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math.ST2023
Efficiency of the averaged rank-based estimator for first order Sobol index inference
Thierry Klein, Paul Rochet
Among the many estimators of first order Sobol indices that have been proposed in the literature, the so-called rank-based estimator is arguably the simplest to implement. This est…
math.ST2023★ 3 cited
Sensitivity analysis from a single input/output sample
Sébastien Da Veiga, Fabrice Gamboa, Thierry Klein +2
The main objective of this paper is to estimate optimally Sobol' indices at any order when a unique input/output i.i.d.\ sample is available. Our approach stands on three main ingr…