Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index. We consider the statistical estimation of this index from a finite sample of model outputs: we present two estimators and state a central limit theorem for each. We show that one of these estimators has an optimal asymptotic variance. We also generalize our results to the case where the true output is not observable, and is replaced by a noisy version.Résumé. De nombreux modèles mathématiques font intervenir plusieurs paramètres qui ne sont pas tous connus précisément. L'analyse de sensibilité globale se propose de sélectionner les paramètres d'entrée dont l'incertitude a le plus d'impact sur la variabilité d'une quantité d'intérêt (sortie du modèle). Un des outils statistiques pour quantifier l'influence de chacune des entrées sur la sortie est l'indice de sensibilité de Sobol. Nous considérons l'estimation statistique de cet indice à l'aide d'un nombre fini d'échantillons de sorties du modèle: nous présentons deux estimateurs de cet indice et énonçons un théorème central limite pour chacun d'eux. Nous démontrons que l'un de ces deux estimateurs est optimal en terme de variance asymptotique. Nous généralisons également nos résultats au cas où la vraie sortie du modèle n'est pas observée, mais où seule une version dégradée (bruitée) de la sortie est disponible.1991 Mathematics Subject Classification. 62G05, 62G20.The dates will be set by the publisher.

In this paper we give optimal constants in Talagrand's concentration inequalities for maxima of empirical processes associated to independent and eventually nonidentically distributed random variables. Our approach is based on the entropy method introduced by Ledoux.Comment: Published at http://dx.doi.org/10.1214/009117905000000044 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

We introduce the method of Geodesic Principal Component Analysis (GPCA) on the space of probability measures on the line, with finite second moment, endowed with the Wasserstein metric. We discuss the advantages of this approach, over a standard functional PCA of probability densities in the Hilbert space of square-integrable functions. We establish the consistency of the method by showing that the empirical GPCA converges to its population counterpart, as the sample size tends to infinity. A key property in the study of GPCA is the isometry between the Wasserstein space and a closed convex subset of the space of square-integrable functions, with respect to an appropriate measure. Therefore, we consider the general problem of PCA in a closed convex subset of a separable Hilbert space, which serves as basis for the analysis of GPCA and also has interest in its own right. We provide illustrative examples on simple statistical models, to show the benefits of this approach for data analysis. The method is also applied to a real dataset of population pyramids.

In a model of the form Y = h(X1, . . . , 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 Xi with respect to this parameter of interest. The aim of this paper is to define 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 Goal Oriented Sensitivity Analysis (GOSA).

We are interested in the asymptotic analysis of the binary search tree (BST) under the random permutation model. Via an embedding in a continuous time model, we get new results, in particular the asymptotic behavior of the profile.