Journal
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION
Volume 6, Issue 2, Pages 522-548Publisher
SIAM PUBLICATIONS
DOI: 10.1137/15M1025621
Keywords
sensitivity analysis; Cramer-von Mises distance; pick and freeze method; functional delta-method
Funding
- ANR project PEPITO [ANR-14-CE23-0011]
- Agence Nationale de la Recherche (ANR) [ANR-14-CE23-0011] Funding Source: Agence Nationale de la Recherche (ANR)
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In this paper, we first study a sensitivity index that is based on higher moments and generalizes the so-called Sobol one. Further, following an idea of Borgonovo (see [Reliab. Eng. Syst. Saf., 92 (2007), pp. 771-784]), we define and study a new sensitivity index based on the Cramer-von Mises distance. This index appears to be more general than the Sobol one as it takes into account the whole distribution of the random variable and not only the variance. Furthermore, we study the statistical properties of its pick and freeze estimator.
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