Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics

DOI10.3150/21-BEJ1421MaRDI QIDQ2676923zbMATH OpenFDO

Authors Fabrice Gamboa, Thierry Klein, Agnès Lagnoux, Pierre A. Gremaud

Publication date 28 September 2022

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.01772, https://projecteuclid.org/journals/bernoulli/volume-28/issue-4/Global-sensitivity-analysis-A-novel-generation-of-mighty-estimators/10.3150/21-BEJ1421.full

zbMATH Keywords

Chatterjee's coefficient of correlationCramér-von-Mises distanceglobal sensitivity analysispick-freeze methodSobol' indices estimation

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Linear inference, regression (62Jxx)

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Cited in

(15)

• Goal-oriented Shapley effects with special attention to the quantile-oriented case
• Test Comparison for Sobol Indices over Nested Sets of Variables
• Quantifying directed dependence via dimension reduction
• On Azadkia-Chatterjee's conditional dependence coefficient
• Global Sensitivity Analysis: a new generation of mighty estimators based on rank statistics
• Dependence properties of bivariate copula families
• Kernel-based Sensitivity Analysis for (Excursion) Sets
• A survey of some recent developments in measures of association
• Quantifying and estimating dependence via sensitivity of conditional distributions
• A simple bootstrap for Chatterjee's rank correlation
• Coupled input-output dimension reduction: application to goal-oriented Bayesian experimental design and global sensitivity analysis
• An Inference Method for Global Sensitivity Analysis
• Azadkia-Chatterjee's correlation coefficient adapts to manifold data
• Sensitivity analysis from a single input/output sample
• Rearranged dependence measures

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