Multilevel Monte Carlo metamodeling for variance function estimation
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Cites work
- A Batching Approach to Quantile Estimation in Regenerative Simulations
- A continuation multilevel Monte Carlo algorithm
- A multilevel Monte Carlo method for computing failure probabilities
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- Better estimation of small Sobol' sensitivity indices
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- Central limit theorems for multilevel Monte Carlo methods
- Control Variate Remedies
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- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
- scientific article; zbMATH DE number 1532004 (Why is no real title available?)
- scientific article; zbMATH DE number 1425054 (Why is no real title available?)
- Limit theorems for weighted and regular multilevel estimators
- Mean-variance portfolio optimization when means and covariances are unknown
- Monte Carlo and quasi-Monte Carlo sampling
- Monte Carlo approximation of weakly singular integral operators
- Monte Carlo complexity of global solution of integral equations
- Monte Carlo complexity of parametric integration
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- Multifidelity Monte Carlo estimation of variance and sensitivity indices
- Multilevel Monte Carlo approximation of distribution functions and densities
- Multilevel Monte Carlo approximation of functions
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Multilevel Monte Carlo Metamodeling
- Multilevel Monte Carlo methods
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Multilevel nested simulation for efficient risk estimation
- Multilevel sequential importance sampling for rare event estimation
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- Probability
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- Scattered Data Approximation
- Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
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- Variance estimation in nonparametric regression via the difference sequence method
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