Quasi-regression with shrinkage

Tao Jiang and Art B. Owen

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 231-241

Abstract: Quasi-regression is a method of Monte Carlo approximation useful for global sensitivity analysis. This paper presents a new version, incorporating shrinkage parameters of the type used in wavelet approximation. As an example application, a black box function from machine learning is analyzed. That function is nearly a sum of functions of one and two variables and the first variable acting alone accounts for more than half of the variance.

Keywords: Computer experiments; Global sensitivity analysis; Machine learning; Wavelets (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:231-241

DOI: 10.1016/S0378-4754(02)00253-7

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