Sensitivity Ranks by Monte Carlo

DOI10.1007/978-3-030-43465-6_15MaRDI QIDQ5117936zbMATH OpenOpenAlexFDO

Authors Ian Iscoe, Alexander Kreinin

Publication date 26 August 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-43465-6_15

zbMATH Keywords

exponential rate of convergencelarge deviationssensitivity ranks

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• Asymptotic simulation efficiency based on large deviations
• Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit

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