用广义似然比法估计分布灵敏度

2016 13th International Workshop on Discrete Event Systems (WODES) Pub Date : 2016-05-01 DOI:10.1109/WODES.2016.7497836

Yijie Peng, M. Fu, Jianqiang Hu

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引用次数: 5

摘要

在一般框架下，提出了一种广义似然比估计方法。分位数灵敏度、失真风险度量灵敏度和基于梯度的最大似然估计的应用被放在一个单一的框架下，并由所提出的估计器统一解决。数值实验验证了该方法的有效性。

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Estimating distribution sensitivity using generalized likelihood ratio method

We propose a generalized likelihood ratio estimator for the distribution sensitivity in a general framework. Applications on quantile sensitivity, sensitivity of distortion risk measure, and gradient-based maximum likelihood estimation are put together under a single umbrella, and addressed uniformly by the proposed estimator. Numerical experiments substantiate the efficiency of the new method.

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来源期刊

2016 13th International Workshop on Discrete Event Systems (WODES)

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