Generalized Sobol sensitivity indices for dependent variables: numerical methods
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چکیده
منابع مشابه
Generalized Sobol sensitivity indices for dependent variables: numerical methods
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متن کاملSpecial Issue: SAMO-MASCOT Journal of Statistical Computation and Simulation Generalized Sobol sensitivity indices for dependent variables: numerical methods
The hierarchically orthogonal functional decomposition of any measurable function η of a random vector X = (X1, · · · ,Xp) consists in decomposing η(X) into a sum of increasing dimension functions depending only on a subvector of X. Even when X1, · · · , Xp are assumed to be dependent, this decomposition is unique if the components are hierarchically orthogonal. That is, two of the components a...
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Sensitivity analysis is a crucial tool in the development and evaluation of complex mathematical models. Sobol’s method is a variance-based global sensitivity analysis technique that has been applied to computational models to assess the relative importance of input parameters on the output. This paper introduces new notation that describes the Sobol indices in terms of the Pearson correlation ...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2014
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949655.2014.960415