The Method of Simulated Quantiles
نویسندگان
چکیده
منابع مشابه
The Method of Simulated Quantiles
We introduce an inference method based on quantiles matching, which is useful for situations where the density function does not have a closed form –but it is simple to simulate– and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with sample quantiles, which depend on observations. Since the theoretical qua...
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Confidence intervals for the median of estimators or other quantiles were proposed as a substitute for usual confidence intervals in terminating and steady-state simulation. They are easy to obtain, the variance of the estimator is not used, they are well suited for correlated simulation output data, apply to functions of estimators, and in simulation they seem to be particularly accurate. For ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1561185