Some Asymptotic Regimes for Quantile Estimation

Marvin K Nakayama (1) , Bruno Tuffin (2)

1 NJIT - New Jersey Institute of Technology [Newark]
2 ERMINE - mEasuRing and ManagIng Network operation and Economic

The paper examines the relative errors (REs) of quantile estimators of various stochastic models under different asymptotic regimes. Depending on the particular limit considered and the Monte Carlo method applied, the RE may be vanishing, bounded, or unbounded. We provide examples of these possibilities.

Domaines: Statistiques [math.ST]

Marvin K Nakayama, Bruno Tuffin. Some Asymptotic Regimes for Quantile Estimation. 2024. ⟨hal-04551483⟩