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Mixed two-stage derivative estimator for sensitivity analysis. (English) Zbl 1365.62081

Summary: In mathematical modeling, determining most influential parameters on outputs is of major importance. Thus, sensitivity analysis of parameters plays an important role in model validation. We give detailed procedure of constructing a new derivative estimator for general performance measure in Gaussian systems. We will take advantage of using score function and measure-value derivative estimators in our approach. It is shown that the proposed estimator performs better than other estimators for a dense class of test functions in the sense of having smaller variance.

MSC:

62F10 Point estimation
91B30 Risk theory, insurance (MSC2010)
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