Efficient estimation of Sobol’ indices of any order 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 and mirror-type transformations. We propose two different estimators. We prove that these estimators
are asymptotically normal and efficient. Furthermore, we illustrate their numerical properties on standard examples.
Domaines
Statistiques [math.ST]| Origine | Fichiers produits par l'(les) auteur(s) |
|---|