Estimation of global sensitivity indices for models with dependent variables

DOI10.1016/j.cpc.2011.12.020zbMath1261.62062MaRDI QIDQ1948835

Stefano Tarantola, Sergei Kucherenko, Paola Annoni

Publication date: 25 April 2013

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cpc.2011.12.020

zbMATH Keywords

global sensitivity analysis; Gaussian copula; Sobol' sequences; correlated inputs; quasi Monte Carlo methods; Sobol' sensitivity indices

Mathematics Subject Classification ID

62H99: Multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

65C05: Monte Carlo methods

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Uses Software

• QRM

Cites Work

• Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index
• Making best use of model evaluations to compute sensitivity indices
• Algorithm 659
• Modelling correlated random variables
• On the Relative Importance of Input Factors in Mathematical Models
• Sensitivity Analysis in Practice
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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