hal-00601472, version 1
Reproducing kernels for spaces of zero mean functions. Application to sensitivity analysis
Nicolas Durrande
1David Ginsbourger
2Olivier Roustant
1, 3Laurent Carraro
4
(2011-06-15)
Abstract: Given a Reproducing Kernel Hilbert Space (H, h., .i) of real-valued functions and a suitable measure μ over the source space, we decompose H as sum of a subspace of centered functions for μ and its orthogonal in H. This decomposition leads to a special case of ANOVA kernels, for which the functional ANOVA representation of the minimal norm interpolator can be elegantly derived. The proposed kernels appear to be particularly convenient for analyzing the effect of each (group of) variable(s) and computing sensitivity indices without recursivity.
- 1: Equipe : Calcul de Risque, Optimisation et Calage par Utilisation de Simulateurs (CROCUS-ENSMSE)
- UR LSTI – Ecole Nationale Supérieure des Mines de Saint-Etienne
- 2: Institute of Mathematical Statistics and Actuarial Science
- University of Bern
- 3: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- 4: Laboratoire de Mathématiques de l'Université de Saint-Etienne (LAMUSE)
- Université Jean Monnet - Saint-Etienne
- Domain : Statistics/Other Statistics
- hal-00601472, version 1
- http://hal.archives-ouvertes.fr/hal-00601472
- oai:hal.archives-ouvertes.fr:hal-00601472
- From: Nicolas Durrande
- Submitted on: Friday, 17 June 2011 17:46:27
- Updated on: Friday, 17 June 2011 22:20:37






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