New sensitivity analysis subordinated to a contrast

作者：Fort Jean Claude; Klein Thierry^*; Rachdi Nabil

来源：Communications in Statistics - Theory and Methods, 2016, 45(15): 4349-4364.

DOI：10.1080/03610926.2014.901369

• Sensitivity analysis
• Sobol indices
• 97M50
• 62P30
• 65C60
• 62K99

In a model of the form Y = h(X-1, ..., X-d) where the goal is to estimate a parameter of the probability distribution of Y, we define new sensitivity indices which quantify the importance of each variable X-i with respect to this parameter of interest. The aim of this paper is to define goal oriented sensitivity indices and we will show that Sobol indices are sensitivity indices associated to a particular characteristic of the distribution Y. We name the framework we present as Goal Oriented Sensitivity Analysis (GOSA).

• 出版日期2016