Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis

DOI10.1137/20M1358839zbMath1485.62095arXiv1907.12780MaRDI QIDQ5075230

François Bachoc, Jean-Marc Martinez, Laura Clouvel, Baptiste Broto

Publication date: 10 May 2022

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.12780

zbMATH Keywords

high dimensionShapley effectsblock-diagonal covariance estimation

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10)

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