Non-parametric estimation of conditional moments for sensitivity analysis

作者：Ratto M^*; Pagano A; Young P C

来源：Reliability Engineering & System Safety, 2009, 94(2): 237-243.

DOI：10.1016/j.ress.2008.02.023

• Sensitivity analysis
• Non-parametric methods
• Conditional moments
• State-dependent parameter models

In this paper, we consider the non-parametric estimation of conditional moments, which is useful for applications in global sensitivity analysis (GSA) and in the more general emulation framework. The estimation is based on the state-dependent parameter (SDP) estimation approach and allows for the estimation of conditional moments of order larger than unity. This allows one to identify a wider spectrum of parameter sensitivities with respect to the variance-based main effects, like shifts in the variance, skewness or kurtosis of the model output, so adding Valuable information for the analyst, at a small computational cost.

• 出版日期2009-2