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Global Sensitivity Analysis: a new generation of mighty estimators based on rank statistics

Abstract : We propose a new statistical estimation framework for a large family of global sensitivity analysis methods. Our approach is based on rank statistics and uses an empirical correlation coefficient recently introduced by Sourav Chatterjee. We show how to apply this approach to compute not only the Cramér-von-Mises indices, which are directly related to Chatterjee's notion of correlation, but also Sobol indices at any order, higher-order moment indices, and Shapley effects. We establish consistency of the resulting estimators and demonstrate their numerical efficiency, especially for small sample sizes.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-02474902
Contributor : Agnes Lagnoux Connect in order to contact the contributor
Submitted on : Friday, May 21, 2021 - 10:03:50 AM
Last modification on : Tuesday, October 19, 2021 - 11:17:07 PM

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  • HAL Id : hal-02474902, version 4

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Fabrice Gamboa, Pierre Gremaud, Thierry Klein, Agnès Lagnoux. Global Sensitivity Analysis: a new generation of mighty estimators based on rank statistics. 2021. ⟨hal-02474902v4⟩

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