VARIANCE-BASED SENSITIVITY INDICES OF COMPUTER MODELS WITH DEPENDENT INPUTS: THE FOURIER AMPLITUDE SENSITIVITY TEST

Several methods are proposed in the literature to perform global sensitivity analysis of computer models with independent inputs. Only a few allow for treating the case of dependent inputs. In the present work, we investigate how to compute variance-based sensitivity indices with the Fourier amplitude sensitivity test. This can be achieved with the help of the inverse Rosenblatt transformation or the inverse Nataf transformation. We illustrate...