New sensitivity analysis subordinated to a contrast

Abstract

In a model of the form $Y=h(X_1,\dots ,X_d)$ where the goal is to estimate a parameter of the probability distribution of $Y$, we define new sensitivity indices which quantify the importance of each variable $X_i$ with respect to this parameter of interest. The aim of this paper is to define {\it goal oriented sensitivity indices} and we will show that Sobol indices are sensitivity indices associated to a particular characteristic of the distribution $Y$. We name the framework we present as {\it Goal Oriented Sensitivity Analysis} (GOSA).

Cited by in corpus (2)

• Target and Conditional Sensitivity Analysis with Emphasis on Dependence Measures
• Global Sensitivity Analysis with Dependence Measures