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stat.ME2026
Nested Simulation Methods for Sobol' Index Estimation: Bias Correction, Budget Allocation, and Latin Hypercube Sampling
Jingtao Zhang, Xi Chen
Estimating the variance of a conditional expectation is a recurring problem in stochastic simulation, with applications in global sensitivity analysis and Sobol' index estimation.…
stat.ME2025
Multilevel Monte Carlo Metamodeling for Variance Function Estimation
Jingtao Zhang, Xi Chen
This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation…