Asymptotic Normality and Efficiency of Two Sobol Index Estimators
نویسندگان
چکیده
Introduction 1 1. Definition and estimation of Sobol indices 2 1.1. Exact model 2 1.2. Estimation of S 3 2. Asymptotic properties: exact model 4 2.1. Consistency and asymptotic normality 4 2.2. Asymptotic efficiency 6 3. Asymptotic properties: metamodel 8 3.1. Metamodel-based estimation 8 3.2. Consistency and asymptotic normality 8 3.3. Asymptotic efficiency 11 4. Numerical illustrations 12 4.1. Exact model 13 4.2. Gaussian-perturbated model 14 4.3. Weibull-perturbated model 14 4.4. RKHS metamodel 15 4.5. Nonparametric regression 16 References 19
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