Quantile Estimation with a Complex Survey Design

Quantile Estimation with Latin Hypercube Sampling

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Sequential Design of Computer Experiments for the Estimation of a Quantile with Application to Numerical Dosimetry

In this paper, we propose a sequential sampling approach for estimating the quantile of Y = f(X), where X has a known distribution in R and f is an unknown, expensive-to-evaluate real-valued function. Our approach aims at estimating the quantile by using as few evaluations of f as possible and consists in modelling f as the sample of a well-chosen Gaussian process. Our method called GPquantile ...

Steady-state quantile estimation

Steady state simulation is used to study long-run behavior. Usually only the expected value of the steady state probability distribution function is estimated. In many cases quantiles of this distribution are of higher interest. In this paper a new usage of quantile estimators is proposed, which is derived from mean value analysis and is based on multiple independent replications. The advantage...

Quantile Estimation with Adaptive Importance Sampling

Censored Quantile Instrumental Variable Estimation with Stata

Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (2015) introduced a censored quantile instrumental variable estimator (CQIV) for use in those applications, which has been applied by Kowalski (2016), among others. In this article, we introduce a Stata command, cqiv, that simplifes application of the CQIV estimator in Stata. We s...