A Martingale Approach To Fluctuations of Rank Estimators in Sensitivity Analysis

Reda Chhaibi, Fabrice Gamboa, Clément Pellegrini

Given a bivariate random pair $(X,Y)$, a natural problem is to estimate, from a single sample $(X_i,Y_i{)}_{1\le i\le n}$, quantities such as $\mathbb{E}\left[ \mathbb{E}[ Y\mid X ]^…