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arXiv · 1407.5565

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

Areski Cousin·Alexandre Janon·Véronique Maume-Deschamps·Ibrahima Niang
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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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Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps, Ibrahima Niang. 2014-07-21. On the consistency of Sobol indices with respect to stochastic ordering of model parameters. https://arxiv.org/abs/1407.5565

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