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On the consistency of Sobol indices with respect to stochastic ordering of model parameters
16 references·0 citing·36 second hop
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Global Sensitivity Analysis. The Primer6,425 cited
  • 2001Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates6,377 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2006A new uncertainty importance measure1,030 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
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  • 2014Sobol' Indices and Shapley Value268 cited
  • 2006Measuring Uncertainty Importance: Investigation and Comparison of Alternative Approaches258 cited
  • 2011Variance-based sensitivity indices for models with dependent inputs246 cited
  • 2014Density modification-based reliability sensitivity analysis67 cited
  • 1987Monte Carlo Estimation Under Different Distributions Using the Same Simulation63 cited
  • 2010Variance-Based Global Sensitivity Analysis via Sparse-Grid Interpolation and Cubature54 cited
  • 2012Novel global sensitivity analysis methodology accounting for the crucial role of the distribution of input parameters: application to systems biology models

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  • 2012Analyse de sensibilité et réduction de dimension. Application à l'océanographie6 cited
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