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Sensitivity indices for independent groups of variables

Authors: Broto, Baptiste; Bachoc, François; Depecker, Marine; Martinez, Jean-Marc;

Sensitivity indices for independent groups of variables

Abstract

In this paper, we study sensitivity indices for independent groups of variables and we look at the particular case of block-additive models. We show in this case that most of the Sobol indices are equal to zero and that Shapley effects can be estimated more efficiently. We then apply this study to Gaussian linear models, and we provide an efficient algorithm to compute the theoretical sensitivity indices. In numerical experiments, we show that this algorithm compares favourably to other existing methods. We also use the theoretical results to improve the estimation of the Shapley effects for general models, when the inputs form independent groups of variables.

Country
France
Keywords

[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], 330, Probability (math.PR), Mathematics - Statistics Theory, Statistics Theory (math.ST), [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Diagnostics, and linear inference and regression, Cooperative games, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], global sensitivity analysis, FOS: Mathematics, Shapley effects, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST], Sobol indices, Mathematics - Probability

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    popularity
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    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
16
Top 10%
Top 10%
Top 10%
Green
bronze