Kernel estimation of quantile sensitivities

DOI10.1002/nav.20358zbMath1185.91134MaRDI 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 properties; kernel estimator; examples; quantile sensitivities

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

91G70: Statistical methods; risk measures

62G05: Nonparametric estimation

65C05: Monte Carlo methods

91B82: Statistical methods; economic indices and measures

Related Items

Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure, Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk, Gradient and Hessian of joint probability function with applications on chance-constrained programs, Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation, A Measure-Valued Differentiation Approach to Sensitivities of Quantiles, Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis

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