Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques
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Publication:5176488
DOI10.1145/2558328zbMath1322.68251OpenAlexW2113115437MaRDI QIDQ5176488
Publication date: 26 February 2015
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/2558328
Parametric tolerance and confidence regions (62F25) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)
Related Items (7)
A Multilevel Simulation Optimization Approach for Quantile Functions ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles ⋮ Batching Adaptive Variance Reduction ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Estimation of extreme quantiles in a simulation model
Uses Software
Cites Work
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