Efficiency of the averaged rank-based estimator for first order Sobol index inference

Thierry Klein and Paul Rochet

Statistics & Probability Letters, 2024, vol. 207, issue C

Abstract: Among the many estimators of first order Sobol indices that have been proposed in the literature, the so-called rank-based estimator is arguably the simplest to implement. This estimator can be viewed as the empirical auto-correlation of the response variable sample obtained upon re-ordering the data by increasing values of the inputs. This simple idea can be extended to higher lags of auto-correlation, thus providing several competing estimators of the same parameter. We show that these estimators can be combined in a simple manner to achieve the theoretical variance efficiency bound asymptotically

Keywords: Sensibility analysis; Estimator averaging; Asymptotic efficiency (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110015

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