Randomized pick-freeze for sparse Sobol indices estimation in high dimension
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Publication:2786501
DOI10.1051/ps/2015013zbMath1392.62111arXiv1403.5537OpenAlexW2263844191MaRDI QIDQ2786501
Alexandre Janon, Yohann de Castro
Publication date: 12 February 2016
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.5537
Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Numerical optimization and variational techniques (65K10) Numerical computation of solutions to systems of equations (65H10)
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