Quantile estimation with adaptive importance sampling
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Publication:2380103
Abstract: We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales, we prove the convergence of the adaptive quantile estimators for general distributions with nonunique quantiles thereby extending the work of Feldman and Tucker [Ann. Math. Statist. 37 (1996) 451--457]. We illustrate the algorithm with an example from credit portfolio risk analysis.
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Cited in
(17)- Nonparametric quantile estimation using importance sampling
- Nonparametric quantile estimation using surrogate models and importance sampling
- Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis
- Convergence of Markovian stochastic approximation with discontinuous dynamics
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Nonparametric recursive quantile estimation
- Optimise importance sampling quantile estimation
- Nonparametric estimation of quantiles using importance sampling and surrogate models
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Matching a distribution by matching quantiles estimation
- Estimation of extreme quantiles in a simulation model
- Fast simulations in credit risk
- Rare Event Estimation for Computer Models
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Extensible grid sampling for quantile estimation
- Deterministic computation of quantiles in a Lipschitz framework
- Credit selection in collateralized loan obligation: efficient approximation through linearization and clustering
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