Technical Note—Central Limit Theorems for Estimated Functions at Estimated Points
Published Online:21 May 2020https://doi.org/10.1287/opre.2019.1922
Abstract
We provide a simple proof of the central limit theorem (CLT) for estimated functions at estimated points. Such estimators arise in a number of different simulation-based computational settings. We illustrate the methodology via applications to quantile estimation and related sensitivity analysis, as well as to computation of conditional value-at-risk.
