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hal-00507526, version 2

Bias correction for the estimation of sensitivity indices based on random balance designs

Jean-Yves Tissot () 12, Clémentine Prieur 12

(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.

  • 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
  • oai:hal.archives-ouvertes.fr:hal-00507526
  • From: 
  • Submitted on: Tuesday, 1 November 2011 07:23:03
  • Updated on: Tuesday, 1 November 2011 09:29:35
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