On Shapley Value for Measuring Importance of Dependent Inputs

DOI10.1137/16M1097717zbMath1386.65064arXiv1610.02080MaRDI QIDQ4636414

Clémentine Prieur, Art B. Owen

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.02080

zbMATH Keywords

variable importanceSobol' indicesfunctional ANOVA

Mathematics Subject Classification ID

Related Items (21)

Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ Variance allocation and Shapley value ⋮ Goal-Oriented Shapley Effects with Special Attention to the Quantile-Oriented Case ⋮ Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis ⋮ Global sensitivity analysis in epidemiological modeling ⋮ Variance reduced Shapley value estimation for trustworthy data valuation ⋮ Variable Selection Via Thompson Sampling ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Global Sensitivity Analysis for Statistical Model Parameters ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution ⋮ Data-driven inverse modelling through neural network (deep learning) and computational heat transfer ⋮ Explaining predictive models using Shapley values and non-parametric vine copulas ⋮ Explaining individual predictions when features are dependent: more accurate approximations to Shapley values ⋮ Gaussian Linear Approximation for the Estimation of the Shapley Effects ⋮ Computing Shapley Effects for Sensitivity Analysis ⋮ Sensitivity indices for independent groups of variables ⋮ Tensor Algorithms for Advanced Sensitivity Metrics ⋮ Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms ⋮ A Shapley--Owen Index for Interaction Quantification ⋮ Efficient Estimation of the ANOVA Mean Dimension, with an Application to Neural Net Classification

Uses Software

• relaimpo

Cites Work

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• Copulas for order statistics with prescribed margins
• Sobol' Indices and Shapley Value
• Contributions to the Theory of Games (AM-28), Volume II
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces
• Generalized Sobol sensitivity indices for dependent variables: numerical methods
• Variance Components and Generalized Sobol' Indices

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