Electronic Journal of Statistics

Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis

Gaelle Chastaing, Fabrice Gamboa, and Clémentine Prieur

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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.

Article information

Source
Electron. J. Statist., Volume 6 (2012), 2420-2448.

Dates
First available in Project Euclid: 21 December 2012

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1356098617

Digital Object Identifier
doi:10.1214/12-EJS749

Mathematical Reviews number (MathSciNet)
MR3020270

Zentralblatt MATH identifier
1334.62098

Keywords
Sensitivity index Hoeffding decomposition dependent variables Sobol decomposition

Citation

Chastaing, Gaelle; Gamboa, Fabrice; Prieur, Clémentine. Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis. Electron. J. Statist. 6 (2012), 2420--2448. doi:10.1214/12-EJS749. https://projecteuclid.org/euclid.ejs/1356098617


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