@inproceedings{3de94c48ed0b4f8dbfc3d7299412c85e,
title = "Quantile estimation using a combination of stratified sampling and control variates",
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.",
keywords = "Confidence interval, Monte Carlo simulation, Quantile, Risk, Value-at-risk, Variance reduction",
author = "Nakayama, {Marvin K.}",
note = "Publisher Copyright: {\textcopyright} Springer-Verlag Berlin Heidelberg 2015.; International Conference on Industrial Engineering, Management Science and Applications, ICIMSA 2015 ; Conference date: 26-05-2015 Through 28-05-2015",
year = "2015",
doi = "10.1007/978-3-662-47200-2_12",
language = "English (US)",
isbn = "9783662471999",
series = "Lecture Notes in Electrical Engineering",
publisher = "Springer Verlag",
pages = "105--114",
editor = "Kim, {Kuinam J.} and Mitsuo Gen and Yabe Hiroshi and Xiaoxia Huang",
booktitle = "Industrial Engineering, Management Science and Applications 2015",
address = "Germany",
}