Moment independent importance measures: new results and analytical test cases
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.
BORGONOVO Emanuele;
CASTAINGS William;
TARANTOLA Stefano;
2011-03-21
BLACKWELL PUBLISHING
JRC57224
0272-4332,
https://publications.jrc.ec.europa.eu/repository/handle/JRC57224,
10.1111/j.1539-6924.2010.01519.x,
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