quantile inference

[hyunjimoon]

Learn L (number of intervals) and each quantile point of unknown distribution function F.

code

ref

Quantile estimation with adaptive importance sampling Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse Importance Sampling for Monte Carlo Estimation of Quantiles

[hyunjimoon]

using rejection sampling, I can see a very slow decrease in its threshold. I have given U(5, 10) and U(10, 15) for the prior for each mode and true value as 7, 10.

1. how can mu2 be bigger than 15?
2. why is it avoiding big values and converge toward the boundary?