New sensitivity analysis subordinated to a contrast

Abstract : In a model of the form $Y=h(X_1,\ldots,X_d)$ where the goal is to estimate a parameter of the probability distribution of $Y$, we define new sensitivity indices which quantify the importance of each variable $X_i$ with respect to this parameter of interest. The aim of this paper is to define {\it goal oriented sensitivity indices} and we will show that Sobol indices are sensitivity indices associated to a particular characteristic of the distribution $Y$. We name the framework we present as {\it Goal Oriented Sensitivity Analysis} (GOSA).
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Submitted on : Wednesday, May 8, 2013 - 11:33:42 PM
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  • HAL Id : hal-00821308, version 1
  • ARXIV : 1305.2329

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Jean-Claude Fort, Thierry Klein, Nabil Rachdi. New sensitivity analysis subordinated to a contrast. Communications in Statistics - Theory and Methods, 2015, 45 (15), pp.4349-4364. ⟨hal-00821308⟩

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