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arXiv · 1506.04133

Sensitivity analysis based on Cram{\'e}r von Mises distance

Fabrice Gamboa·Thierry Klein·Agnès Lagnoux
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Abstract

In this paper, we first study a new sensitivity index that is based on higher moments and generalizes the so-called Sobol one. Further, following an idea of Borgonovo ([3]), we define and study a new sensitivity index based on the Cram{\'e}r von Mises distance. This new index appears to be more general than the Sobol one as it takes into account, not only the variance, but the whole distribution of the random variable. Furthermore, we study the statistical properties of a Monte Carlo estimate of this new index.

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BibTeXRIS

Fabrice Gamboa, Thierry Klein, Agnès Lagnoux. 2015-06-12. Sensitivity analysis based on Cram{\'e}r von Mises distance. https://arxiv.org/abs/1506.04133

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