| Article ID: | iaor20133962 |
| Volume: | 74 |
| Issue: | 6 |
| Start Page Number: | 944 |
| End Page Number: | 950 |
| Publication Date: | Jun 2013 |
| Journal: | Automation and Remote Control |
| Authors: | Kan Yu, Travin A |
| Keywords: | stochastic processes |
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.