Pré-Publication, Document De Travail Année : 2024

Sensitivity analysis from a single input/output sample

Résumé

The main objective of this paper is to estimate optimally Sobol' indices at any order when a unique input/output i.i.d.\ sample is available. Our approach stands on three main ingredients: semi-parametric estimation theory, high-order kernel estimation (inspired by the paper of Doksum in 1995), and mirror-type transformations as introduced in Bertin 2020 and Pujol 2022. We propose two different estimators. We prove that these estimators are asymptotically normal and efficient. Furthermore, we illustrate their numerical properties on standard examples.

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Dates et versions

hal-04052837 , version 1 (30-03-2023)
hal-04052837 , version 2 (16-10-2024)
hal-04052837 , version 3 (06-11-2025)

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Sébastien Da Veiga, Fabrice Gamboa, Thierry Klein, Agnès Lagnoux, Clémentine Prieur. Sensitivity analysis from a single input/output sample. 2024. ⟨hal-04052837v3⟩
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