Global Sensitivity Analysis: a novel generation of mighty estimators based on rank statistics

Abstract

We propose a new statistical estimation framework for a large family of global sensitivity analysis indices. Our approach is based on rank statistics and uses an empirical correlation coefficient recently introduced by Chatterjee [9]. We show how to apply this approach to compute not only the Cram{é}r-von-Mises indices, which are directly related to Chatterjee's notion of correlation, but also first-order Sobol indices, general metric space indices and higher-order moment indices. We establish consistency of the resulting estimators and demonstrate their numerical efficiency, especially for small sample sizes. In addition, we prove a central limit theorem for the estimators of the first-order Sobol indices.