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Metamodel construction for sensitivity analysis. (English. French summary) Zbl 1384.62137
Summary: We propose to estimate a metamodel and the sensitivity indices of a complex model $$m$$ in the Gaussian regression framework. Our approach combines methods for sensitivity analysis of complex models and statistical tools for sparse non-parametric estimation in multivariate Gaussian regression model. It rests on the construction of a metamodel for aproximating the Hoeffding-Sobol decomposition of $$m$$. This metamodel belongs to a reproducing kernel Hilbert space constructed as a direct sum of Hilbert spaces leading to a functional ANOVA decomposition. The estimation of the metamodel is carried out via a penalized least-squares minimization allowing to select the subsets of variables that contribute to predict the output. It allows to estimate the sensitivity indices of $$m$$. We establish an oracle-type inequality for the risk of the estimator, describe the procedure for estimating the metamodel and the sensitivity indices, and assess the performances of the procedure via a simulation study.
##### MSC:
 62G08 Nonparametric regression and quantile regression 62H12 Estimation in multivariate analysis 62J10 Analysis of variance and covariance (ANOVA) 60E15 Inequalities; stochastic orderings
hgam; R
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