Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

DOI10.1287/MNSC.41.4.738zbMATH Open0844.62003OpenAlexW2147224235MaRDI QIDQ4859342FDOQ4859342

Authors: Pierre L'Ecuyer 

Publication date: 1 February 1996

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.41.4.738

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zbMATH Keywords

finite momentsinfinite varianceexamplesderivative estimatorinterchange between derivative and expectationlikelihood ratio derivative estimatorlikelihood ratio gradient estimationunbiased derivative estimator

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Foundations and philosophical topics in statistics (62A01) Queueing theory (aspects of probability theory) (60K25) Sequential statistical methods (62L99) Sufficiency and information (62B99)

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