[Statlist] Reminder *Research seminar in statistics* Université de Genève / Faculté SES

[Sylvie Huber]

Research Seminar in Statistics

Organisers :                                                                                   .
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday September 27th, 2013
at 11h15
Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Fabrice Gamboa
IMT Université Paul Sabatier


"Around Sobol pick-freeze method in sensitivity analysis"

Abstract: A big computer simulation code may be seen as a regression model Y=F(X). Here, Y is a scalar output of the simulation code while  X is a high dimensional random vector of input. Having at hand a small sample of independent copies of (X,Y) the applied reseacher wish to understand which components of X have most influence on the fluctuactions of Y. The Sobol indices quantify the influence of any subset of components. In this talk, we will adress some recent results on the statistical  properties of the estimates of these Sobol indices.


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