HAL - INRIA :: [hal-00649404, version 3] Generalized Hoeffding-Sobol Decomposition for Dependent Variables -Application to Sensitivity Analysis

hal-00649404, version 3

Generalized Hoeffding-Sobol Decomposition for Dependent Variables -Application to Sensitivity Analysis

Gaëlle Chastaing ( Author to contact preferably ) ^1, 2, Fabrice Gamboa (, ) ^1, 3, Clémentine Prieur () ^1, 2

(09/03/2012)

Abstract: 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.

1: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
CNRS : GDR3179
2: MOISE (INRIA Grenoble Rhône-Alpes / LJK Laboratoire Jean Kuntzmann)
CNRS : UMR5224 – INRIA – Laboratoire Jean Kuntzmann – Université Joseph Fourier - Grenoble I – Institut Polytechnique de Grenoble - Grenoble Institute of Technology
3: Institut de Mathématiques de Toulouse (IMT)
Université Paul Sabatier - Toulouse III – Université Toulouse le Mirail - Toulouse II – Université des Sciences Sociales - Toulouse I – Institut National des Sciences Appliquées de Toulouse – CNRS : UMR5219

hal-00649404, version 3
http://hal.archives-ouvertes.fr/hal-00649404
oai:hal.archives-ouvertes.fr:hal-00649404
From: Fabrice Gamboa <>
Submitted on: Friday, 9 March 2012 13:20:55
Updated on: Sunday, 11 March 2012 20:35:53

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arXiv: 1112.1788

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