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.
Domaines
Statistiques [math.ST]Origine | Fichiers produits par l'(les) auteur(s) |
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