New Fr\'echet features for random distributions and associated sensitivity indices
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Publication:6260432
arXiv1503.08844MaRDI QIDQ6260432FDOQ6260432
Authors: Jean-Claude Fort, Thierry Klein 
Publication date: 30 March 2015
Abstract: In this article we define new Fr`Echet features for random cumulative distribution functions using contrast. These contrasts allow to construct Wasserstein costs and our new features minimize the average costs as the Fr`Echet mean minimizes the mean square Wasserstein distance. An example of new features is the median, and more generally the quantiles. From these definitions, we are able to define sensitivity indices when the random distribution is the output of a stochastic code. Associated to the Fr`Echet mean we extend the Sobol indices, and in general the indices associated to a contrast that we previously proposed.
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