A Shapley--Owen Index for Interaction Quantification

The recent work of Owen [SIAM/ASA J. Uncertainty Quantification, 2 (2014), pp. 245--251] has introduced the Shapley value as an importance measure for global sensitivity analysis (Shapley effect, henceforth). When inputs are dependent, using Shapley effects provides a strategy to overcome conceptual difficulties related to the interpretation of Sobol' sensitivity indices. However, Shapley effects have been formulated thus far only to quantify...