Efficiency of the averaged rank-based estimator for first order Sobol index inference - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Statistics and Probability Letters Année : 2023

Efficiency of the averaged rank-based estimator for first order Sobol index inference

Résumé

Among the many estimators of first order Sobol indices that have been proposed in the literature, the so-called rank-based estimator is arguably the simplest to implement. This estimator can be viewed as the empirical auto-correlation of the response variable sample obtained upon reordering the data by increasing values of the inputs. This simple idea can be extended to higher lags of autocorrelation, thus providing several competing estimators of the same parameter. We show that these estimators can be combined in a simple manner to achieve the theoretical variance efficiency bound asymptotically.
Fichier principal
Vignette du fichier
active_subspace.pdf (473.81 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04120606 , version 1 (08-06-2023)

Identifiants

Citer

Thierry Klein, Paul Rochet. Efficiency of the averaged rank-based estimator for first order Sobol index inference. Statistics and Probability Letters, 2023, 207, pp.110015. ⟨10.1016/j.spl.2023.110015⟩. ⟨hal-04120606⟩
41 Consultations
10 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More