Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
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Publication:5131004
DOI10.1090/mcom/3555zbMath1452.65006arXiv1706.00540OpenAlexW3023582532MaRDI QIDQ5131004
Publication date: 31 October 2020
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.00540
Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Numerical integration (65D30)
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Cites Work
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