Global sensitivity analysis of statistical models by double randomization method

Kolyukhin Dmitriy ()
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Kolyukhin Dmitriy: Trofimuk Institute of Petroleum Geology and Geophysics SB RAS, Koptug ave. 3, 630090 Novosibirsk, Russia

Monte Carlo Methods and Applications, 2021, vol. 27, issue 4, 341-346

Abstract: The paper addresses a global sensitivity analysis of complex models. The work presents a generalization of the hierarchical statistical models where uncertain parameters determine the distribution of statistical models. The double randomization method is applied to increase the efficiency of the Monte Carlo estimation of Sobol indices. Numerical computations are provided to study the accuracy and efficiency of the proposed technique. The issue of optimization of the suggested approach is considered.

Keywords: Statistical models; sensitivity analysis; Sobol indices; Monte Carlo methods (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:27:y:2021:i:4:p:341-346:n:2

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DOI: 10.1515/mcma-2021-2096

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