Variance reduction for quantile estimates in simulations via nonlinear controls

DOI10.1080/03610919008812905MaRDI QIDQ4019219zbMATH OpenOpenAlexFDO

Authors Richard L. Ressler, Peter A. W. Lewis

Publication date 16 January 1993

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919008812905

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites work

• A Batching Approach to Quantile Estimation in Regenerative Simulations
• Approximation Theorems of Mathematical Statistics
• Control Variate Remedies
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
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• Indirect Estimation Via L = λW
• On the asymptotic joint normality of quantiles from a multivariate distribution
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Variance Reduction Using Nonlinear Controls and Transformations

Cited in

(3)

• Efficient VaR and CVaR measurement via stochastic kriging
• A Tutorial on Quantile Estimation via Monte Carlo
• Adaptive sequential selection procedures for optimal quantile with control variates

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