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

First available in Project Euclid: 21 December 2012

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Sensitivity index Hoeffding decomposition dependent variables Sobol decomposition


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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