Control variates for quantile estimation

Authors:
Jason C. Hsu;Barry L. Nelson
Affiliations:
Department of Statistics The Ohio State University, Columbus, OH;Department of Industrial & Systems Engeering, The Ohio State University, Columbus, OH
Venue:
WSC '87 Proceedings of the 19th conference on Winter simulation
Year:
1987

Citing 3
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Abstract

Some new quantile estimators 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. Empirical results are presented.