Statistical inference for Sobol pick-freeze Monte Carlo method. Issue 4 (3rd July 2016)

• Record Type: Journal Article
• Authors: Gamboa, F.; Janon, A.; Klein, T.; Lagnoux, A.; Prieur, C.
• Is Part Of: Statistics. Volume 50:Issue 4(2016)
• Page Start: 881
• Page End: 902
• Publication Date: 2016-07-03
• Subjects: sensitivity analysis -- Sobol indices -- tests -- concentration inequalities -- Berry–Esseen theorem; 62G05 -- 62G20; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2015.1105803
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index. We consider the statistical estimation of this index from a finite sample of model outputs. We study asymptotic and non-asymptotic properties of two estimators of Sobol indices. These properties are applied to significance tests and estimation by confidence intervals.