A Tutorial on Quantile Estimation via Monte Carlo

DOI10.1007/978-3-030-43465-6_1MaRDI QIDQ5117919zbMATH OpenOpenAlexFDO

Authors Hui Dong, Marvin K. Nakayama

Publication date 26 August 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-43465-6_1

zbMATH Keywords

confidence intervalsvalue-at-riskpercentilevariance-reduction techniques

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites work

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• Confidence intervals for quantiles when applying variance-reduction techniques
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• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• Iterative Solution of Nonlinear Equations in Several Variables
• Large sample behavior of the CTE and VaR estimators under importance sampling
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Nonparametric Statistical Data Modeling
• On a Simple Estimate of the Reciprocal of the Density Function
• On the Bahadur representation of sample quantiles for dependent sequences
• On the estimation of the quantile density function
• Probabilistic Error Bounds for Simulation Quantile Estimators
• Quantile estimation with Latin hypercube sampling
• Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform
• Stochastic simulation: Algorithms and analysis
• The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
• The use of cutsets in Monte Carlo analysis of stochastic networks
• Variance Reduction Techniques for Estimating Value-at-Risk
• Variance reduction for quantile estimates in simulations via nonlinear controls

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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