New improvements in the use of dependence measures for sensitivity analysis and screening

作者：De Lozzo Matthias^*; Marrel Amandine

来源：Journal of Statistical Computation and Simulation, 2016, 86(15): 3038-3058.

DOI：10.1080/00949655.2016.1149854

• Sensitivity analysis
• screening
• dependence measures
• independence tests
• bootstrap
• HSIC
• 49Q12
• 62G10
• 62F07
• 62P30

Physical phenomena are commonly modelled by time consuming numerical simulators, function of many uncertain parameters whose influences can be measured via a global sensitivity analysis. The usual variance-based indices require too many simulations, especially as the inputs are numerous. To address this limitation, we consider recent advances in dependence measures, focusing on the distance correlation and the Hilbert-Schmidt independence criterion. We study and use these indices for a screening purpose. Numerical tests reveal differences between variance-based indices and dependence measures. Then, two approaches are proposed to use the latter for a screening purpose. The first approach uses independence tests, with existing asymptotic versions and spectral extensions; bootstrap versions are also proposed. The second considers a linear model with dependence measures, coupled to a bootstrap selection method or a Lasso penalization. Numerical experiments show their potential in the presence of many non-influential inputs and give successful results for a nuclear reliability application.

• 出版日期2016
• 单位中国地震局