Sensitivity indices for output on a Riemannian manifold
share
In the context of computer code experiments, sensitivity analysis of a complicated input-output system is often performed by ranking the so-called Sobol indices. One reason of the popularity of Sobol's approach relies on the simplicity of the statistical estimation of these indices using the so-called Pick and Freeze method. In this work we propose and study sensitivity indices for the case where the output lies on a Riemannian manifold. These indices are based on a Cramér von Mises like criterion that takes into account the geometry of the output support. We propose a Pick-Freeze like estimator of these indices based on an U--statistic. The asymptotic properties of these estimators are studied. Further, we provide and discuss some interesting numerical examples.
READ FULL TEXT