Mixed two-stage derivative estimator for sensitivity analysis

Document Type: Research Paper

Authors

Department of Statistics, School of Mathematical Sciences, Shahrood University of Technology, Shahrood, Iran

Abstract

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.

Keywords