Control variates for probability and quantile estimation.

DOI10.1287/MNSC.44.9.1295MaRDI QIDQ2784035zbMATH OpenOpenAlexFDO

Authors Barry L. Nelson, Timothy C. Hesterberg

Publication date 16 October 2002

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.44.9.1295

Mathematics Subject Classification ID

Operations research and management science (90B99)

Cited in

(14)

• Efficient nonparametric estimation of a distribution function.
• Quantile estimation with adaptive importance sampling
• Quantile and tolerance-interval estimation in simulation
• Risk bounds when learning infinitely many response functions by ordinary linear regression
• A Tutorial on Quantile Estimation via Monte Carlo
• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• Monte Carlo integration with a growing number of control variates
• 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
• Covariance expressions for multifidelity sampling with multioutput, multistatistic estimators: application to approximate control variates
• Deterministic computation of quantiles in a Lipschitz framework
• An approximate control variates approach to multifidelity distribution estimation
• Adaptive sequential selection procedures for optimal quantile with control variates
• Controlled stratification for quantile estimation

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