Control Variates for Quantile Estimation

Jason C. Hsu and Barry L. Nelson
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Jason C. Hsu: Department of Statistics, Ohio State University, Columbus, Ohio 43210-1271
Barry L. Nelson: Department of Industrial and Systems Engineering, Ohio State University, Columbus, Ohio 43210

Management Science, 1990, vol. 36, issue 7, 835-851

Abstract: New point and interval estimators for quantiles 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. Illustrative examples for queueing and stochastic activity network models are given. In those examples, the new estimators are superior to the standard estimator in terms of the mean squared error of the point estimator and the length of the confidence interval.

Keywords: control variates; quantiles; simulation; variance reduction; maximum likelihood; unbiased tests (search for similar items in EconPapers)
Date: 1990
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