Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (1706.00540v2)

Abstract: Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-Monte Carlo (QMC) method, whose convergence rate is asymptotically better than Monte Carlo in the numerical integration. We first prove the convergence of QMC-based quantile estimates under very mild conditions, and then establish a deterministic error bound of $O(N^{-1/d})$ for the quantile estimates, where $d$ is the dimension of the QMC point sets used in the simulation and $N$ is the sample size. Under certain conditions, we show that the mean squared error (MSE) of the randomized QMC estimate for expected shortfall is $o(N^{-1})$. Moreover, under stronger conditions the MSE can be improved to $O(N^{-1-1/(2d-1)+\epsilon})$ for arbitrarily small $\epsilon>0$.