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- W2912668202 abstract "ABSTRACTA simulation model with an outcome Y=m(X) is considered, where X is an Rd-valued random variable and m:Rd→R is a smooth function. Estimates of the αn-quantile qm(X),αn of m(X) based on surrogate model of m and on importance sampling are constructed which use at most n evaluations of the function m. Results concerning the rate of convergence of the estimates are derived in case that αn→1 (n→∞) and n⋅(1−αn)→0 (n→∞). Finite sample behaviour of the estimates is illustrated by simulations." @default.
- W2912668202 created "2019-02-21" @default.
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- W2912668202 date "2019-01-22" @default.
- W2912668202 modified "2023-10-07" @default.
- W2912668202 title "Estimation of extreme quantiles in a simulation model" @default.
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- W2912668202 doi "https://doi.org/10.1080/10485252.2019.1567727" @default.
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