Confidence intervals for quantiles when applying variance-reduction techniques

DOI10.1145/2133390.2133394MaRDI QIDQ4635188zbMATH OpenOpenAlexFDO

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

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)

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• Confidence intervals for quantiles using sectioning when applying variance-reduction techniques
• 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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