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arXiv · 2002.04465

Sensitivity analysis in general metric spaces

Fabrice Gamboa·Thierry Klein·Agnès Lagnoux·Leonardo Moreno
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Abstract

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 Cram{\'e}r-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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Fabrice Gamboa, Thierry Klein, Agnès Lagnoux, Leonardo Moreno. 2020-02-11. Sensitivity analysis in general metric spaces. https://arxiv.org/abs/2002.04465

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