Bias correction for the estimation of sensitivity indices based on random balance designs
Tissot, Jean-Yves ; Prieur, Clémentine
HAL, hal-00507526 / Harvested from HAL
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.
Publié le : 2012-11-01
Classification:  Sensitivity indices,  Global sensitivity analysis,  Bias correction,  RBD-FAST,  Random balance design,  MSC : 49Q12; 62J10,  [MATH.MATH-GM]Mathematics [math]/General Mathematics [math.GM],  [STAT.AP]Statistics [stat]/Applications [stat.AP]
@article{hal-00507526,
     author = {Tissot, Jean-Yves and Prieur, Cl\'ementine},
     title = {Bias correction for the estimation of sensitivity indices based on random balance designs},
     journal = {HAL},
     volume = {2012},
     number = {0},
     year = {2012},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00507526}
}
Tissot, Jean-Yves; Prieur, Clémentine. Bias correction for the estimation of sensitivity indices based on random balance designs. HAL, Tome 2012 (2012) no. 0, . http://gdmltest.u-ga.fr/item/hal-00507526/