Quantification of uncertainty of a technical system is often based on a surrogate model of a corresponding simulation model. In any application the simulation model will not describe the reality perfectly, and consequently also the surrogate model will be imperfect. In this article we show how observed data of the real technical system can be used to improve such a surrogate model, and we analyze the rate of convergence of density estimates based on the improved surrogate model. The results are illustrated by applying the estimates to simulated and real data.
Michael Kohler. Adam Krzyżak. "Estimation of a density using an improved surrogate model." Electron. J. Statist. 15 (1) 650 - 690, 2021. https://doi.org/10.1214/20-EJS1774