Confidence intervals for quantiles when applying variance-reduction techniques
DOI10.1145/2133390.2133394zbMATH Open1386.65015OpenAlexW2154513807MaRDI QIDQ4635188FDOQ4635188
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
quantilecontrol variatesimportance samplingvariance reductionvalue-at-riskstratified samplingantithetic variates
Nonparametric estimation (62G05) Monte Carlo methods (65C05) Nonparametric tolerance and confidence regions (62G15)
Cited In (15)
- Efficient VaR and CVaR Measurement via Stochastic Kriging
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- Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
- Estimation of extreme quantiles in a simulation model
- A Tutorial on Quantile Estimation via Monte Carlo
- 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
- Conditional-Value-at-Risk Estimation via Reduced-Order Models
- Large deviations for weighted empirical measures arising in importance sampling
- Batching Adaptive Variance Reduction
- Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
- Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques
- Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
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