文章基本信息

标题：Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis
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作者：Gaelle Chastaing ; Fabrice Gamboa ; Clémentine Prieur 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2012
卷号：6
页码：2420-2448
DOI：10.1214/12-EJS749
语种：English
出版社：Institute of Mathematical Statistics
摘要：In this paper, we consider a regression model built on dependent variables. This regression modelizes an input output relationship. Under boundedness type assumptions on the joint density 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.
关键词：Sensitivity index;Hoeffding decomposition;de pendent variables;Sobol decomposition.