Multivariate Global Sensitivity Analysis Based on Distance Components Decomposition

Sinan Xiao, Zhenzhou Lu and Pan Wang

Risk Analysis, 2018, vol. 38, issue 12, 2703-2721

Abstract: In this article, a new set of multivariate global sensitivity indices based on distance components decomposition is proposed. The proposed sensitivity indices can be considered as an extension of the traditional variance‐based sensitivity indices and the covariance decomposition‐based sensitivity indices, and they have similar forms. The advantage of the proposed sensitivity indices is that they can measure the effects of an input variable on the whole probability distribution of multivariate model output when the power of distance 0

Date: 2018
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https://doi.org/10.1111/risa.13133

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Persistent link: https://EconPapers.repec.org/RePEc:wly:riskan:v:38:y:2018:i:12:p:2703-2721

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