I have 6 input variables, each of which is normally distributed. Can I use Sobol variance-based sensitivity analysis? I have read some articles where they said that input variables must have uniform distributions. Is that correct?
$\begingroup$
$\endgroup$
1
-
1$\begingroup$ I see nothing off topic about asking if variance based sensitivity analyses can be used with normally distributed data. $\endgroup$– gung - Reinstate MonicaCommented Nov 13, 2015 at 19:45
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
5
That is not correct.
Variance-based sensitivity indices can work for data distributed according to any probability distribution as long as you know what they are. And, of course, normally distributed ones.
You can find more about this, for example, in this article.
You want to use R for computation, I recommend you the sensitivity package.
PS: I am very interested to know in which articles you have seen that input variables must have uniform distributions
-
$\begingroup$ As you seem very interesting in investigating sobol indices, I would like to ask you a little question : Can sobol indices be applied to discrete random varibales ? Thank you in advance . $\endgroup$– NizarCommented Jan 19, 2016 at 13:06
-
1$\begingroup$ It can be applied to discrete input random variables without any change. $\endgroup$– PopCommented Jan 19, 2016 at 16:03
-
$\begingroup$ Thank you very much for your reply ! I would like to know if you have any references for this idea ( examples where sobol indices are applied to discrete input variables) ? Thank you again :) $\endgroup$– NizarCommented Jan 19, 2016 at 16:06
-
1$\begingroup$ here a paper where it is stated that we can use Sobol with discrete inputs (table 1): onlinelibrary.wiley.com/doi/10.1002/psp4.6/pdf And here a paper in which it is actually done on a small example (section 5): informs-sim.org/wsc97papers/0261.PDF $\endgroup$– PopCommented Jan 19, 2016 at 16:10
-
1$\begingroup$ OH HH Thank you again, why not adding your answer on my question so I can marked it as an answered question. $\endgroup$– NizarCommented Jan 19, 2016 at 16:12