Proportional marginal effects for global sensitivity analysis
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Abstract (arXiv)
Performing (variance-based) global sensitivity analysis (GSA) with dependent inputs has recently benefited from cooperative game theory concepts.By using this theory, despite the potential correlation between the inputs, meaningful sensitivity indices can be defined via allocation shares of the model output's variance to each input. The ``Shapley effects'', i.e., the Shapley values transposed to variance-based GSA problems, allowed for this suitable solution. However, these indices exhibit a particular behavior that can be undesirable: an exogenous input (i.e., which is not explicitly included in the structural equations of the model) can be associated with a strictly positive index when it is correlated to endogenous inputs. In the present work, the use of a different allocation, called the ``proportional values'' is investigated. A first contribution is to propose an extension of this allocation, suitable for variance-based GSA. Novel GSA indices are then proposed, called the ``proportional marginal effects'' (PME). The notion of exogeneity is formally defined in the context of variance-based GSA, and it is shown that the PME allow the distinction of exogenous variables, even when they are correlated to endogenous inputs. Moreover, their behavior is compared to the Shapley effects on analytical toy-cases and more realistic use-cases.
Key facts. Cited by 5 papers in the map (data through 7 Oct 2026). First posted on arXiv 24 Oct 2022.
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Citing papers per year: 2022: 2; 2023: 0; 2024: 0; 2025: 3.
5 papers.
- 2022Variance reduced Shapley value estimation for trustworthy data valuationcited by 16
- 2025Unveil Sources of Uncertainty: Feature Contribution to Conformal Prediction Intervalscited by 4
- 2022Model free variable importance for high dimensional datacited by 3
- 2025Beyond Shapley Values: Cooperative Games for the Interpretation of Machine Learning Modelscited by 2
- 2025Fourier Analysis on the Boolean Hypercube via Hoeffding Functional Decompositioncited by 0
- 2025Fourier Analysis on the Boolean Hypercube via Hoeffding Functional Decomposition8 Oct 2025
- 2025Beyond Shapley Values: Cooperative Games for the Interpretation of Machine Learning Models16 Jun 2025
- 2025Unveil Sources of Uncertainty: Feature Contribution to Conformal Prediction Intervals19 May 2025
- 2022Model free variable importance for high dimensional data15 Nov 2022
- 2022Variance reduced Shapley value estimation for trustworthy data valuation30 Oct 2022