Efficient Estimation of Sensitivity Indices

Abstract : In this paper we address the problem of efficient estimation of Sobol sensitivy indices. First, we focus on general functional integrals of conditional moments of the form $\E(\psi(\E(\varphi(Y)|X)))$ where $(X,Y)$ is a random vector with joint density $f$ and $\psi$ and $\varphi$ 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.
Type de document :
Pré-publication, Document de travail
41 pages. 2012
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https://hal.archives-ouvertes.fr/hal-00266110
Contributeur : Fabrice Gamboa <>
Soumis le : mardi 13 mars 2012 - 16:46:23
Dernière modification le : vendredi 26 octobre 2018 - 10:48:46
Document(s) archivé(s) le : mercredi 14 décembre 2016 - 12:50:08

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EfficientSA_newversion.pdf
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  • HAL Id : hal-00266110, version 2
  • ARXIV : 1203.2899

Citation

Sébastien Da Veiga, Fabrice Gamboa. Efficient Estimation of Sensitivity Indices. 41 pages. 2012. 〈hal-00266110v2〉

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