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

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.
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Submitted on : Friday, March 9, 2012 - 1:20:55 PM
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Gaëlle Chastaing, Fabrice Gamboa, Clémentine Prieur. Generalized Hoeffding-Sobol Decomposition for Dependent Variables - Application to Sensitivity Analysis. Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2012, 6, pp.2420-2448. ⟨10.1214/12-EJS749⟩. ⟨hal-00649404v3⟩

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