Randomized pick-freeze for sparse Sobol indices estimation in high dimension
Randomized pick-freeze for sparse Sobol indices estimation in high dimension
This article investigates selection of variables in high-dimension from a non-parametric regression model. In many concrete situations, we are concerned with estimating a non-parametric regression function f that may depend on a large number p of inputs variables. Unlike standard procedures, we do not assume that f belongs to a …