IMPORTANCE SAMPLING FOR MONTE CARLO ESTIMATION OF QUANTILES
By Peter W. Glynn. 2011
128 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/c7d7b5e9b9ca5afff0ef0c79035627b2927322a6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Christiane Lemieux
- Zhonghua Han
- Csaba Szepesvari
- Josef Dick
- Erich Novak
- Tito Homem-de-Mello
- Jean-Yves Tissot
- Chris J. Oates
Citations in the corpus
- Monte Carlo and Quasi-Monte Carlo Sampling (2009, methodology): “More generally, importance sampling is an especially useful tool for estimating probabilities of rare events and quantiles with associated probability close to 0 or 1 [142, 161].”
- Optimizing the CVaR via Sampling (2014, unknown): “Such was proposed by Glynn (1996).”