Control Variates for Probability and Quantile Estimation

DOI10.1287/mnsc.44.9.1295zbMath1103.90374OpenAlexW2150665263MaRDI QIDQ2784035

Barry L. Nelson, T. C. Hesterberg

Publication date: 16 October 2002

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.44.9.1295

Mathematics Subject Classification ID

Operations research and management science (90B99)

Related Items (9)

Quantile estimation with adaptive importance sampling ⋮ Risk bounds when learning infinitely many response functions by ordinary linear regression ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques ⋮ Controlled stratification for quantile estimation ⋮ Monte Carlo integration with a growing number of control variates ⋮ Quantile and tolerance-interval estimation in simulation ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk ⋮ Efficient nonparametric estimation of a distribution function.

This page was built for publication: Control Variates for Probability and Quantile Estimation