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Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling
16 references·1 citing·39 second hop
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References

  • 2004Feynman-Kac Formulae1,136 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 1982Approximating a Point Process by a Renewal Process, I: Two Basic Methods544 cited
  • 2006Handbooks in Operations Research and Management Science252 cited
  • 1988Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue226 cited
  • 2008Estimating Quantile Sensitivities152 cited
  • 2008Simulating Sensitivities of Conditional Value at Risk143 cited
  • 2012Inverse Optimization: A New Perspective on the Black-Litterman Model115 cited
  • 2009Conditional Monte Carlo Estimation of Quantile Sensitivities96 cited
  • 1990The Queue Inference Engine: Deducing Queue Statistics from Transactional Data93 cited
  • 2014Stochastic Gradient Estimation90 cited
  • 2017Data-driven inverse optimization with imperfect information88 cited
  • 2018A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters68 cited
  • 1996Maximum likelihood estimation for single server queues from waiting time data65 cited
  • 1997Estimation for an M/G/ queue with incomplete information50 cited

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  • 2009Kernel estimation of quantile sensitivities47 cited
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    • 2021A Stochastic Approximation Method for Simulation-Based Quantile Optimization26 cited