分位数估计的控制变量法

Control Variates for Quantile Estimation

Management Science · 1990
被引 67
人大 A+FT50UTD24ABS 4*

中文导读

提出使用控制变量来改进分位数的点估计和区间估计,无需假设联合正态性,在排队和随机活动网络模型中优于传统估计量。

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.

控制变量分位数估计置信区间均方误差