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.
2010 MATHEMATICS SUBJECT CLASSIFICATIONS:
Acknowledgments
The authors would like to thank two referees and an associate editor for various comments which helped to improve the first version of this manuscript.
Disclosure statement
No potential conflict of interest was reported by the authors.