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dc.contributor.author
Harenberg, Daniel
dc.contributor.author
Marelli, Stefano
dc.contributor.author
Sudret, Bruno
dc.contributor.author
Winschel, Viktor
dc.date.accessioned
2019-05-27T10:29:28Z
dc.date.available
2017-06-12T20:32:58Z
dc.date.available
2017-11-29T11:46:41Z
dc.date.available
2019-05-27T10:29:28Z
dc.date.issued
2017-01
dc.identifier.uri
http://hdl.handle.net/20.500.11850/129881
dc.identifier.doi
10.3929/ethz-a-010820135
dc.description.abstract
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.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
ETH Zurich, Center of Economic Research (CER-ETH)
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Computational techniques
en_US
dc.subject
Uncertainty quantification
en_US
dc.subject
Global sensitivity analysis
en_US
dc.title
Uncertainty quantification and global sensitivity analysis for economic models
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2017
ethz.journal.title
Economics Working Paper Series
ethz.journal.volume
17/265
en_US
ethz.size
45 p.
en_US
ethz.code.ddc
DDC - DDC::3 - Social sciences::330 - Economics
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C60 - General
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C63 - Computational Techniques; Simulation Modeling
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03877 - Bommier, Antoine / Bommier, Antoine
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02115 - Dep. Bau, Umwelt und Geomatik / Dep. of Civil, Env. and Geomatic Eng.::02605 - Institut für Baustatik u. Konstruktion / Institute of Structural Engineering::03962 - Sudret, Bruno / Sudret, Bruno
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03877 - Bommier, Antoine / Bommier, Antoine
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02115 - Dep. Bau, Umwelt und Geomatik / Dep. of Civil, Env. and Geomatic Eng.::02605 - Institut für Baustatik u. Konstruktion / Institute of Structural Engineering::03962 - Sudret, Bruno / Sudret, Bruno
en_US
ethz.relation.isPreviousVersionOf
20.500.11850/325548
ethz.date.deposited
2017-06-12T20:33:38Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366baadab4a48891
ethz.identifier.importid
imp5936555d5bdab67955
ethz.ecolpid
eth:50478
ethz.ecitpid
pub:192873
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-18T12:06:08Z
ethz.rosetta.lastUpdated
2019-05-27T10:29:45Z
ethz.rosetta.versionExported
true
ethz.COinS
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