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Avtomatika i Telemekhanika, 2013, Issue 6, Pages 57–65 (Mi at5159)  
Stochastic Systems, Queuing Systems

On approximate computation of the quantile criterion

Yu. S. Kan, A. A. Travin

Moscow Aviation Institute, Moscow, Russia
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Abstract: We propose a method for computing the quantile criterion with given accuracy based on the use of converging sequences of two-sided approximations to the probabilistic criterion. The method is applied to solving the estimation problem for a given quantile level for the distribution of the norm of a two-dimensional Gaussian vector with correlated components.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 21.06.2012
English version:
Automation and Remote Control, 2013, Volume 74, Issue 6, Pages 944–950
DOI: https://doi.org/10.1134/S0005117913060052
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. S. Kan, A. A. Travin, “On approximate computation of the quantile criterion”, Avtomat. i Telemekh., 2013, no. 6, 57–65; Autom. Remote Control, 74:6 (2013), 944–950
Citation in format AMSBIB
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