Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques

• DOI: 10.1145/2558328
• Publication Date: 2014-05-07T12:48:53Z
• Authors: Marvin K. Nakayama
• Keywords: Quantile; Variance reduction; Control variates

We develop confidence intervals (CIs) for quantiles when applying variance-reduction techniques (VRTs) and sectioning. Similar to batching, sectioning partitions the independent identically distributed (i.i.d.) outputs into nonoverlapping batches computes a quantile estimator from each batch. But rather than centering CI at average of estimators across batches, as in centers overall based on all outputs. A similar modification is made sample variance, which used determine width CI. establish asymptotic validity importance sampling control variates, proofs rely first showing that corresponding satisfy Bahadur representation, we have done prior work. Here, present some numerical results.