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Found 2 papers, 0 papers with code
Sparse tensor product approximation for a class of generalized method of moments estimators
Motivated by the popular Probit and Mixed Logit models, we consider double integrals with a linking function which stems from the considered estimator, e. g. the logarithm for Maximum Likelihood, and apply a sparse tensor product quadrature to reduce the computational effort for the approximation of the combined integral.
Methodology Numerical Analysis Numerical Analysis 62P20, 65D30, 65D32
Optimally rotated coordinate systems for adaptive least-squares regression on sparse grids
In this paper we propose a preprocessing approach for these adaptive sparse grid algorithms that determines an optimized, problem-dependent coordinate system and, thus, reduces the effective dimensionality of a given data set in the ANOVA sense.
