Confidence intervals for quantiles when applying variance-reduction techniques

DOI10.1145/2133390.2133394zbMATH Open1386.65015OpenAlexW2154513807MaRDI QIDQ4635188FDOQ4635188

Authors: Fang Chu, Marvin K. Nakayama 

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2133390.2133394

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zbMATH Keywords

quantilecontrol variatesimportance samplingvariance reductionvalue-at-riskstratified samplingantithetic variates

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) Nonparametric tolerance and confidence regions (62G15)

Cited In (17)

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• Conditional-value-at-risk estimation via reduced-order models
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• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
• A method to reduce the width of confidence intervals by using a normal scores transformation
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• Large deviations for weighted empirical measures arising in importance sampling
• Controlled stratification for quantile estimation
• Batching Adaptive Variance Reduction
• Efficient VaR and CVaR measurement via stochastic kriging
• Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
• Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
• Quantile estimation with Latin hypercube sampling

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