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Sensitivity analysis in general metric spaces

Abstract : In this paper, we introduce new indices adapted to outputs valued in general metric spaces. This new class of indices encompasses the classical ones; in particular, the so-called Sobol indices and the Cramér-von-Mises indices. Furthermore, we provide asymptotically Gaussian estimators of these indices based on U-statistics. Surprisingly, we prove the asymp-totic normality straightforwardly. Finally, we illustrate this new procedure on a toy model and on two real-data examples.
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https://hal.archives-ouvertes.fr/hal-02044223
Contributor : Agnes Lagnoux <>
Submitted on : Monday, February 10, 2020 - 12:04:31 PM
Last modification on : Tuesday, July 28, 2020 - 5:53:15 PM
Document(s) archivé(s) le : Monday, May 11, 2020 - 12:40:33 PM

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  • HAL Id : hal-02044223, version 2
  • ARXIV : 2002.04465

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Fabrice Gamboa, Thierry Klein, Agnès Lagnoux, Leonardo Moreno. Sensitivity analysis in general metric spaces. 2020. ⟨hal-02044223v2⟩

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