sobolrank | R Documentation |
sobolrank
implements the estimation of all first-order indices using only N model evaluations
via ranking following Gamboa et al. (2020) and inspired by Chatterjee (2019).
sobolrank(model = NULL, X, nboot = 0, conf = 0.95, nsample = round(0.8*nrow(X)),
...)
## S3 method for class 'sobolrank'
tell(x, y = NULL, ...)
## S3 method for class 'sobolrank'
print(x, ...)
## S3 method for class 'sobolrank'
plot(x, ylim = c(0, 1), ...)
## S3 method for class 'sobolrank'
ggplot(data, mapping = aes(), ..., environment
= parent.frame(), ylim = c(0, 1))
model |
a function, or a model with a |
X |
a random sample of the inputs. |
nboot |
the number of bootstrap replicates, see details. |
conf |
the confidence level for confidence intervals, see details. |
nsample |
the size of the bootstrap sample, see details. |
x |
a list of class |
data |
a list of class |
y |
a vector of model responses. |
ylim |
y-coordinate plotting limits. |
mapping |
Default list of aesthetic mappings to use for plot. If not specified, must be supplied in each layer added to the plot. |
environment |
[Deprecated] Used prior to tidy evaluation. |
... |
any other arguments for |
The estimator used by sobolrank is defined in Gamboa et al. (2020).
It is based on ranking the inputs as was first proposed by Chatterjee (2019) for a Cramer-Von Mises based estimator.
All first-order indices can be estimated with a single sample of size N.
Since boostrap creates ties which are not accounted for in the algorithm, confidence intervals are obtained by
sampling without replacement with a sample size nsample
.
sobolrank
returns a list of class "sobolrank"
, containing all
the input arguments detailed before, plus the following components:
call |
the matched call. |
X |
a |
y |
a vector of model responses. |
S |
the estimations of the Sobol' sensitivity indices. |
Sebastien Da Veiga
Gamboa, F., Gremaud, P., Klein, T., & Lagnoux, A., 2022, Global Sensitivity Analysis: a novel generation of mighty estimators based on rank statistics, Bernoulli 28: 2345-2374.
Chatterjee, S., 2021, A new coefficient of correlation, Journal of the American Statistical Association, 116:2009-2022.
sobol, sobol2002, sobolSalt, sobol2007, soboljansen, sobolmartinez,
sobolSmthSpl, sobolEff, sobolshap_knn
# Test case : the non-monotonic Sobol g-function
# Example with a call to a numerical model
library(boot)
n <- 1000
X <- data.frame(matrix(runif(8 * n), nrow = n))
x <- sobolrank(model = sobol.fun, X = X, nboot = 100)
print(x)
library(ggplot2)
ggplot(x)
# Test case : the Ishigami function
# Example with given data
n <- 500
X <- data.frame(matrix(-pi+2*pi*runif(3 * n), nrow = n))
Y <- ishigami.fun(X)
x <- sobolrank(model = NULL, X)
tell(x,Y)
print(x)
ggplot(x)
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