Vine copula-based parametric sensitivity analysis of failure probability-based importance measure in the presence of multidimensional dependencies

Haihe Li, Pan Wang, Xiaoyu Huang, Zheng Zhang, Changcong Zhou and Zhufeng Yue

Reliability Engineering and System Safety, 2021, vol. 215, issue C

Abstract: In this paper, we propose derivative-oriented parametric sensitivity indices to investigate the influence of parameter uncertainty on a previously proposed failure probability-based importance measure in the presence of multidimensional dependencies. Herein, the vine copula function, a powerful mathematical tool for modeling variable dependencies, is utilized to establish the joint probability density function (PDF) for multidimensional dependencies. Based on the properties of the copula function, the developed parametric sensitivity indices are decomposed into independent and dependent parts. Using these parts, different types of contributions to the failure probability are identified. By computing the kernel function for each marginal PDF and the copula kernel function for each pair-copula PDF involved in the vine factorization, a general numerical algorithm is developed for estimating separated parametric sensitivity indices. Finally, the feasibility of the proposed indices and numerical solutions is verified through a numerical example and by solving two engineering problems.

Keywords: Sensitivity analysis; Importance measure; Vine copula; Multidimensional correlation; Decomposition (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0951832021004166
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:215:y:2021:i:c:s0951832021004166

DOI: 10.1016/j.ress.2021.107898

Access Statistics for this article

Reliability Engineering and System Safety is currently edited by Carlos Guedes Soares

More articles in Reliability Engineering and System Safety from Elsevier
Bibliographic data for series maintained by Catherine Liu ().