Estimation of extreme quantiles in a simulation model
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Publication:5742402
DOI10.1080/10485252.2019.1567727zbMATH Open1418.62118OpenAlexW2912668202MaRDI QIDQ5742402FDOQ5742402
Authors: Michael Kohler, Adam Krzyżak 
Publication date: 14 May 2019
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485252.2019.1567727
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)
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Cited In (12)
- Nonparametric recursive quantile estimation
- Probabilistic Error Bounds for Simulation Quantile Estimators
- On Assessing the Precision of Simulation Estimates of Percentile Points
- Simulation and estimation of extreme quantiles and extreme probabilities
- Nonparametric quantile estimation using importance sampling
- Estimation of a density in a simulation model
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Multi-element stochastic spectral projection for high quantile estimation
- Nonparametric estimation of a maximum of quantiles
- Nonparametric quantile estimation using surrogate models and importance sampling
- Estimating quantiles in imperfect simulation models using conditional density estimation
- Estimating extreme probabilities using tail simulated data
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