# Uncertainty ranking using PRCC¶

This method deals with analyzing the influence the random vector has on the random variable which is being studied for uncertainty. Here we attempt to measure monotonic relationships that exist between and the different components .

The basic method of hierarchical ordering using Spearman’s coefficients deals with the case where the variable monotonically depends on variables but this can be misleading when statistical dependencies between the variables exist. In such a situation, the partial rank correlation coefficients can be more useful in ordering the uncertainty hierarchically: the partial rank correlation coefficients between the variables and attempts to measure the residual influence of on once influences from all other variables have been eliminated.

The estimation for each partial rank correlation coefficient uses a set made up of values of the vector . This requires the following three steps to be carried out:

Determine the effect of other variables on by linear regression; when the values of variable are known, the average forecast for the value of is then available in the form of the equation:

Determine the effect of other variables on by linear regression; when the values of variable are known, the average forecast for the value of is then available in the form of the equation:

is then equal to the Spearman’s correlation coefficient estimated for the variables and on the -sample of simulations.

One can then class the variables according to the absolute value of the partial rank correlation coefficients: the higher the value of , the greater the impact the variable has on .

API:

Examples:

References:

Saltelli, A., Chan, K., Scott, M. (2000). “Sensitivity Analysis”, John Wiley & Sons publishers, Probability and Statistics series

J.C. Helton, F.J. Davis (2003). “Latin Hypercube sampling and the propagation of uncertainty analyses of complex systems”. Reliability Engineering and System Safety 81, p.23-69

J.P.C. Kleijnen, J.C. Helton (1999). “Statistical analyses of scatterplots to identify factors in large-scale simulations, part 1 : review and comparison of techniques”. Reliability Engineering and System Safety 65, p.147-185