On the consistency of Sobol indices with respect to stochastic ordering of model parameters. - Archive ouverte HAL
Journal Articles ESAIM: Probability and Statistics Year : 2019

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

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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Dates and versions

hal-01026373 , version 1 (21-07-2014)
hal-01026373 , version 2 (21-07-2014)

Identifiers

Cite

Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps, Ibrahima Niang. On the consistency of Sobol indices with respect to stochastic ordering of model parameters.. ESAIM: Probability and Statistics, 2019, 23 (387-408), ⟨10.1051/ps/2018001⟩. ⟨hal-01026373v2⟩
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