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Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques
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Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques (2014)Confidence Intervals for Quantiles Using …Confidence intervals for quantiles when applying variance-reduction techniques (2012)Confidence intervals for quan…Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (2010)Asymptotic representations fo…Stochastic Simulation (2007)Stochastic SimulationProbabilistic Error Bounds for Simulation Quantile Estimators (2003)Probabilistic Error Bounds fo…Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Stochastic-process limits : a…Variance Reduction Techniques for Estimating Value-at-Risk (2000)Variance Reduction Techniques…Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments (1998)Correlation-Induction Techniq…Control Variates for Probability and Quantile Estimation (1998)Control Variates for Probabil…An Overview of Value at Risk (1997)An Overview of Value at RiskSimulation Output Analysis Using Standardized Time Series (1990)Simulation Output Analysis Us…Control Variates for Quantile Estimation (1990)Control Variates for Quantile…A Classified Bibliography Of Research On Stochastic Pert Networks: 1966-1987 (1989)A Classified Bibliography Of …Batch Size Effects in the Analysis of Simulation Output (1982)Batch Size Effects in the Ana…Simulating Stable Stochastic Systems, VI: Quantile Estimation (1976)The Transient Behavior of the M/M/s Queue, with Implications for Steady-State Simulation (1985)A guide to simulation (2nd ed.) (1986)Quantile and tolerance-interval estimation in simulation (2004)Fast simulation of rare events in queueing and reliability models (1995)Return to RiskMetrics: The Evolution of a Standard (2001)Value at Risk (2001)Options, Futures and Other Derivatives (2003)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Principles of Discrete Event Simulation. (1980)Overlapping batch means: something for nothing? (1984)Steady-state simulation of queueing processes: survey of problems and solutions (1990)A Guide to Simulation (1983)Confidence Interval Estimation Using Standardized Time Series (1983)An Implementation of the Batch Means Method (1997)Chapter 17 Selecting the Best System (2006)On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation (2006)A procedure for selecting a subset of size m containing the l best of k independent normal populations, with applications to simulation (1985)Control Variate Remedies (1990)Quantile Estimation with Latin Hypercube Sampling (2017)Critical path methods in construction practice (1970)Activity networks: Project planning and control by network models (1977)Large Sample Properties of Simulations Using Latin Hypercube Sampling (1987)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Dynamic Routing in Large-Scale Service Systems with Heterogeneous Servers (2005)Queue-and-Idleness-Ratio Controls in Many-Server Service Systems (2009)Control of Patient Flow in Emergency Departments, or Multiclass Queues with Deadlines and Feedback (2015)Better Estimation of PERT Activity Time Parameters (1993)Using a risk register to integrate risk management in project definition (1994)R&D project scheduling when activities may fail (2008)A Guide to Sample Average Approximation (2014)Simulation Modeling and Analysis (2016)A unified framework for stochastic optimization (2018)
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References

  • 1997An Overview of Value at Risk1,320 cited
  • 2007Stochastic Simulation1,121 cited
  • 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
  • 1982Batch Size Effects in the Analysis of Simulation Output366 cited
  • 1990Simulation Output Analysis Using Standardized Time Series228 cited
  • 2000Variance Reduction Techniques for Estimating Value-at-Risk217 cited
  • 1989A Classified Bibliography Of Research On Stochastic Pert Networks: 1966-1987119 cited
  • 1998Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments90 cited
  • 1990Control Variates for Quantile Estimation66 cited
  • 1998Control Variates for Probability and Quantile Estimation62 cited
  • 2012Confidence intervals for quantiles when applying variance-reduction techniques58 cited
  • 2003Probabilistic Error Bounds for Simulation Quantile Estimators56 cited
  • 2010Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk48 cited

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