Sensitivity analysis of ranked data: from order statistics to quantiles

DOI10.1007/S10626-014-0192-8zbMATH Open1327.93146OpenAlexW2158255293MaRDI QIDQ896493FDOQ896493

Authors: Warren Volk-Makarewicz, Bernd Heidergott 

Publication date: 9 December 2015

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-014-0192-8

Recommendations

• Quantile sensitivity estimation
• Sensitivity analysis for ranked data
• Estimating quantile sensitivities
• Sensitivity analysis in ordered and restricted parameter models
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis

zbMATH Keywords

quantilesensitivity analysisorder statisticscore functionmeasure-valued differentiation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Sensitivity (robustness) (93B35) Stochastic systems in control theory (general) (93E03)

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Cited In (6)

• Sensitivity analysis in ordered and restricted parameter models
• First-order data sensitivity measures with applications to a multivariate signal-plus-noise problem
• A measure-valued differentiation approach to sensitivities of quantiles
• Sensitivity analysis of ranked data: from order statistics to quantiles
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

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