Extensible grid sampling for quantile estimation

DOI10.1090/MCOM/3986MaRDI QIDQ6657190zbMATH OpenFDO

Authors Jingyu Tan, Zhijian He, Xiaoqun Wang

Publication date 6 January 2025

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/MCOM/3986

zbMATH Keywords

asymptotic normalityextensible grid samplingHilbert's space-filling curvequantilequasi-Monte Carlo method

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05)

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Cites work

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• Alternative Algorithm for Hilbert's Space-Filling Curve
• Asymptotic normality of extensible grid sampling
• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
• Convergence of sequential quasi-Monte Carlo smoothing algorithms
• Convergence with Hilbert's space filling curve
• Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
• Empirical Processes with Applications to Statistics
• Extensible Grids: Uniform Sampling on a Space Filling Curve
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• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
• Sequential quasi Monte Carlo. With discussion and authors' reply
• Space-filling curves
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
• Using state diagrams for hilbert curve mappings

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