ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation

DOI10.1080/03610926.2023.2182158MaRDI QIDQ6571756zbMATH OpenFDO

Authors Mohammed Shahid Abdulla, L. Ramprasath

Publication date 12 July 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2023.2182158

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Computing the variance of a conditional expectation via non-nested Monte Carlo
• Efficient nested simulation for estimating the variance of a conditional expectation
• Estimation methods for expected shortfall

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