Abstract
We use sectioning to construct a confidence interval (CI) for a quantile when applying antithetic variates, which is a well-known variance-reduction technique. Closely related to batching, sectioning starts with the batching CI and replaces the batching quantile estimator with the overall quantile estimator throughout. Since the overall quantile estimator often has smaller bias than the batching quantile estimator, the sectioning CI is centered at a better point estimator, and this should lead to sectioning CIs having better coverage than batching CIs.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 172-179 |
| Number of pages | 8 |
| Journal | Simulation Series |
| Volume | 46 |
| Issue number | 10 |
| State | Published - 2014 |
| Event | Summer Computer Simulation Conference, SCSC 2014, Part of the 2014 Summer Simulation Multiconference, SummerSim 2014 - Monterey, United States Duration: Jul 6 2014 → Jul 10 2014 |
All Science Journal Classification (ASJC) codes
- Computer Networks and Communications
Keywords
- Antithetic variates
- Confidence interval
- Monte Carlo
- Quantile
- Sectioning
- Value-at-risk
- Variance reduction