L2-boosting on a generalized Hoeffding decomposition for dependent variables. Application to Sensitivity Analysis

Champion, Magali, Chastaing, Gaelle, Gadat, Sébastien and Prieur, Clémentine (2014) L2-boosting on a generalized Hoeffding decomposition for dependent variables. Application to Sensitivity Analysis. Statistica Sinica.

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Official URL: http://tse-fr.eu/pub/29107

Abstract

This paper is dedicated to the study of an estimator of the generalized Hoeffding decomposition. We build such an estimator using an empirical Gram-Schmidt approach and derive a consistency rate in a large dimensional setting. We then apply a greedy algorithm with these previous estimators to a sensitivity analysis. We also establish the consistency of this L2-boosting under sparsity assumptions of the signal to be analyzed. The paper concludes with numerica l experiments, that demonstrate the low computational cost of our method, as well as its efficiency on the standard benchmark of sensitivity analysis.

Item Type: Article
Language: English
Date: 2014
Refereed: Yes
Place of Publication: Taipei
Uncontrolled Keywords: L2-boosting, convergence, dependent variables, generalized ANOVA decomposition, sensitivity analysis
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 16 Mar 2015 14:56
Last Modified: 09 Apr 2018 12:24
OAI ID: oai:tse-fr.eu:29107
URI: http://publications.ut-capitole.fr/id/eprint/16717

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