In this work we propose a sensitivity analysis method which is effective in identifying the few important factors in a model that contains many factors, with a relatively small number of model evaluations.
The method is convenient when the number of factors is so large, and/or the model execution time is such, to make the computational cost of more sophisticated techniques excessive.
The method is conceptually simple and can be though as an expansion of a derivative-based approach, although it overcomes the limitation of a local derivative-based approach as it attempts to explore the whole input space.JRC.G.9 - Econometrics and statistical support to antifrau
