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arXiv · 0803.3504

Local Polynomial Estimation for Sensitivity Analysis on Models With Correlated Inputs

Sébastien Da Veiga·François Wahl·Fabrice Gamboa
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Abstract

Sensitivity indices when the inputs of a model are not independent are estimated by local polynomial techniques. Two original estimators based on local polynomial smoothers are proposed. Both have good theoretical properties which are exhibited and also illustrated through analytical examples. They are used to carry out a sensitivity analysis on a real case of a kinetic model with correlated parameters.

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Sébastien Da Veiga, François Wahl, Fabrice Gamboa. 2008-03-25. Local Polynomial Estimation for Sensitivity Analysis on Models With Correlated Inputs. https://arxiv.org/abs/0803.3504

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