Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (Q5131004): Difference between revisions

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Latest revision as of 23:35, 23 July 2024

scientific article; zbMATH DE number 7268660
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English
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
scientific article; zbMATH DE number 7268660

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    Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (English)
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    31 October 2020
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    quasi-Monte Carlo method
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    expected shortfall
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    conditional value-at-risk
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