Kernel estimation of quantile sensitivities
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- Asymptotic normality of the recursive kernel regression estimate under dependence conditions
- Confidence Interval Estimation Using Standardized Time Series
- Estimating Security Price Derivatives Using Simulation
- Estimating quantile sensitivities
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- Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems
- Simulating sensitivities of conditional value at risk
Cited in
(27)- Computing Sensitivities for Distortion Risk Measures
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Estimating the VaR-induced Euler allocation rule
- Asymptotic normality of Powell's kernel estimator
- Kernel and Probit Estimates in Quantal Bioassay
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Kernel methods for estimating derivatives of conditional quantiles
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- A Stochastic Approximation Method for Simulation-Based Quantile Optimization
- Algorithmic Insurable Risk Portfolios
- Structured kernel quantile regression
- Double Kernel Estimation of Sensitivities
- A measure-valued differentiation approach to sensitivities of quantiles
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
- Sensitivity analysis with ^2-divergences
- Conditional Monte Carlo estimation of quantile sensitivities
- Avoiding zero probability events when computing value at risk contributions
- Quantile sensitivity estimation for dependent sequences
- Quantile sensitivity estimation
- Blackbox simulation optimization
- Estimating quantile sensitivities
- Estimation of quantile oriented sensitivity indices
- An efficient approach to quantile capital allocation and sensitivity analysis
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