Technical Note—Central Limit Theorems for Estimated Functions at Estimated Points

Published Online:https://doi.org/10.1287/opre.2019.1922

References

  • Asmussen S, Glynn PW (2007) Stochastic Simulation: Algorithms and Analysis (Springer, New York).CrossrefGoogle Scholar
  • Billingsley P (1999) Convergence of Probability Measures (John Wiley & Sons, New York).CrossrefGoogle Scholar
  • Bloznelis M, Paulauskas V (1994) A note on the central limit theorem for stochastically continuous processes. Stochastic Processes Appl. 53(2):351–361.CrossrefGoogle Scholar
  • Fu MC, Hong LJ, Hu JQ (2009) Conditional Monte Carlo estimation of quantile sensitivities. Management Sci. 55(12):2019–2027.LinkGoogle Scholar
  • Hong LJ, Hu Z, Liu G (2014) Monte Carlo methods for value-at-risk and conditional value-at-risk: A review. ACM Trans. Model. Comput. Simulation 24(4):1–37.CrossrefGoogle Scholar
  • Munoz DF, Glynn PW (1997) A batch means methodology for estimation of a nonlinear function of a steady-state mean. Management Sci. 43(8):1121–1135.LinkGoogle Scholar
  • Peng Y, Fu MC, Glynn PW, Hu JQ (2017) On the asymptotic analysis of quantile sensitivity estimation by Monte Carlo simulation. Proc. 2017 Winter Simul. Conf. (IEEE, Piscataway, NJ), 2336–2347.Google Scholar
  • Peng Y, Fu MC, Hu JQ, Heidergott B (2018) A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters. Oper. Res. 66(2):487–499.LinkGoogle Scholar
  • Pflug GC, Wozabal N (2010) Asymptotic distribution of law-invariant risk functionals. Finance Stochastics 14(3):397–418.CrossrefGoogle Scholar
  • Serfling RJ (1980) Approximation Theorems of Mathematical Statistics (John Wiley & Sons, New York).CrossrefGoogle Scholar
  • Shapiro A, Dentcheva D, Ruszczynski A (2009) Lectures on Stochastic Programming: Modeling and Theory (Society for Industrial and Applied Mathematics, Philadelphia).CrossrefGoogle Scholar
  • Silverman BW (1986) Density Estimation for Statistics and Data Analysis (Chapman and Hall/CRC, Boca Raton, FL).CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.