Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Global sensitivity analysis for stochastic simulators based on
  generalized lambda surrogate models   Global sensitivity analysis aims at quantifying the impact of input
variability onto the variation of the response of a computational model. It has
been widely applied to deterministic simulators, for which a set of input
parameters has a unique corresponding output value. Stochastic simulators,
however, have intrinsic randomness due to their use of (pseudo)random numbers,
so they give different results when run twice with the same input parameters
but non-common random numbers. Due to this random nature, conventional Sobol'
indices, used in global sensitivity analysis, can be extended to stochastic
simulators in different ways. In this paper, we discuss three possible
extensions and focus on those that depend only on the statistical dependence
between input and output. This choice ignores the detailed data generating
process involving the internal randomness, and can thus be applied to a wider
class of problems. We propose to use the generalized lambda model to emulate
the response distribution of stochastic simulators. Such a surrogate can be
constructed without the need for replications. The proposed method is applied
to three examples including two case studies in finance and epidemiology. The
results confirm the convergence of the approach for estimating the sensitivity
indices even with the presence of strong heteroskedasticity and small
signal-to-noise ratio.

19
The categories of this paper are: eess
14
The categories of this paper are: math-ph
29
The categories of this paper are: funct-an
8
The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
7
The categories of this paper are: hep-th
27
The categories of this paper are: comp-gas
10
The categories of this paper are: q-bio
33
The categories of this paper are: plasm-ph
24
The categories of this paper are: dg-ga
3
The categories of this paper are: physics
17
The categories of this paper are: q-fin
28
The categories of this paper are: alg-geom
34
The categories of this paper are: chem-ph