Sobol' indices are generalized to a full matrix whose off-diagonal entries measure how inputs influence correlations between output variables, computable from a multi-output model's first two moments.
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Sobol' Matrices For Multi-Output Models With Quantified Uncertainty
Sobol' indices are generalized to a full matrix whose off-diagonal entries measure how inputs influence correlations between output variables, computable from a multi-output model's first two moments.