Statistical inference for Sobol pick-freeze Monte Carlo method

DOI10.1080/02331888.2015.1105803zbMath1355.62010arXiv1303.6447OpenAlexW1938308181MaRDI QIDQ2953571

No author found.

Publication date: 4 January 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6447

zbMATH Keywords

sensitivity analysisMonte Carlo methodstatistical inferenceconcentration inequalitiestestsBerry-Esseen theoremSobol indices

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (19)

Test Comparison for Sobol Indices over Nested Sets of Variables ⋮ Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ Global sensitivity analysis for the boundary control of an open channel ⋮ Optimal-order bounds on the rate of convergence to normality in the multivariate delta method ⋮ Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski ⋮ Sensitivity Analysis Based on Cramér--von Mises Distance ⋮ Estimation of the Sobol indices in a linear functional multidimensional model ⋮ Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics ⋮ Explaining classifiers with measures of statistical association ⋮ Risk of estimators for Sobol' sensitivity indices based on metamodels ⋮ Sensitivity analysis for multidimensional and functional outputs ⋮ Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution ⋮ Gaussian Linear Approximation for the Estimation of the Shapley Effects ⋮ Computing Shapley Effects for Sensitivity Analysis ⋮ Sensitivity indices for independent groups of variables ⋮ Nonparametric estimation of probabilistic sensitivity measures ⋮ Robustness of the Sobol' Indices to Marginal Distribution Uncertainty ⋮ Screening: from tornado diagrams to effective dimensions ⋮ Global Sensitivity Analysis and Wasserstein Spaces

Cites Work

• Stochastic inverse problem with noisy simulator. Application to aeronautical model
• Concentration Inequalities
• Asymptotic normality and efficiency of two Sobol index estimators
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

This page was built for publication: Statistical inference for Sobol pick-freeze Monte Carlo method