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Estimating Confidence Regions for Distortion Risk Measures and Their Gradients

Lei Lei 0005, Christos Alexopoulos, Yijie Peng, James R. Wilson. Estimating Confidence Regions for Distortion Risk Measures and Their Gradients. In Winter Simulation Conference, WSC 2022, Singapore, December 11-14, 2022. pages 13-24, IEEE, 2022. [doi]

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