Local Polynomial Estimation for Sensitivity Analysis on Models With Correlated Inputs

Sébastien da Veiga (1, 2, 3) , Francois Wahl (1, 3) , Fabrice Gamboa (2, 3)

1 IFPEN - IFP Energies nouvelles
2 IMT - Institut de Mathématiques de Toulouse UMR5219
3 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques

Sensitivity indices when the inputs of a model are not independent are estimated by local polynomial techniques. Two original estimators based on local polynomial smoothers are proposed. Both have good theoretical properties which are exhibited and also illustrated through analytical examples. They are used to carry out a sensitivity analysis on a real case of a kinetic model with correlated parameters.

Domaines: Méthodologie [stat.ME]; Théorie [stat.TH]; Statistiques [math.ST]

Sébastien da Veiga, Francois Wahl, Fabrice Gamboa. Local Polynomial Estimation for Sensitivity Analysis on Models With Correlated Inputs. 2008. ⟨hal-00266102⟩