Quantile Sensitivity Estimation Through Delta Family Method

Zhenyu Cui, Kailin Ding

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In this paper, we consider the estimation of the quantile sensitivity through Monte Carlo simulations. We first propose a new representation of the quantile by writing it as an expectation involving Dirac Delta payoff functions. Then we consider two alternative approximations for the Dirac Delta function, one is the Delta sequence, and the other is through orthogonal series. Then we derive quantile sensitivity estimators by combining them with the conditional expectation representation derived in (Hong 2009). Numerical examples demonstrate the accurateness and efficiency of the proposed method, and compare with the existing literature.

Original languageEnglish
Title of host publicationProceedings of the 2022 Winter Simulation Conference, WSC 2022
EditorsB. Feng, G. Pedrielli, Y. Peng, S. Shashaani, E. Song, C.G. Corlu, L.H. Lee, E.P. Chew, T. Roeder, P. Lendermann
Pages939-950
Number of pages12
ISBN (Electronic)9798350309713
DOIs
StatePublished - 2022
Event2022 Winter Simulation Conference, WSC 2022 - Guilin, China
Duration: 11 Dec 202214 Dec 2022

Publication series

NameProceedings - Winter Simulation Conference
Volume2022-December
ISSN (Print)0891-7736

Conference

Conference2022 Winter Simulation Conference, WSC 2022
Country/TerritoryChina
CityGuilin
Period11/12/2214/12/22

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