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Bias correction for the estimation of sensitivity indices based on random balance designs

Jean-Yves Tissot 1, 2 Clémentine Prieur 1, 2
2 MOISE - Modelling, Observations, Identification for Environmental Sciences
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
Abstract : In this paper, we present a general way to correct a positive bias which occurs in all the estimators in random balance design method (RBD) and in its hybrid version, RBD-FAST. Both these techniques derive from Fourier amplitude sensitivity test (FAST) and, as a consequence, are faced with most of its inherent issues. And up to now, one of these, the well-known problem of interferences, has always been ignored in RBD. After presenting in which way interferences lead to a positive bias in the estimator of first-order sensitivity indices in RBD, we explain how to overcome this issue. We then extend the bias correction method to the estimation of sensitivity indices of any order in RBD-FAST. We also give an economical strategy to estimate all the first-order and second-order sensitivity indices using RBD-FAST.
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Submitted on : Tuesday, November 1, 2011 - 7:23:03 AM
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Jean-Yves Tissot, Clémentine Prieur. Bias correction for the estimation of sensitivity indices based on random balance designs. Reliability Engineering and System Safety, Elsevier, 2012, 107, pp.205-213. ⟨10.1016/j.ress.2012.06.010⟩. ⟨hal-00507526v2⟩



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