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math.ST2019
Efficient estimation of divergence-based sensitivity indices with Gaussian process surrogates
A. W. Eggels, D. T. Crommelin
We consider the estimation of sensitivity indices based on divergence measures such as Hellinger distance. For sensitivity analysis of complex models, these divergence-based indice…
math.ST2018
Quantifying dependencies for sensitivity analysis with multivariate input sample data
A. W. Eggels, D. T. Crommelin
We present a novel method for quantifying dependencies in multivariate datasets, based on estimating the Rényi entropy by minimum spanning trees (MSTs). The length of the MSTs can…