Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis
Copyright policy )Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis
In this paper, we consider a regression model built on dependent variables. This regression modelizes an input output relationship. Under boundedness assumptions on the joint distribution 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.
dependent variables, 330, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Mathematics - Statistics Theory, [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Statistics Theory (math.ST), Dependent variables, sensitivity index, Sobol decomposition, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Sensitivity index, General nonlinear regression, FOS: Mathematics, Hoeffding decomposition, Sensitivity analysis, Nonparametric estimation, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]
dependent variables, 330, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Mathematics - Statistics Theory, [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Statistics Theory (math.ST), Dependent variables, sensitivity index, Sobol decomposition, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Sensitivity index, General nonlinear regression, FOS: Mathematics, Hoeffding decomposition, Sensitivity analysis, Nonparametric estimation, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]
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