Quantile sensitivity estimation for dependent sequences

DOI10.1017/JPR.2016.36MaRDI QIDQ2836227zbMATH OpenOpenAlexFDO

Authors Guangxin Jiang, Michael C. Fu

Publication date 9 December 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2016.36

zbMATH Keywords

quantilesensitivity analysisMonte Carlo simulationregenerative process\(\phi\)-mixing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)

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(7)

• Quantile Estimation in Dependent Sequences
• Kernel estimation of quantile sensitivities
• A measure-valued differentiation approach to sensitivities of quantiles
• Conditional Monte Carlo estimation of quantile sensitivities
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• Blackbox simulation optimization
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