| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151511 | Statistics & Probability Letters | 2014 | 6 Pages |
Abstract
A simulation model with outcome Y=m(X)Y=m(X) is considered, where XX is an RdRd-valued random variable and m:Rd→Rm:Rd→R is pp-times continuously differentiable. It is shown that an importance sampling Robbins–Monro type quantile estimate achieves for 0
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michael Kohler, Adam Krzyżak, Harro Walk,