Control Variates for Quantile Estimation

New point and interval estimators for quantiles that employ a control variate are introduced. The properties of these estimators do not depend on the usual assumption of joint normality between the random variable of interest and the control. Illustrative examples for queueing and stochastic activity network models are given. In those examples, the new estimators are superior to the standard estimator in terms of the mean squared error of the point estimator and the length of the confidence interval.

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Year of publication:	1990
Authors:	Hsu, Jason C. ; Nelson, Barry L.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 36.1990, 7, p. 835-851
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	control variates \| quantiles \| simulation \| variance reduction \| maximum likelihood \| unbiased tests

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.36.7.835 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009191658