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Copula theory and probabilistic sensitivity analysis: Is there a connection?

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  • Plischke, Elmar
  • Borgonovo, Emanuele

Abstract

Copula theory is concerned with defining dependence structures given appropriate marginal distributions. Probabilistic sensitivity analysis is concerned with quantifying the strength of the dependence among the output of a simulator and the uncertain simulator inputs. In this work, we investigate the connection between these two families of methods. We define four classes of sensitivity measures based on the distance between the empirical copula and the product copula. We discuss the new classes in the light of transformation invariance and Rényi’s postulate D of dependence measures. The connection is constructive: the new classes extend the current definition of sensitivity measures and one gains an of understanding which sensitivity measures in use are, in fact, copula-based. Also a set of new visualization tools can be obtained. These tools ease the communication of results to the modeler and provide insights not only on statistical dependence but also on the partial behavior of the output as a function of the inputs. Application to the benchmark simulator for sensitivity analysis concludes the work.

Suggested Citation

  • Plischke, Elmar & Borgonovo, Emanuele, 2019. "Copula theory and probabilistic sensitivity analysis: Is there a connection?," European Journal of Operational Research, Elsevier, vol. 277(3), pages 1046-1059.
    • Handle: RePEc:eee:ejores:v:277:y:2019:i:3:p:1046-1059
    DOI: 10.1016/j.ejor.2019.03.034
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