Hi,
Is there a wish to have sensitivity analysis?
Currently we can measure the quality of a regressor’s output with a metric, but
there is nothing to on the parameter side.
It would be handy to have sensitivity measures of the input parameters on the
output. Namely: Sobol’ indices (most used).
I have some starting code already https://github.com/tupui/otsensitivity
<https://github.com/tupui/otsensitivity> and
https://github.com/tupui/batman/blob/master/batman/visualization/density.py
<https://github.com/tupui/batman/blob/master/batman/visualization/density.py>.
Sobol' (first order and total).
COSI indices.
CUSUNORO.
Moment independent measures.
Some visualization functions.
Let me know if there is interest for a PR and if yes, what shall I include :)
Pamphile
@tupui
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