On the consistency of Sobol indices with respect to stochastic ordering of model parameters.

Abstract : In the past decade, Sobol's variance decomposition have been used as a tool - among others - in risk management. We show some links between global sensitivity analysis and stochastic ordering theories. This gives an argument in favor of using Sobol's indices in uncertainty quantification, as one indicator among others.
Complete list of metadatas

Cited literature [21 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01026373
Contributor : Ea 2429 Laboratoire de Sciences Financière Et d'Assurance <>
Submitted on : Monday, July 21, 2014 - 3:27:11 PM
Last modification on : Monday, April 15, 2019 - 12:18:36 PM
Long-term archiving on : Tuesday, April 11, 2017 - 3:51:34 PM

Files

CJMN17072014.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01026373, version 2
  • ARXIV : 1407.5565

Citation

Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps, Ibrahima Niang. On the consistency of Sobol indices with respect to stochastic ordering of model parameters.. ESAIM: Probability and Statistics, EDP Sciences, In press. ⟨hal-01026373v2⟩

Share

Metrics

Record views

5495

Files downloads

696