Probabilistic evaluation of quantile estimators
نویسندگان
چکیده
منابع مشابه
Probabilistic Error Bounds for Simulation Quantile Estimators
Quantile estimation has become increasingly important, particularly in the financial industry, where value at risk (VaR) has emerged as a standard measurement tool for controlling portfolio risk. In this paper, we analyze the probability that a simulation-based quantile estimator fails to lie in a prespecified neighborhood of the true quantile. First, we show that this error probability converg...
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 2019
ISSN: 0361-0926,1532-415X
DOI: 10.1080/03610926.2019.1696975