期刊
STATISTICS
卷 50, 期 4, 页码 881-902出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/02331888.2015.1105803
关键词
sensitivity analysis; Sobol indices; tests; concentration inequalities; Berry-Esseen theorem; 62G05; 62G20
资金
- French National Research Agency (ANR) under COSINUS program (project COSTA-BRAVA) [ANR-09-COSI-015]
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.
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