On the consistency of Sobol indices with respect to stochastic ordering of model parameters
From MaRDI portal
Publication:4967804
DOI10.1051/PS/2018001zbMATH Open1421.62053arXiv1407.5565OpenAlexW2963485550MaRDI QIDQ4967804FDOQ4967804
Authors: Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps, Ibrahima Niang 
Publication date: 11 July 2019
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Abstract: In the past decade, Sobol's variance decomposition have been used as a tool - among others - in risk management. We show some links between global sensitivity analysis and stochastic ordering theories. This gives an argument in favor of using Sobol's indices in uncertainty quantification, as one indicator among others.
Full work available at URL: https://arxiv.org/abs/1407.5565
Recommendations
- Asymptotic normality and efficiency of two Sobol index estimators
- Efficient computation of Sobol' indices for stochastic models
- Randomized Sobol' sensitivity indices
- Statistical inference for Sobol pick-freeze Monte Carlo method
- Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to epidemiology
Analysis of variance and covariance (ANOVA) (62J10) Order statistics; empirical distribution functions (62G30)
Cites Work
- Asymptotic Statistics
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
- Comparison methods for stochastic models and risks
- Stochastic orders
- Global sensitivity analysis: The primer
- Two Variability Orders
- Interest rate models -- theory and practice. With smile, inflation and credit
- On decompositions of multivariate functions
- The total time on test transform and the excess wealth stochastic orders of distributions
- Variance-based global sensitivity analysis via sparse-grid interpolation and cubature
- Monte Carlo Estimation under Different Distributions Using the Same Simulation
- A characterization of the dilation order and its applications
- Global sensitivity analysis for a numerical model of radionuclide migration from the RRC ``Kurchatov Institute radwaste disposal site
- Managerial insights from service industry models: a new scenario decomposition method
- Sobol' indices and Shapley value
- Novel global sensitivity analysis methodology accounting for the crucial role of the distribution of input parameters: application to systems biology models
- Density modification-based reliability sensitivity analysis
- A class of location-independent variability orders, with applications
Cited In (12)
- Randomized Sobol' sensitivity indices
- A model of gastric mucosal pH regulation: extending sensitivity analysis using Sobol' indices to understand higher moments
- Uncertainty quantification and global sensitivity analysis for economic models
- Global sensitivity analysis for models described by stochastic differential equations
- Robustness of the Sobol' Indices to Marginal Distribution Uncertainty
- An approximation theoretic perspective of Sobol' indices with dependent variables
- Sensitivity analysis methods in the biomedical sciences
- Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to epidemiology
- Statistical inference for Sobol pick-freeze Monte Carlo method
- Efficient computation of Sobol' indices for stochastic models
- Asymptotic normality and efficiency of two Sobol index estimators
- Uncertainty quantification: a minimum variance unbiased (joint) estimator of the non-normalized Sobol' indices
This page was built for publication: On the consistency of Sobol indices with respect to stochastic ordering of model parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4967804)
