Estimating Confidence Regions for Distortion Risk Measures and Their Gradients
2022 Winter Simulation Conference (WSC)(2022)
摘要
This article constructs confidence regions (CRs) of distortion risk measures and their gradients at different risk levels based on replicate samples obtained from finite-horizon simulations. The CRs are constructed by batching and sectioning methods which partition the sample into nonoverlapping batches. Preliminary numerical results show that the estimated coverage rates of the CRs constructed are close to the nominal values.
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关键词
distortion risk measures,confidence regions
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