A Tutorial on Quantile Estimation via Monte Carlo

Cites Work

Approximation Theorems of Mathematical Statistics
A Note on Quantiles in Large Samples
ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
Title not available (Why is that?)
Stochastic simulation: Algorithms and analysis
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Nonparametric Statistical Data Modeling
Iterative Solution of Nonlinear Equations in Several Variables
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Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling
On a Simple Estimate of the Reciprocal of the Density Function
On the estimation of the quantile density function
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Control variates for probability and quantile estimation.
Control Variates for Quantile Estimation
Probabilistic Error Bounds for Simulation Quantile Estimators
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling
Quantile Estimation with Latin Hypercube Sampling
Reclaiming Quasi–Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation Through Fourier Transform
Variance reduction for quantile estimates in simulations via nonlinear controls
Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques
Automated Estimation of Extreme Steady-State Quantiles via the Maximum Transformation

Cited In (2)

Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
Risk-averse optimization of reward-based coherent risk measures

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