Efficient nested simulation for estimating the variance of a conditional expectation
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Cited in
(31)- Estimating the density of a conditional expectation
- Efficient estimation of a risk measure requiring two-stage simulation optimization
- Subsampling to Enhance Efficiency in Input Uncertainty Quantification
- Modified Active Subspaces Using the Average of Gradients
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation
- Numerical approximation of conditional asymptotic variances using Monte Carlo simulation
- Bias-corrected estimation of the density of a conditional expectation in nested simulation problems
- scientific article; zbMATH DE number 7626802 (Why is no real title available?)
- Risk quantification in stochastic simulation under input uncertainty
- Technical note—Constructing confidence intervals for nested simulation
- Computing Bayesian means using simulation
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- Computing the variance of a conditional expectation via non-nested Monte Carlo
- Stochastic kriging with biased sample estimates
- Risk estimation via regression
- Robust sensitivity analysis for stochastic systems
- Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
- Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- Efficient simulation of a bivariate exponential conditionals distribution
- Cluster sampling for Morris method made easy
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- An efficient variance estimator for cross-validation under partition sampling
- The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
- Efficient sensitivity analysis in biomanufacturing with sequential Shapley value estimation
- Non-nested estimators for the central moments of a conditional expectation and their convergence properties
- Online Risk Monitoring Using Offline Simulation
- Blackbox simulation optimization
- A method for the updating of stochastic Kriging metamodels
- Importance sampling and its optimality for stochastic simulation models
- Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
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