Efficient Estimation of Sensitivity Indices

Sébastien Da Veiga; Fabrice Gamboa

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arXiv · 1203.2899

Efficient Estimation of Sensitivity Indices

Sébastien Da Veiga·Fabrice Gamboa

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Abstract

In this paper we address the problem of efficient estimation of Sobol sensitivy indices. First, we focus on general functional integrals of conditional moments of the form $\E(\psi(\E(\varphi(Y)|X)))$ where $(X,Y)$ is a random vector with joint density $f$ and $\psi$ and $\varphi$ are functions that are differentiable enough. In particular, we show that asymptotical efficient estimation of this functional boils down to the estimation of crossed quadratic functionals. An efficient estimate of first-order sensitivity indices is then derived as a special case. We investigate its properties on several analytical functions and illustrate its interest on a reservoir engineering case.

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Sébastien Da Veiga, Fabrice Gamboa. 2012-03-13. Efficient Estimation of Sensitivity Indices. https://arxiv.org/abs/1203.2899

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