Global Sensitivity Analysis with Dependence Measures

@article{Veiga2013GlobalSA,
  title={Global Sensitivity Analysis with Dependence Measures},
  author={S{\'e}bastien Da Veiga},
  journal={CoRR},
  year={2013},
  volume={abs/1311.2483}
}
Global sensitivity analysis with variance-based measures suffers from several theoretical and practical limitations, since they focus only on the variance of the output and handle multivariate variables in a limited way. In this paper, we introduce a new class of sensitivity indices based on dependence measures which overcomes these insufficiencies. Our approach originates from the idea to compare the output distribution with its conditional counterpart when one of the input variables is fixed… CONTINUE READING