Quasi-regression with shrinkage

Quasi-regression is a method of Monte Carlo approximation useful for global sensitivity analysis. This paper presents a new version, incorporating shrinkage parameters of the type used in wavelet approximation. As an example application, a black box function from machine learning is analyzed. That function is nearly a sum of functions of one and two variables and the first variable acting alone accounts for more than half of the variance.

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Year of publication:	2003
Authors:	Jiang, Tao ; Owen, Art B.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 62.2003, 3, p. 231-241
Publisher:	Elsevier
Subject:	Computer experiments \| Global sensitivity analysis \| Machine learning \| Wavelets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749693