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Licensed Unlicensed Requires Authentication Published by De Gruyter October 27, 2021

Global sensitivity analysis of statistical models by double randomization method

  • Dmitriy Kolyukhin EMAIL logo

Abstract

The paper addresses a global sensitivity analysis of complex models. The work presents a generalization of the hierarchical statistical models where uncertain parameters determine the distribution of statistical models. The double randomization method is applied to increase the efficiency of the Monte Carlo estimation of Sobol indices. Numerical computations are provided to study the accuracy and efficiency of the proposed technique. The issue of optimization of the suggested approach is considered.

MSC 2010: 65C05; 65C20; 93B35

Award Identifier / Grant number: 20-51-18009

Funding statement: The reported study was funded by RFBR and NSFB, project number 20-51-18009.

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Received: 2021-05-27
Revised: 2021-10-07
Accepted: 2021-10-12
Published Online: 2021-10-27
Published in Print: 2021-12-01

© 2021 Walter de Gruyter GmbH, Berlin/Boston

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