Sensitivity analysis based on Cramér-von Mises distance

DOI10.1137/15M1025621zbMATH Open1392.62091arXiv1506.04133MaRDI QIDQ3176231FDOQ3176231

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)

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.

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

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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)

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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
• Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient
• Kernel-based Sensitivity Analysis for (Excursion) Sets
• Sensitivity measures based on scoring functions
• A survey of some recent developments in measures of association
• A new coefficient of correlation
• 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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