Statistical inference for Sobol pick-freeze Monte Carlo method
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Publication:2953571
DOI10.1080/02331888.2015.1105803zbMATH Open1355.62010arXiv1303.6447OpenAlexW1938308181MaRDI QIDQ2953571FDOQ2953571
Authors:
Publication date: 4 January 2017
Published in: Statistics (Search for Journal in Brave)
Abstract: Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index. We consider the statistical estimation of this index from a finite sample of model outputs. We study asymptotic and non-asymptotic properties of two estimators of Sobol indices. These properties are applied to significance tests and estimation by confidence intervals.
Full work available at URL: https://arxiv.org/abs/1303.6447
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sensitivity analysisSobol indicesconcentration inequalitiesMonte Carlo methodstatistical inferencetestsBerry-Esseen theorem
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)
Cites Work
- Concentration inequalities. A nonasymptotic theory of independence
- Asymptotic normality and efficiency of two Sobol index estimators
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
- Stochastic inverse problem with noisy simulator. Application to aeronautical model
Cited In (28)
- Estimation of the Sobol indices in a linear functional multidimensional model
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Sensitivity indices for independent groups of variables
- Risk of estimators for Sobol' sensitivity indices based on metamodels
- Test Comparison for Sobol Indices over Nested Sets of Variables
- Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
- Global sensitivity analysis for the boundary control of an open channel
- Global sensitivity analysis for models described by stochastic differential equations
- Sensitivity analysis for multidimensional and functional outputs
- On the consistency of Sobol indices with respect to stochastic ordering of model parameters
- Sensitivity analysis based on Cramér-von Mises distance
- Pick and Freeze estimation of sensitivity index for static and dynamic models with dependent inputs
- Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
- Robustness of the Sobol' Indices to Marginal Distribution Uncertainty
- Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution
- Explaining classifiers with measures of statistical association
- Global sensitivity analysis of statistical models by double randomization method
- Global sensitivity analysis and Wasserstein spaces
- Gaussian linear approximation for the estimation of the Shapley effects
- Computing Shapley effects for sensitivity analysis
- Analysis of Functionally Graded Piezoelectric Cylinders in a Hygrothermal Environment
- Mixed two-stage derivative estimator for sensitivity analysis
- Optimal-order bounds on the rate of convergence to normality in the multivariate delta method
- Nonparametric estimation of probabilistic sensitivity measures
- Asymptotic normality and efficiency of two Sobol index estimators
- Screening: from tornado diagrams to effective dimensions
- Total effects with constrained features
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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