Variance Components and Generalized Sobol' Indices

  title={Variance Components and Generalized Sobol' Indices},
  author={Art B. Owen},
  journal={SIAM/ASA J. Uncertain. Quantification},
  • A. Owen
  • Published 8 May 2012
  • Mathematics
  • SIAM/ASA J. Uncertain. Quantification
This paper introduces generalized Sobol' indices, compares strategies for their estimation, and makes a systematic search for efficient estimators. Of particular interest are contrasts, sums of squares and indices of bilinear form which allow a reduced number of function evaluations compared to alternatives. The bilinear framework includes some efficient estimators from Saltelli (2002) and Mauntz (2002) as well as some new estimators for specific variance components and mean dimensions. This… 

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