On the consistency of Sobol indices with respect to stochastic ordering of model parameters. - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles ESAIM: Probability and Statistics Year : 2019

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

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.
Fichier principal
Vignette du fichier
CJMN17072014.pdf (211.09 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01026373 , version 1 (21-07-2014)
hal-01026373 , version 2 (21-07-2014)

Identifiers

Cite

Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps, Ibrahima Niang. On the consistency of Sobol indices with respect to stochastic ordering of model parameters.. ESAIM: Probability and Statistics, 2019, 23 (387-408), ⟨10.1051/ps/2018001⟩. ⟨hal-01026373v2⟩
783 View
458 Download

Altmetric

Share

Gmail Facebook X LinkedIn More