2015 | OriginalPaper | Chapter
Quantile Estimation Using a Combination of Stratified Sampling and Control Variates
Author : Marvin K. Nakayama
Published in: Industrial Engineering, Management Science and Applications 2015
Publisher: Springer Berlin Heidelberg
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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.