A nonparametric importance sampling estimator for moment independent importance measures

Moment independent importance measures have been proposed by Borgonovo [1] in order to alleviate some of the drawbacks of variance-based sensibility indices. They have gained increasing attention over the last years but their estimation remains a challenging issue. An effective estimation scheme in the case of correlated inputs, referred to as single-loop method, has been proposed by Wei et al. [2]. In this paper we show via simulation that this...