Variance reduction for quantile estimates in simulations via nonlinear controls

DOI10.1080/03610919008812905zbMath0850.62245OpenAlexW2053435990MaRDI QIDQ4019219

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)

Related Items (2)

Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ A Tutorial on Quantile Estimation via Monte Carlo

Cites Work

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

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