arXiv Open Access 2017

Estimation of quantile oriented sensitivity indices

Véronique Maume-Deschamps Ibrahima Niang

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Abstrak

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.

Topik & Kata Kunci

math.ST math.PR

Penulis (2)

Véronique Maume-Deschamps

Ibrahima Niang

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Maume-Deschamps, V., Niang, I. (2017). Estimation of quantile oriented sensitivity indices. https://arxiv.org/abs/1702.00925

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Informasi Jurnal

Tahun Terbit: 2017
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓