2 papers
math.ST2026
Importance sampling for Sobol' indices estimation
Haythem Boucharif, Jérôme Morio, Paul Rochet
We propose a new importance sampling framework for the estimation and analysis of Sobol' indices. We focus on the estimation of the conditional second-moment quantity underlying th…
math.ST2025
Asymptotic efficiency for Sobol' and Cram{é}r-von Mises indices under two designs of experiments
Thierry Klein, Agnès Lagnoux, Paul Rochet +1
A variety of indices aim to quantify the impact of input variables on a response, typically the output from a complex computer code or black-box model. Most commonly used, the Sobo…