Probabilistic Error Bounds for Simulation Quantile Estimators

DOI10.1287/MNSC.49.2.230.12743MaRDI QIDQ3114834zbMATH OpenOpenAlexFDO

Authors Xing Jin, Michael C. Fu, Xiaoping Xiong

Publication date 19 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/380a56369c13c22c6845162fadf06e95abe7a313

zbMATH Keywords

Latin hypercube samplingquantile estimationsimulation variance reduction

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05)

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Cited in

(19)

• Quantile regression metamodeling: toward improved responsiveness in the high-tech electronics manufacturing industry
• Variance reduction for sequential sampling in stochastic programming
• Some large deviations results for Latin hypercube sampling
• Quantile estimation with adaptive importance sampling
• On Assessing the Precision of Simulation Estimates of Percentile Points
• Confidence intervals for quantiles when applying variance-reduction techniques
• Efficient Sampling Allocation Procedures for Optimal Quantile Selection
• Selecting the best alternative based on its quantile
• Simulation Studies of a Hölder Perturbation in a New Estimator for Proportion Considering Extra-Binomial Variability
• A Tutorial on Quantile Estimation via Monte Carlo
• Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
• Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• Distribution-Invariant Risk Measures, Entropy, and Large Deviations
• Performance evaluation of output analysis methods in steady-state simulations
• Simulating risk measures via asymptotic expansions for relative errors
• Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
• A simulation-based method for estimating systemic risk measures
• Extensible grid sampling for quantile estimation

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