ABSTRACT A simulation model with an outcome is considered, where X is an -valued random variable and is a smooth function. Estimates of the -quantile of 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 and . Finite sample behaviour of the estimates is illustrated by simulations.

中文翻译：

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模拟模型中极端分位数的估计

摘要考虑了一个具有结果的模拟模型，其中 X 是一个值随机变量并且是一个平滑函数。构建基于 m 的代理模型和重要性采样的 - 分位数的估计，该估计最多使用函数 m 的 n 次评估。在 和 的情况下，得出有关估计收敛速度的结果。估计的有限样本行为通过模拟来说明。