Search results for "Variance-based sensitivity analysis"
showing 4 items of 4 documents
On the Estimation of the Volatility-Growth Link
2012
It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the variance of the error term appears as an explanatory variable in this growth equation. The variance in turn is modeled by a second equation. Hardly any of existing applications of this framework includes exogenous controls in this second variance equation. Our theoretical findings suggest that the absence of relevant explanatory variables in the variance equation leads to a biased and inconsistent estimate of the volatility-growth link. Our simulations show that this effect is large. Once the appropriate controls are included in the variance equation consistency is restored. I…
Variance-based sensitivity analysis for wastewater treatment plant modelling.
2014
Global sensitivity analysis (GSA) is a valuable tool to support the use of mathematical models that characterise technical or natural systems. In the field of wastewater modelling, most of the recent applications of GSA use either regression-based methods, which require close to linear relationships between the model outputs and model factors, or screening methods, which only yield qualitative results. However, due to the characteristics of membrane bioreactors (MBR) (non-linear kinetics, complexity, etc.) there is an interest to adequately quantify the effects of non-linearity and interactions. This can be achieved with variance-based sensitivity analysis methods. In this paper, the Extend…
Global sensitivity analysis in welding simulations -- what are the material data you really need ?
2011
In this paper, the sensitivity analysis methodology is applied to numerical welding simulation in order to rank the importance of input variables on the outputs of the code like distorsions or residual stresses. The numerical welding simulation uses the finite element method, with a thermal computation followed by a mechanical one. Classically, a local sensitivity analysis is performed, hence the validity of the results is limited to the neighbourhood of a nominal point, and cross effects cannot be detected. This study implements a global sensitivity analysis which allows to screen the whole material space of the steel family mechanical properties. A set of inputs of the mechanical model-ma…
Change-points detection for variance piecewise constant models
2011
A new approach based on the fit of a generalized linear regression model is introduced for detecting change-points in the variance of heteroscedastic Gaussian variables, with piecewise constant variance function. This approach overcome some limitations of both exact and approximate well-known methods that are based on successive application of search and tend to overestimate the real number of changes in the variance of the series. The proposed method just requires the computation of a gamma GLM with log-link, resulting in a very efficient algorithm even with large sample size and many change points to be estimated.