Application of mean-variance analysis to broad-based futures contracts

Moment independent and variance-based se

Moment independent and variance-based sensitivity analysis with correlations: An application to the stability of a chemical reactor

✍ E. Borgonovo; S. Tarantola 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 191 KB

## Abstract Recent works have attracted interest toward sensitivity measures that use the entire model output distribution, without dependence on any of its particular moments (e.g., variance). However, the computation of moment‐independent importance measures in the presence of dependencies among