Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
From MaRDI portal
Abstract: In this paper, we consider a regression model built on dependent variables. This regression modelizes an input output relationship. Under boundedness assumptions on the joint distribution function of the input variables, we show that a generalized Hoeffding-Sobol decomposition is available. This leads to new indices measuring the sensitivity of the output with respect to the input variables. We also study and discuss the estimation of these new indices.
Recommendations
Cites work
- A Class of Statistics with Asymptotically Normal Distribution
- A Statistical View of Some Chemometrics Regression Tools
- Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
- An introduction to copulas.
- Asymptotic Statistics
- Component selection and smoothing in multivariate nonparametric regression
- Estimation of global sensitivity indices for models with dependent variables
- Gauss–Seidel Convergence for Operators on Hilbert Space
- General formulation of HDMR component functions with independent and correlated variables
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3117929 (Why is no real title available?)
- scientific article; zbMATH DE number 3457895 (Why is no real title available?)
- scientific article; zbMATH DE number 1167864 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 1425054 (Why is no real title available?)
- scientific article; zbMATH DE number 6458285 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- Lattice sampling revisited: Monte Carlo variance of means over randomized orthogonal arrays
- Least angle regression. (With discussion)
- Multidimensional variation for quasi-Monte Carlo
- Nonlinear sensitivity analysis of multiparameter model systems
- Regularized random-sampling high dimensional model representation (RS-HDMR)
- Review of global sensitivity analysis of numerical models
- Smoothing spline ANOVA models
- Some Concepts of Dependence
- The use of polynomial splines and their tensor products in multivariate function estimation. (With discussion)
Cited in
(40)- Variance allocation and Shapley value
- An adaptive least-squares global sensitivity method and application to a plasma-coupled combustion prediction with parametric correlation
- Unrestricted permutation forces extrapolation: variable importance requires at least one more model, or there is no free variable importance
- Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
- Use of global sensitivity analysis to assess the soil poroelastic parameter influence
- Sensitivity analysis for the generalized Cholesky factorization
- Stratified random sampling for dependent inputs in Monte Carlo simulations from computer experiments
- Nonparametric estimation of probabilistic sensitivity measures
- The tail dependograph
- Sensitivity analysis for multidimensional and functional outputs
- Pick and Freeze estimation of sensitivity index for static and dynamic models with dependent inputs
- Generalized Sobol indices with dependent variables: performance tests of the algorithm HOGS connected to several parameter estimations. Performance of the algorithm HOGS
- Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- Sensitivity analysis: a review of recent advances
- PC-based sensitivity analysis of the basic reproduction number of population and epidemic models
- L₂-boosting for sensitivity analysis with dependent inputs
- Moving least squares based sensitivity analysis for models with dependent variables
- Global sensitivity analysis for statistical model parameters
- Functional ANOVA with multiple distributions: implications for the sensitivity analysis of computer experiments
- On Shapley Value for Measuring Importance of Dependent Inputs
- Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms
- Efficient estimation of the ANOVA mean dimension, with an application to neural net classification
- Goal-oriented Shapley effects with special attention to the quantile-oriented case
- Sensitivity Analysis for Stability of Uncertain Delay Differential Equations Using Polynomial Chaos Expansions
- Block-diagonal covariance estimation and application to the Shapley effects in sensitivity analysis
- Estimation of Sobol's sensitivity indices under generalized linear models
- Gaussian linear approximation for the estimation of the Shapley effects
- Higher order Sobol' indices
- Global sensitivity analysis with dependence measures
- Generalized Sobol sensitivity indices for dependent variables: numerical methods
- ANOVA decomposition of conditional Gaussian processes for sensitivity analysis with dependent inputs
- New improvements in the use of dependence measures for sensitivity analysis and screening
- A Shapley-Owen index for interaction quantification
- Sampling, metamodeling, and sensitivity analysis of numerical simulators with functional stochastic inputs
- Untangling the Molecular Interactions Underlying Intracellular Phase Separation Using Combined Global Sensitivity Analyses
- Total effects with constrained features
- Quantile-constrained Wasserstein projections for robust interpretability of numerical and machine learning models
- ANOVA-boosting for random Fourier features
- Shapley Curves: A Smoothing Perspective
- Hoeffding decomposition of functions of random dependent variables
This page was built for publication: Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950910)
