Learning Global Sensitivity Indices from Observational Data: A Metamodel-Based Approach

Classical variance-based Global Sensitivity Analysis (GSA) assumes that the input--output mechanism can be repeatedly evaluated under a designed sampling scheme, which is infeasible when only a given sample of observations is available. We propose MM--GSA, a metamodel-based approach to GSA from observational data, in which supervised learning approximates the systematic input--output relationship. MM--GSA combines two complementary perspectives on input relevance: a model-agnostic estimator of the first-order Sobol' index, quantifying the contribution of an input to the variability of the systematic response, and a new trigger-based structural index, quantifying how predictive performance depends on the availability of a predictor across alternative predictor subsets. We establish consistency for both estimators and a variable-selection property for the structural index under input independence. Monte Carlo experiments and an NHANES application illustrate their finite-sample behavior and show that the two measures provide complementary information on input relevance.

Source: arXiv:2609.40342v1 - http://arxiv.org/abs/2609.40342v1 PDF: https://arxiv.org/pdf/2609.40342v1 Original Link: http://arxiv.org/abs/2609.40342v1