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2012 Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis
Gaelle Chastaing, Fabrice Gamboa, Clémentine Prieur
Electron. J. Statist. 6: 2420-2448 (2012). DOI: 10.1214/12-EJS749

Abstract

In this paper, we consider a regression model built on dependent variables. This regression modelizes an input output relationship. Under boundedness type assumptions on the joint density function of the input variables, we show that a generalized Hoeffding-Sobol decomposition is available. This leads to new indices measuring the sensitivity of the output with respect to the input variables. We also study and discuss the estimation of these new indices.

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Gaelle Chastaing. Fabrice Gamboa. Clémentine Prieur. "Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis." Electron. J. Statist. 6 2420 - 2448, 2012. https://doi.org/10.1214/12-EJS749

Information

Published: 2012
First available in Project Euclid: 21 December 2012

zbMATH: 1334.62098
MathSciNet: MR3020270
Digital Object Identifier: 10.1214/12-EJS749

Keywords: dependent variables , Hoeffding decomposition , Sensitivity index , Sobol decomposition

Rights: Copyright © 2012 The Institute of Mathematical Statistics and the Bernoulli Society

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