Sensitivity analysis in general metric spaces
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Abstract: In this paper, we introduce new indices adapted to outputs valued in general metric spaces. This new class of indices encompasses the classical ones; in particular, the so-called Sobol indices and the Cram{'e}r-von-Mises indices. Furthermore, we provide asymptotically Gaussian estimators of these indices based on U-statistics. Surprisingly, we prove the asymp-totic normality straightforwardly. Finally, we illustrate this new procedure on a toy model and on two real-data examples.
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