Generalized Sobol sensitivity indices for dependent variables: numerical methods

DOI10.1080/00949655.2014.960415zbMath1457.62109arXiv1303.4372OpenAlexW2050518533MaRDI QIDQ5220790

Gaelle Chastaing, Clémentine Prieur, Fabrice Gamboa

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4372

zbMATH Keywords

sensitivity analysisgreedy algorithmdependent variablesfunctional decompositionLARSextended basis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Multivariate analysis (62H99) Linear regression; mixed models (62J05)

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Variance allocation and Shapley value ⋮ Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski ⋮ Estimation of Sobol's sensitivity indices under generalized linear models ⋮ Global Sensitivity Analysis for Statistical Model Parameters ⋮ Insights of global sensitivity analysis in biological models with dependent parameters ⋮ On Shapley Value for Measuring Importance of Dependent Inputs ⋮ A data-driven framework for sparsity-enhanced surrogates with arbitrary mutually dependent randomness ⋮ High dimensional model representation constructed by support vector regression. I. Independent variables with known probability distributions ⋮ Variance-based importance analysis measure for mission reliability of phased mission system ⋮ Efficient Estimation of the ANOVA Mean Dimension, with an Application to Neural Net Classification

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