Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

DOI10.1287/opre.2020.2071OpenAlexW3133000147MaRDI QIDQ5080667

Shiyu Wang, Guangwu Liu, Kun Zhang

Publication date: 31 May 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2020.2071

zbMATH Keywords

confidence intervalssimulationbootstrap samplingnested simulationbudget allocation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Technical note—Constructing confidence intervals for nested simulation ⋮ Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

Cites Work

• Unnamed Item
• MCMC design-based non-parametric regression for rare event. application to nested risk computations
• Risk Estimation via Regression
• Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
• A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
• Nested Simulation in Portfolio Risk Measurement
• Order Statistics
• Computing the distribution function of a conditional expectation via monte carlo
• Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
• Efficient Risk Estimation via Nested Sequential Simulation
• Green Simulation

This page was built for publication: Technical Note—Bootstrap-based Budget Allocation for Nested Simulation