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math.ST2022
Regularizing nested Monte Carlo Sobol' index estimators to balance the trade-off between explorations and repetitions in global sensitivity analysis of stochastic models
Henri Mermoz Kouye, Gildas Mazo
Sobol' sensitivity index estimators for stochastic models are functions of nested Monte Carlo estimators, which are estimators built from two nested Monte Carlo loops. The outer lo…
math.ST2018
Parametric versus nonparametric: the fitness coefficient
Gildas Mazo, François Portier
The fitness coefficient, introduced in this paper, results from a competition between parametric and nonparametric density estimators within the likelihood of the data. As illustra…