Sensitivity analysis from a single input/output sample
Statistics Theory
2025-11-10 v2 Statistics Theory
Abstract
The main objective of this paper is to estimate optimally Sobol' indices at any order when a unique input/output i.i.d.\ sample is available. Our approach stands on three main ingredients: semi-parametric estimation theory, high-order kernel estimation (inspired by the paper of Doksum in 1995), and mirror-type transformations as introduced in Bertin 2020 and Pujol 2022. We propose two different estimators. We prove that these estimators are asymptotically normal and efficient. Furthermore, we illustrate their numerical properties on standard examples.
Keywords
Cite
@article{arxiv.2303.17832,
title = {Sensitivity analysis from a single input/output sample},
author = {Sébastien Da Veiga and Fabrice Gamboa and Thierry Klein and Agnès Lagnoux and Clémentine Prieur},
journal= {arXiv preprint arXiv:2303.17832},
year = {2025}
}