Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation method. The latter imposes stronger restrictions achieving an asymptotic efficiency bound with respect ...

Global sensitivity analysis is widely used in many areas of science, biology, sociology and policy planning. The variance-based methods also known as Sobol' sensitivity indices has become the method of choice among practitioners due to its efficiency and ease of interpretation. For complex practical problems, estimation of Sobol' sensitivity indices generally requires a large number of function...

The method of control variates has been intensively used for reducing the variance of estimated (linear) regression metamodels in simulation experiments. In contrast to previous studies, this paper presents a procedure for applying multiple control variates when the objective is to estimate and validate a nonlinear regression metamodel for a single response, in terms of selected decision variab...

Suppose that the mean μ = E[F (X)] of a given function F : R → R is to be estimated by the empirical average Ŝn := 1 n ∑n i=1 F (Xi) of the values F (Xi), where X1,X2, . . . ,Xn are independent samples distributed like X. In cases when the mean ν = E[U(X)] of a different function U : R → R is known, we introduced a sampling rule, called the “screened estimator,” which states that we should only...

Suppose that the mean μ = E[F (X)] of a given function F : R → R is to be estimated by the empirical average Ŝn := 1 n ∑n i=1 F (Xi) of the values F (Xi), where X1,X2, . . . ,Xn are independent samples distributed like X. In cases when the mean ν = E[U(X)] of a different function U : R → R is known, we introduce a sampling rule, called the “screened estimator,” which states that we should only ...

This paper develops an extension of the Riemann sum techniques of Philippe (1997b) in the setup of MCMC algorithms. It shows that the technique applies equally well to the output of these algorithms, with similar speeds of convergence which improve upon the regular estimator. The restriction on the dimension associated with Riemann sums can furthermore be overcome by RaooBlackwellization method...

Our article provides a study on the use and improvement of Hull and White’s (1988) control variate technique in pricing options. It contributes to the literature in two ways. Firstly we show that it is not optimal to use the entire error of a control variate against its known price (usually a closed-form solution) to correct and improve the unknown error of the unknown price of a complex option...