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arXiv · 1702.00925

Estimation of quantile oriented sensitivity indices

Véronique Maume-Deschamps·Ibrahima Niang
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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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Véronique Maume-Deschamps, Ibrahima Niang. 2017-02-03. Estimation of quantile oriented sensitivity indices. https://arxiv.org/abs/1702.00925

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