Title: Moment independent importance measures: new results and analytical test cases
Authors: BORGONOVO EmanueleCASTAINGS WilliamTARANTOLA Stefano
Citation: RISK ANALYSIS vol. 31 no. 3 p. 404-428
Publisher: BLACKWELL PUBLISHING
Publication Year: 2011
JRC N°: JRC57224
ISSN: 0272-4332
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC57224
DOI: 10.1111/j.1539-6924.2010.01519.x
Type: Articles in Journals
Abstract: Moment independent methods for the sensitivity analysis of model output are attracting growing attention among both academics and practitioners. However, the lack of benchmarks against which to compare numerical strategies forces one to rely on ad hoc experiments in estimating the sensitivity measures. This article introduces a methodology that allows one to obtain moment independent sensitivity measures analytically.We illustrate the procedure by implementing four test cases with different model structures and model input distributions. Numerical experiments are performed at increasing sample size to check convergence of the sensitivity estimates to the analytical values.
JRC Institute:Institute for the Protection and Security of the Citizen

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