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

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)

Recommendations

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

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Cited in

(7)

• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Sensitivity analysis for ranked data
• Sensitivity analysis of ranked data: from order statistics to quantiles
• 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 in ordered and restricted parameter models

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