Estimation of conditional moment by moving least squares and its application for importance analysis

Wenbin Ruan, Zhenzhou Lu and Pengfei Wei

Journal of Risk and Reliability, 2013, vol. 227, issue 6, 641-650

Abstract: Combined with advantages of moving least squares approximation, a new method for estimating higher-order conditional moment is established, which is useful for application in importance analysis and provides a supplement of the standard variance-based importance analysis. On the other hand, after obtaining the first four-order moments, the probability density function can be emulated by use of the Edgeworth expansion procedure, thereby a new method to compute the moment independent importance measure index δ i proposed by Borgonovo is presented in this article. Two examples are employed to demonstrate that it is necessary to analyze higher-order conditional moment in importance analysis. At the same time, we study the feasibility of the Edgeworth expansion-based method for estimating the index δ i by applying it to these examples.

Keywords: Importance measure; higher-order conditional moment; moment independent; moving least squares; Edgeworth expansion (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:sae:risrel:v:227:y:2013:i:6:p:641-650

DOI: 10.1177/1748006X13493241

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