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Introduction 1 1. Definition and estimation of Sobol indices 2 1.1. Exact model 2 1.2. Estimation of S 3 2. Asymptotic properties: exact model 4 2.1. Consistency and asymptotic normality 4 2.2.… (More)

- Agnès Lagnoux
- 2006

This paper deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various… (More)

We define and study a generalization of Sobol sensitivity indices for the case of a vector output. To cite this article: F. Gamboa, A. Janon, T. Klein, A. Lagnoux, C. R. Acad. Sci. Paris, Ser. xx xxx… (More)

We calculate the probability pc that the maximum of a reflected Brownian motion U is achieved on a complete excursion, i.e. pc := P ( U(t) = U∗(t) ) where U(t) (respectively U∗(t)) is the maximum of… (More)

- Claudie Chabriac, Agnès Lagnoux, Sabine Mercier, Pierre Vallois
- 2017

We calculate the density function of ( U∗(t), θ∗(t) ) , where U∗(t) is the maximum over [0, g(t)] of a reflected Brownian motion U , where g(t) stands for the last zero of U before t, θ∗(t) =… (More)

- J. M. Azäıs, S. Bercu, Júlio C. S. Fort, Agnès Lagnoux, Paul Le
- 2017

In numerous contexts, one has to forecast a full curve from some explanatory variables. For that purpose, one aims at deriving simultaneous confidence bands. In this article theoretical and numerical… (More)

HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and… (More)

- Agnès Lagnoux, Sabine Mercier, Pierre Vallois
- Bioinformatics
- 2017

Motivation
The local score of a biological sequence analysis is a mathematical tool largely used to analyse biological sequences. Consequently, determining an accurate estimation of its distribution… (More)

- Agnès Lagnoux, Pascal Lezaud
- Simulation Modelling Practice and Theory
- 2017

We analyse the splitting algorithm performance in the estimation of rare event probabilities and this in a discrete multidimensional framework. For this we assume that each threshold is partitioned… (More)

We consider a functional linear model where the explicative variables are stochastic processes taking values in a Hilbert space, the main example is given by Gaussian processes in L([0, 1]). We… (More)