Estimation of quantile oriented sensitivity indices
Statistics Theory
2017-02-06 v1 Probability
Statistics Theory
Abstract
The paper concerns quantile oriented sensitivity analysis. We rewrite the corresponding indices using the Conditional Tail Expectation risk measure. Then, we use this new expression to built estimators.
Cite
@article{arxiv.1702.00925,
title = {Estimation of quantile oriented sensitivity indices},
author = {Véronique Maume-Deschamps and Ibrahima Niang},
journal= {arXiv preprint arXiv:1702.00925},
year = {2017}
}