Probabilistic error bounded for simulation quantile estimators

Management Science

Volumn 49, Issue 2, 2003, Pages 230-246

  Jin, Xing ^a   Fu, Michael C ^b   Xiong, Xiaoping ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

Latin hypercube sampling; Quantile estimation; Simulation; Variance reduction

Indexed keywords

ERRORS; FINANCIAL DATA PROCESSING; PROBABILITY DISTRIBUTIONS; REQUIREMENTS ENGINEERING; RISK MANAGEMENT; VALUE ENGINEERING;

FINANCIAL INDUSTRY; SIMULATION QUANTILE ESTIMATORS; VALUE AT RISK;

MANAGEMENT SCIENCE;

EID: 0037300996     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.49.2.230.12743     Document Type: Article

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