Confidence Intervals and Regions for Quantiles using Conditional Monte Carlo and Generalized Likelihood Ratios.
Lei LeiChristos AlexopoulosYijie PengJames R. WilsonPublished in: WSC (2020)
Keyphrases
- monte carlo
- confidence intervals
- markov chain
- importance sampling
- monte carlo simulation
- monte carlo methods
- stochastic systems
- variance reduction
- adaptive sampling
- monte carlo tree search
- particle filter
- maximum likelihood
- matrix inversion
- sliding window
- data distribution
- conditional probabilities
- point processes
- stopping rules
- data sets
- markovian decision
- game tree
- sample size
- test set
- high dimensional
- computational complexity