TY - JOUR
T1 - Estimation of conditional moment by moving least squares and its application for importance analysis
AU - Ruan, Wenbin
AU - Lu, Zhenzhou
AU - Wei, Pengfei
PY - 2013/12
Y1 - 2013/12
N2 - Combined with advantages of moving least squares approximation, a new method for estimating higher-order conditional moment is established, which is useful for application in importance analysis and provides a supplement of the standard variance-based importance analysis. On the other hand, after obtaining the first four-order moments, the probability density function can be emulated by use of the Edgeworth expansion procedure, thereby a new method to compute the moment independent importance measure index δi proposed by Borgonovo is presented in this article. Two examples are employed to demonstrate that it is necessary to analyze higher-order conditional moment in importance analysis. At the same time, we study the feasibility of the Edgeworth expansion-based method for estimating the index δi by applying it to these examples.
AB - Combined with advantages of moving least squares approximation, a new method for estimating higher-order conditional moment is established, which is useful for application in importance analysis and provides a supplement of the standard variance-based importance analysis. On the other hand, after obtaining the first four-order moments, the probability density function can be emulated by use of the Edgeworth expansion procedure, thereby a new method to compute the moment independent importance measure index δi proposed by Borgonovo is presented in this article. Two examples are employed to demonstrate that it is necessary to analyze higher-order conditional moment in importance analysis. At the same time, we study the feasibility of the Edgeworth expansion-based method for estimating the index δi by applying it to these examples.
KW - Edgeworth expansion
KW - higher-order conditional moment
KW - Importance measure
KW - moment independent
KW - moving least squares
UR - http://www.scopus.com/inward/record.url?scp=84889069492&partnerID=8YFLogxK
U2 - 10.1177/1748006X13493241
DO - 10.1177/1748006X13493241
M3 - 文章
AN - SCOPUS:84889069492
SN - 1748-006X
VL - 227
SP - 641
EP - 650
JO - Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability
JF - Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability
IS - 6
ER -