On the consistency of Sobol indices with respect to stochastic ordering of model parameters
ESAIM: Probability and Statistics, Tome 23 (2019), pp. 387-408.

In the past decade, Sobol’s variance decomposition has been used as a tool to assess how the output of a model is affected by the uncertainty on its input parameters. We show some links between global sensitivity analysis and stochastic ordering theory. More specifically, we study the influence of inputs’ distributions on Sobol indices in relation with stochastic orders. This gives an argument in favor of using Sobol’s indices in uncertainty quantification, as one indicator among others.

Reçu le :
Accepté le :
DOI : 10.1051/ps/2018001
Classification : 62P99
Mots-clés : Sensitivity analysis, Sobol indices, stochastic orders
Cousin, A. 1 ; Janon, A. 1 ; Maume-Deschamps, V. 1 ; Niang, I. 1

1
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     title = {On the consistency of {Sobol} indices with respect to stochastic ordering of model parameters},
     journal = {ESAIM: Probability and Statistics},
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     publisher = {EDP-Sciences},
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Cousin, A.; Janon, A.; Maume-Deschamps, V.; Niang, I. On the consistency of Sobol indices with respect to stochastic ordering of model parameters. ESAIM: Probability and Statistics, Tome 23 (2019), pp. 387-408. doi : 10.1051/ps/2018001. http://archive.numdam.org/articles/10.1051/ps/2018001/

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