On the consistency of Sobol indices with respect to stochastic ordering of model parameters

DOI10.1051/PS/2018001MaRDI QIDQ4967804zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1407.5565

zbMATH Keywords

sensitivity analysisSobol indicesstochastic orders

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Order statistics; empirical distribution functions (62G30)

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.

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Cited in

(12)

• Randomized Sobol' sensitivity indices
• A model of gastric mucosal pH regulation: extending sensitivity analysis using Sobol' indices to understand higher moments
• Global sensitivity analysis for models described by stochastic differential equations
• Uncertainty quantification and global sensitivity analysis for economic models
• Robustness of the Sobol' Indices to Marginal Distribution Uncertainty
• Sensitivity analysis methods in the biomedical sciences
• An approximation theoretic perspective of Sobol' indices with dependent variables
• 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

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