Journal
JOURNAL OF NONPARAMETRIC STATISTICS
Volume 25, Issue 3, Pages 573-595Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/10485252.2013.784762
Keywords
density estimation; semiparametric Cramer-Rao bound; global sensitivity analysis
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Funding
- French National Research Agency (ANR) through COSINUS program [COSTA-BRAVA ANR-09-COSI-015]
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In this paper, we address the problem of efficient estimation of Sobol sensitivity indices. First, we focus on general functional integrals of conditional moments of the form ?((?(phi(Y)|X))) where (X, Y) is a random vector with joint density f and and phi 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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