Sensitivity analysis based on Cramér-von Mises distance

DOI10.1137/15M1025621MaRDI QIDQ3176231zbMATH OpenFDO

Authors Thierry Klein, Agnès Lagnoux, Fabrice Gamboa

Publication date 19 July 2018

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04133

zbMATH Keywords

sensitivity analysisfunctional delta-methodCramér-von Mises distancepick and freeze method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper, we first study a new sensitivity index that is based on higher moments and generalizes the so-called Sobol one. Further, following an idea of Borgonovo ([3]), we define and study a new sensitivity index based on the Cram{'e}r von Mises distance. This new index appears to be more general than the Sobol one as it takes into account, not only the variance, but the whole distribution of the random variable. Furthermore, we study the statistical properties of a Monte Carlo estimate of this new index.

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Cited in

(15)

• Goal-oriented Shapley effects with special attention to the quantile-oriented case
• Copula theory and probabilistic sensitivity analysis: is there a connection?
• Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
• Explaining classifiers with measures of statistical association
• Probabilistic sensitivity measures as information value
• Global sensitivity analysis and Wasserstein spaces
• A new coefficient of correlation
• Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient
• Sensitivity measures based on scoring functions
• Kernel-based Sensitivity Analysis for (Excursion) Sets
• A survey of some recent developments in measures of association
• Measuring association with Wasserstein distances
• Sensitivity in Metric Scaling and Analysis of Distance
• Faster Kriging: facing high-dimensional simulators
• Nonparametric estimation of probabilistic sensitivity measures

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