Efficient nested simulation for estimating the variance of a conditional expectation
From MaRDI portal
Recommendations
- The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
- Computing the variance of a conditional expectation via non-nested Monte Carlo
- Efficient nested simulation for conditional tail expectation of variable annuities
- Multilevel nested simulation for efficient risk estimation
- Nested simulation in portfolio risk measurement
Cited in
(33)- Efficient simulation of a bivariate exponential conditionals distribution
- Computing the variance of a conditional expectation via non-nested Monte Carlo
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Non-nested estimators for the central moments of a conditional expectation and their convergence properties
- An efficient estimation of nested expectations without conditional sampling
- Efficient estimation of a risk measure requiring two-stage simulation optimization
- Importance sampling and its optimality for stochastic simulation models
- Estimating the density of a conditional expectation
- Risk estimation via regression
- Robust sensitivity analysis for stochastic systems
- Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- A method for the updating of stochastic Kriging metamodels
- Online Risk Monitoring Using Offline Simulation
- Modified Active Subspaces Using the Average of Gradients
- The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
- scientific article; zbMATH DE number 7626802 (Why is no real title available?)
- Technical Note—Bootstrap-based Budget Allocation for Nested Simulation
- Subsampling to Enhance Efficiency in Input Uncertainty Quantification
- An efficient variance estimator for cross-validation under partition sampling
- Stochastic kriging with biased sample estimates
- Computing Bayesian means using simulation
- Numerical approximation of conditional asymptotic variances using Monte Carlo simulation
- Technical note—Constructing confidence intervals for nested simulation
- Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Cluster sampling for Morris method made easy
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- ANVILS-VOCE: ANova-based Varying Inner-Loop Size estimation of Variance of Conditional Expectation
- Bias-corrected estimation of the density of a conditional expectation in nested simulation problems
- Risk quantification in stochastic simulation under input uncertainty
- Efficient sensitivity analysis in biomanufacturing with sequential Shapley value estimation
- Blackbox simulation optimization
- The infinitesimal jackknife and combinations of models
This page was built for publication: Efficient nested simulation for estimating the variance of a conditional expectation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879496)
