Sensitivity analysis of ranked data: from order statistics to quantiles
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Publication:896493
DOI10.1007/s10626-014-0192-8zbMath1327.93146OpenAlexW2158255293MaRDI QIDQ896493
Warren Volk-Makarewicz, Bernd F. 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
Nonparametric estimation (62G05) Sensitivity (robustness) (93B35) Stochastic systems in control theory (general) (93E03)
Related Items (4)
Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis ⋮ Sensitivity analysis of ranked data: from order statistics to quantiles ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
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