Efficient estimation of sensitivity indices

Sébastien Da Veiga and Fabrice Gamboa

Journal of Nonparametric Statistics, 2013, vol. 25, issue 3, 573-595

Abstract: In this paper, we address the problem of efficient estimation of Sobol sensitivity indices. First, we focus on general functional integrals of conditional moments of the form 𝔼(ψ(𝔼(ϕ( Y )&7C X ))) where ( X, Y ) is a random vector with joint density f and ψ and ϕ are functions that are differentiable enough. In particular, we show that asymptotical efficient estimation of this functional boils down to the estimation of crossed quadratic functionals. An efficient estimate of first-order sensitivity indices is then derived as a special case. We investigate its properties on several analytical functions and illustrate its interest on a reservoir engineering case.

Date: 2013
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10485252.2013.784762 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:25:y:2013:i:3:p:573-595

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485252.2013.784762

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().