Fehrle, Daniel; Heiberger, Christopher; Huber, Johannes - In: Computational Economics 65 (2025) 2, pp. 1083-1146
Abstract We apply Polynomial chaos expansion (PCE) to surrogate time-consuming repeated model evaluations for different parameter values. PCE represents a random variable, the quantity of interest (QoI), as a series expansion of other random variables, the inputs. Repeated evaluations become...