Generalized Hoeffding-Sobol decomposition for dependent variables - application to sensitivity analysis
نویسندگان
چکیده
منابع مشابه
Generalized Sobol sensitivity indices for dependent variables: numerical methods
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The hierarchically orthogonal functional decomposition of any measurable function η of a random vector X = (X1, · · · ,Xp) consists in decomposing η(X) into a sum of increasing dimension functions depending only on a subvector of X. Even when X1, · · · , Xp are assumed to be dependent, this decomposition is unique if the components are hierarchically orthogonal. That is, two of the components a...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2012
ISSN: 1935-7524
DOI: 10.1214/12-ejs749