimation with adaptive importance sampling
• Quantile and tolerance-interval estimation in simulation
• Efficient VaR and CVaR measurement via stochastic kriging
• On controlling variates in network simulation
• Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
• A Tutorial on Quantile Estimation via Monte Carlo
• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
• Deterministic computation of quantiles in a Lipschitz framework
• Adaptive sequential selection procedures for optimal quantile with control variates
• Control variate method for stationary processes
• Controlled stratification for quantile estimation

This page was built for publication: Control Variates for Quantile Estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3497037)