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Stochastic kriging with biased sample estimates
14 references·0 citing·42 second hop
Stochastic kriging with biased sample estimates (2014)Stochastic kriging with biased sample est…Design and Analysis of Simulation Experiments (2018)Design and Analysis of Simula…Design and Analysis of Simulation Experiments (2015)Design and Analysis of Simula…The effects of common random numbers on stochastic kriging metamodels (2012)The effects of common random …Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation (2011)Efficient Nested Simulation f…Stochastic kriging for efficient nested simulation of expected shortfall (2010)Stochastic kriging for effici…Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfoli…A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (2010)A Confidence Interval Procedu…Stochastic Kriging for Simulation Metamodeling (2009)Stochastic Kriging for Simula…Better simulation metamodeling: The why, what, and how of stochastic kriging (2009)Better simulation metamodelin…Simulating Sensitivities of Conditional Value at Risk (2008)Simulating Sensitivities of C…Financial prediction with constrained tail risk (2007)Financial prediction with con…Mean squared prediction error in the spatial linear model with estimated covariance parameters (1992)Mean squared prediction error…Design and Analysis of Computer Experiments (1989)Design and Analysis of Comput…Simulation Modeling and Analysis. (1983)Response Surface Methodology: Process and Product Optimization Using Designed Experiments (1996)An algorithm for fast optimal Latin hypercube design of experiments (2009)Robust Optimization (2009)Design of computer experiments: space filling and beyond (2011)Regression and Kriging metamodels with their experimental designs in simulation: A review (2016)Interpolation of Spatial Data (1999)The Design and Analysis of Computer Experiments (2003)Enhancing Stochastic Kriging Metamodels with Gradient Estimators (2013)Multivariate versus univariate Kriging metamodels for multi-response simulation models (2014)Simulation-optimization via Kriging and bootstrapping: a survey (2014)The intrinsic random functions and their applications (1973)Maximum Likelihood Estimation of Models for Residual Covariance in Spatial Regression (1984)Fitting variogram models by weighted least squares (1985)Smoothing Regional Maps Using Empirical Bayes Predictors (1992)Fisher information and maximum‐likelihood estimation of covariance parameters in Gaussian stochastic processes (1998)Spatiotemporal modeling of PM2.5data with missing values (2003)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional Monte Carlo Estimation of Quantile Sensitivities (2009)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Optimizing the CVaR via Sampling (2015)Conditional value-at-risk for general loss distributions (2002)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)The Risk Map: A new tool for validating risk models (2013)Statistics for Spatial Data (1993)Statistics for Spatial Data. (1993)Proceedings of the 2002 Winter Simulation Conference (2002)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monte Carlo Methods in Financial Engineering (2003)Risk Estimation via Regression (2015)STATISTICS FOR SPATIAL DATA (1992)Model-Based Geostatistics (1998)Tutorial: Simulation metamodeling (2015)A model validation framework based on parameter calibration under aleatory and epistemic uncertainty (2020)Non-intrusive and semi-intrusive uncertainty quantification of a multiscale in-stent restenosis model (2020)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Taking the Human Out of the Loop: A Review of Bayesian Optimization (2015)Space-filling designs for computer experiments: A review (2016)Design of experiments and response surface methodology to tune machine learning hyperparameters, with a random forest case-study (2018)
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References

  • 1989Design and Analysis of Computer Experiments6,958 cited
  • 2009Stochastic Kriging for Simulation Metamodeling636 cited
  • 2018Design and Analysis of Simulation Experiments449 cited
  • 2015Design and Analysis of Simulation Experiments356 cited
  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 2008Simulating Sensitivities of Conditional Value at Risk143 cited
  • 1992Mean squared prediction error in the spatial linear model with estimated covariance parameters136 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2009Better simulation metamodeling: The why, what, and how of stochastic kriging92 cited
  • 2012The effects of common random numbers on stochastic kriging metamodels83 cited
  • 2010Stochastic kriging for efficient nested simulation of expected shortfall76 cited
  • 2007Financial prediction with constrained tail risk70 cited
  • 2011Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation65 cited
  • 2010A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation58 cited

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