Moment Independent Importance Measures: New Results and Analytical Test Cases

Moment Independent Importance Measures: New Results and Analytical Test Cases

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Article ID: iaor201112413
Volume: 31
Issue: 3
Start Page Number: 404
End Page Number: 428
Publication Date: Mar 2011
Journal: Risk Analysis
Authors: , ,
Keywords: case studies, sensitivity analysis
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.

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