Estimation of high-order moment-independent importance measures for Shapley value analysis
DOI10.1016/j.apm.2020.06.036zbMath1481.62022OpenAlexW3038858841MaRDI QIDQ821916
Jérôme Morio, Gabriel Sarazin, Pierre Derennes
Publication date: 21 September 2021
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apm.2020.06.036
Shapley valueglobal sensitivity analysisinput-output modelsmoment-independent importance measuresdependent inputsmultivariate copula distributions
Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Cooperative games (91A12)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas
- Beta kernel estimators for density functions
- Goodness-of-fit tests for copulas: A review and a power study
- A fast computational method for moment-independent uncertainty importance measure
- Sensitivity analysis: a review of recent advances
- Simplified pair copula constructions -- limitations and extensions
- A class of multivariate copulas based on products of bivariate copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Goodness-of-fit tests for copulas
- The meta-elliptical distributions with given marginals
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Construction of non-exchangeable bivariate distribution functions
- Construction of asymmetric multivariate copulas
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
- Quasi-regression
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Bandwidth selection for kernel density estimation: a review of fully automatic selectors
- Estimating non-simplified vine copulas using penalized splines
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- Vines -- a new graphical model for dependent random variables.
- Global sensitivity measures from given data
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Simplified vine copula models: approximations based on the simplifying assumption
- Vectorized adaptive quadrature in MATLAB
- Estimating the tail-dependence coefficient: properties and pitfalls
- Sobol' Indices and Shapley Value
- Statistical inference for Sobol pick-freeze Monte Carlo method
- Estimating the density of a copula function
- Bayesian Design and Analysis of Computer Experiments: Use of Derivatives in Surface Prediction
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Generalized Additive Models for Pair-Copula Constructions
- Bivariate extreme value theory: Models and estimation
- Better estimation of small sobol' sensitivity indices
- On Shapley Value for Measuring Importance of Dependent Inputs
- THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
- Properties of hierarchical Archimedean copulas
- A Compendium of Copulas
- Multivariate Density Estimation
- Vine copula models with GLM and sparsity
- Monte Carlo estimators for small sensitivity indices
- A goodness-of-fit test for regular vine copula models
This page was built for publication: Estimation of high-order moment-independent importance measures for Shapley value analysis
