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Journal Articles Statistics and Probability Letters Year : 2018

Estimation of quantile oriented sensitivity indices

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.
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Dates and versions

hal-01448360 , version 1 (02-02-2017)

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Véronique Maume-Deschamps, Ibrahima Niang. Estimation of quantile oriented sensitivity indices. Statistics and Probability Letters, 2018, ⟨10.1016/j.spl.2017.10.019⟩. ⟨hal-01448360⟩
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