Abstract
Quantiles are used to measure risk in many application areas. We consider simulation methods for estimating a quantile using a variance-reduction technique that combines stratified sampling and control variates. We provide an asymptotically valid confidence interval for the quantile.
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Nakayama, M.K. (2015). Quantile Estimation Using a Combination of Stratified Sampling and Control Variates. In: Gen, M., Kim, K., Huang, X., Hiroshi, Y. (eds) Industrial Engineering, Management Science and Applications 2015. Lecture Notes in Electrical Engineering, vol 349. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-47200-2_12
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DOI: https://doi.org/10.1007/978-3-662-47200-2_12
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