hal-00507526, version 2
Bias correction for the estimation of sensitivity indices based on random balance designs
Jean-Yves Tissot
1, 2Clémentine Prieur 1, 2
(2010-07-30)
Abstract: In this paper, we present a general way to correct a positive bias which occurs in all the estimators in random balance design method (RBD) and in its hybrid version, RBD-FAST. Both these techniques derive from Fourier amplitude sensitivity test (FAST) and, as a consequence, are faced with most of its inherent issues. And up to now, one of these, the well-known problem of interferences, has always been ignored in RBD. After presenting in which way interferences lead to a positive bias in the estimator of first-order sensitivity indices in RBD, we explain how to overcome this issue. We then extend the bias correction method to the estimation of sensitivity indices of any order in RBD-FAST. We also give an economical strategy to estimate all the first-order and second-order sensitivity indices using RBD-FAST.
- 1: Laboratoire Jean Kuntzmann (LJK)
- CNRS : UMR5224 – Université Joseph Fourier - Grenoble I – Université Pierre Mendès-France - Grenoble II – Institut Polytechnique de Grenoble - Grenoble Institute of Technology
- 2: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- Domain : Mathematics/General Mathematics
Statistics/Applications - Keywords : Global sensitivity analysis – Sensitivity indices – Random balance design – RBD-FAST – Bias correction
- Available versions : v1 (2010-08-02) v2 (2011-11-01)
- hal-00507526, version 2
- http://hal.archives-ouvertes.fr/hal-00507526
- oai:hal.archives-ouvertes.fr:hal-00507526
- From: Jean-Yves Tissot
- Submitted on: Tuesday, 1 November 2011 07:23:03
- Updated on: Tuesday, 1 November 2011 09:29:35






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