Pré-Publication, Document De Travail Année : 2020

Sensitivity analysis in general metric spaces

Résumé

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 Cramér-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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Dates et versions

hal-02044223 , version 1 (21-02-2019)
hal-02044223 , version 2 (10-02-2020)
hal-02044223 , version 3 (22-07-2020)
hal-02044223 , version 4 (19-01-2021)

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Fabrice Gamboa, Thierry Klein, Agnès Lagnoux, Leonardo Moreno. Sensitivity analysis in general metric spaces. 2020. ⟨hal-02044223v2⟩
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