Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling

DOI10.1287/OPRE.2019.1978MaRDI QIDQ5144802zbMATH OpenOpenAlexFDO

Authors Yijie Peng, Michael C. Fu, Henry Lam, Bernd Heidergott

Publication date 19 January 2021

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://research.vu.nl/en/publications/cbb75b5c-4e63-4368-8a4f-9cc593ac3f02

zbMATH Keywords

sensitivity analysissimulationgeneralized likelihood ratio methodgradient-based MLE

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Stochastic approximation (62L20)

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Cited in

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• Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
• Density Estimation by Monte Carlo and Quasi-Monte Carlo
• A quasi-likelihood approach to parameter estimation for simulatable statistical models
• A Stochastic Approximation Method for Simulation-Based Quantile Optimization
• Calibrating nonstationary queueing network models
• An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
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