Confidence intervals for quantiles when applying variance-reduction techniques

DOI10.1145/2133390.2133394zbMath1386.65015OpenAlexW2154513807MaRDI QIDQ4635188

Marvin K. Nakayama, Fang Chu

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2133390.2133394

zbMATH Keywords

importance samplingvariance reductionvalue-at-riskquantilestratified samplingcontrol variatesantithetic variates

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Monte Carlo methods (65C05)

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