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