A framework is introduced for propagating epistemic uncertainty in black-box risk models when both marginal information and dependence structures are only partly known, combining p-boxes, precise CDFs, copulas, and admissible coupling sets.
An algorithm to generate correlated input-parameters to perform probabilistic sensitivity analysis in cost-effectiveness analysis.PharmacoEconomics Open.2020;4:1–13
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Probability Bound Analysis for Dependence Uncertainty in Risk and Decision Models
A framework is introduced for propagating epistemic uncertainty in black-box risk models when both marginal information and dependence structures are only partly known, combining p-boxes, precise CDFs, copulas, and admissible coupling sets.