Polynomial chaos expansion: efficient evaluation and estimation of computational models
- Polynomial chaos expansion (PCE) provides a method that enables the user to rep- resent a quantity of interest (QoI) of a model’s solution as a series expansion of un- certain model inputs, usually its parameters. Among the QoIs are the policy function, the second moments of observables, or the posterior kernel. Hence, PCE sidesteps the repeated and time consuming evaluations of the model’s outcomes. The paper discusses the suitability of PCE for computational economics. We, there- fore, introduce to the theory behind PCE, analyze the convergence behavior for differ- ent elements of the solution of the standard real business cycle model as illustrative example, and check the accuracy, if standard empirical methods are applied. The results are promising, both in terms of accuracy and efficiency.
| Author: | Daniel FehrleGND, Christopher HeibergerGND, Johannes Huber |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-836619 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/83661 |
| URL: | http://www.bgpe.de/texte/DP/202_Fehrle_Heiberger_Huber.pdf |
| Publisher: | Friedrich-Alexander-Universität Erlangen-Nürnberg |
| Place of publication: | Nürnberg |
| Type: | Working Paper |
| Language: | English |
| Year of first Publication: | 2020 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2021/02/22 |
| Tag: | JEL: C11, C13, C32, C63 |
| Pagenumber: | 48 |
| Series: | BGPE Discussion Paper ; 202 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre / Lehrstuhl für Empirische Makroökonomik (Maußner) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
