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Sensitivity analysis in general metric spaces

Thierry Klein
Leonardo Moreno
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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 and 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)



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