Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution

Résumé

The Shapley effects are global sensitivity indices: they quantify the impact of each input variable on the output variable in a model. In this work, we suggest new estimators of these sensitivity indices. When the input distribution is known, we investigate the already existing estimator and suggest a new one with a lower variance. Then, when the distribution of the inputs is unknown, we extend these estimators. Finally, we provide asymptotic properties of the estimators studied in this article.
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Dates et versions

hal-01962010 , version 1 (20-12-2018)
hal-01962010 , version 2 (05-02-2020)

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Baptiste Broto, François Bachoc, Marine Depecker. Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution. 2018. ⟨hal-01962010v1⟩
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