Efficient estimation of sensitivity indices

DOI10.1080/10485252.2013.784762MaRDI QIDQ2863036zbMATH OpenOpenAlexFDO

Authors Sébastien Da Veiga, Fabrice Gamboa

Publication date 21 November 2013

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.2899

zbMATH Keywords

density estimationglobal sensitivity analysissemiparametric Cramér-Rao bound

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: In this paper we address the problem of efficient estimation of Sobol sensitivy indices. First, we focus on general functional integrals of conditional moments of the form $E(psi(E(varphi(Y)|X)))$ where $(X,Y)$ is a random vector with joint density $f$ and $psi$ and $varphi$ are functions that are differentiable enough. In particular, we show that asymptotical efficient estimation of this functional boils down to the estimation of crossed quadratic functionals. An efficient estimate of first-order sensitivity indices is then derived as a special case. We investigate its properties on several analytical functions and illustrate its interest on a reservoir engineering case.

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Cited in

(15)

• Sensitivity operator and approximate algorithm for parameter estimation
• Estimation of the Sobol indices in a linear functional multidimensional model
• Risk of estimators for Sobol' sensitivity indices based on metamodels
• An efficient method for estimating global sensitivity indices
• Efficient estimation of conditional covariance matrices for dimension reduction
• Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
• Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution
• Parseval inequalities and lower bounds for variance-based sensitivity indices
• A Simple Method to Study Sensitivity of BMP's
• An efficient computational approach for prior sensitivity analysis and cross‐validation
• Global sensitivity analysis with dependence measures
• Reliability of global sensitivity indices
• Sensitivity measures based on scoring functions
• Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to epidemiology
• Sensitivity indices for multivariate outputs

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