Test Comparison for Sobol Indices over Nested Sets of Variables

DOI10.1137/21M1457370MaRDI QIDQ5880615

Thierry Klein, Unnamed Author, Paul Rochet

Publication date: 3 March 2023

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.16977

zbMATH Keywords

Sobol indicesglobal sensitivity indicessignificance test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Parametric hypothesis testing (62F03) Nonparametric estimation (62G05) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Computing the variance of a conditional expectation via non-nested Monte Carlo
• Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
• Statistical inference for Sobol pick-freeze Monte Carlo method
• Better estimation of small sobol' sensitivity indices
• Global Sensitivity Analysis and Wasserstein Spaces
• Asymptotic normality and efficiency of two Sobol index estimators
• A Class of Statistics with Asymptotically Normal Distribution
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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