Arbeitspapier
Uncertainty Quantification and Global Sensitivity Analysis for Economic Models
Sensitivity analysis assesses the influence of input parameters on the conclusion of a model. Traditional analysis methods—based on evaluating the model at a reference parameter vector and changing one parameter at a time—are local, linear, and usually do not capture interactions among the parameters. By contrast, the global sensitivity analysis that we present summarizes the parameters’ importance over a range of values, fully capturing nonlinearities and identifying interactions. Specifically, we propose Sobol’ indices, which are based on variance decomposition, and exemplify their use with a standard real business cycle model. Standard approaches to variance decomposition require a large number of model evaluations. To overcome this, we present the state-of-the-art approach for calculating Sobol’ indices, which is based on building a polynomial representation of the model from a limited number of evaluations. In addition, we use this polynomial representation to evaluate the univariate effects, which are conditional expectation functions that can be interpreted as a robust impact of a parameter on the model conclusions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper Series ; No. 17/265
- Klassifikation
-
Wirtschaft
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
Computational Techniques; Simulation Modeling
- Thema
-
computational techniques
uncertainty quantification
global sensitivity analysis
Wirtschaftsmodell
Wahrscheinlichkeitsrechnung
Sensitivitätsanalyse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Harenberg, Daniel
Marelli, Stefano
Sudret, Bruno
Winschel, Viktor
- Ereignis
-
Veröffentlichung
- (wer)
-
ETH Zurich, CER-ETH - Center of Economic Research
- (wo)
-
Zurich
- (wann)
-
2017
- DOI
-
doi:10.3929/ethz-a-010820135
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Harenberg, Daniel
- Marelli, Stefano
- Sudret, Bruno
- Winschel, Viktor
- ETH Zurich, CER-ETH - Center of Economic Research
Entstanden
- 2017
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