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How to estimate quantiles easily and reliably

Abstract:
We describe a practical recipe for determining when to stop a simulation which is intended to estimate quantiles of the unknown distribution of a real-valued random variable. The ability to reliably estimate quantiles translates into an ability to estimate cumulative distribution functions. The description focusses on the practical implementation of the method, and in particular on stopping criteria. Both authors have found the method useful in their day-to-day work.
Publication status:
Published
Peer review status:
Reviewed (other)
Version:
Accepted Manuscript

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
Pembroke College
Role:
Author
Publisher:
Institute of Mathematics and its Applications Publisher's website
Journal:
Mathematics Today Journal website
Volume:
2018
Issue:
February
Pages:
26-29
Publication date:
2018-02-01
Acceptance date:
2017-01-13
ISSN:
1361-2042
Pubs id:
pubs:796234
URN:
uri:4cd0c80b-6d7b-41f5-a4f0-e5dd0cd2515b
UUID:
uuid:4cd0c80b-6d7b-41f5-a4f0-e5dd0cd2515b
Local pid:
pubs:796234

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