Kernel estimation of quantile sensitivities

DOI10.1002/nav.20358zbMath1185.91134OpenAlexW1985734023MaRDI QIDQ5187931

L. Jeff Hong, Guangwu Liu

Publication date: 9 March 2010

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20358

zbMATH Keywords

asymptotic propertieskernel estimatorexamplesquantile sensitivities

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)

Related Items (12)

Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis ⋮ A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Avoiding zero probability events when computing value at risk contributions ⋮ Computing Sensitivities for Distortion Risk Measures ⋮ Gradient and Hessian of joint probability function with applications on chance-constrained programs ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

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