Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147841 | Journal of Statistical Planning and Inference | 2013 | 16 Pages |
Abstract
We consider a functional linear model where the explicative variables are known stochastic processes taking values in a Hilbert space, the main example is given by Gaussian processes in L2([0,1])L2([0,1]). We propose estimators of the Sobol indices in this functional linear model. Our estimators are based on U-statistics. We prove the asymptotic normality and the efficiency of our estimators and we compare them from a theoretical and practical point of view with classical estimators of Sobol indices.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Jean-Claude Fort, Thierry Klein, Agnès Lagnoux, Béatrice Laurent,