Asymptotic normality and efficiency of two Sobol index estimators
From MaRDI portal
Publication:5174358
DOI10.1051/ps/2013040zbMath1305.62147arXiv1303.6451MaRDI QIDQ5174358
Maëlle Nodet, Alexandre Janon, Thierry Klein, Clémentine Prieur, Agnès Lagnoux
Publication date: 17 February 2015
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.6451
confidence intervals; sensitivity analysis; asymptotic normality; asymptotic efficiency; metamodelling; Sobol indices; surface response methodology
Related Items
Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces, Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices, Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms, Efficient Estimation of the ANOVA Mean Dimension, with an Application to Neural Net Classification, Global Sensitivity Analysis and Wasserstein Spaces, Computing Shapley Effects for Sensitivity Analysis, Global sensitivity analysis with dependence measures, A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices, Sampling, Metamodeling, and Sensitivity Analysis of Numerical Simulators with Functional Stochastic Inputs, Test Comparison for Sobol Indices over Nested Sets of Variables, Nonparametric estimation of the first order Sobol indices with bootstrap bandwidth, Global sensitivity analysis for the boundary control of an open channel, Sensitivity indices for multivariate outputs, Total interaction index: a variance-based sensitivity index for second-order interaction screening, Estimation of the Sobol indices in a linear functional multidimensional model, Estimation of quantile oriented sensitivity indices, Reliable error estimation for Sobol' indices, Computing the variance of a conditional expectation via non-nested Monte Carlo, Iterative estimation of Sobol' indices based on replicated designs, Screening: from tornado diagrams to effective dimensions, Learning ``best kernels from data in Gaussian process regression. With application to aerodynamics, Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski, Global sensitivity analysis for models described by stochastic differential equations, Risk of estimators for Sobol' sensitivity indices based on metamodels, A new methodology based on covariance and HDMR for global sensitivity analysis, Parseval inequalities and lower bounds for variance-based sensitivity indices, Nonparametric estimation of probabilistic sensitivity measures, Sensitivity analysis for multidimensional and functional outputs, Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics, Randomized pick-freeze for sparse Sobol indices estimation in high dimension, Statistical inference for Sobol pick-freeze Monte Carlo method, On ANOVA Decompositions of Kernels and Gaussian Random Field Paths, Sensitivity Analysis Based on Cramér--von Mises Distance, Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices, Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution, Sensitivity analysis and uncertainty quantification for environmental models