Goal-Oriented Shapley Effects with Special Attention to the Quantile-Oriented Case

Kevin Elie-Dit-Cosaque (1, 2, 3) , Véronique Maume-Deschamps (2, 1)

1 PSPM - Probabilités, statistique, physique mathématique
2 ICJ - Institut Camille Jordan
3 SCOR - Group Actuarial Department - Actuarial Modelling

We propose to study quantile-oriented sensitivity analysis (QOSA) indices and show some of their theoretical properties. These have a number of shortcomings when dealing with both independent and dependent inputs, which leads us to define new generic indices based on the Shapley values named goal-oriented Shapley effects (GOSE). In particular, we focus on quantile-oriented Shapley effects (QOSE) and subsequently perform several calculations of QOSA indices and QOSE in order to better understand the behavior and the respective interest of each.

Mots clés: Quantile Oriented Sensisitivy Analysis; Shapley effects

Domaines: Statistiques [math.ST]; Probabilités [math.PR]

Kevin Elie-Dit-Cosaque, Véronique Maume-Deschamps. Goal-Oriented Shapley Effects with Special Attention to the Quantile-Oriented Case. SIAM/ASA Journal on Uncertainty Quantification, 2022, 10 (3), pp.1037-1069. ⟨10.1137/21M1395247⟩. ⟨hal-03137402v2⟩