Estimation of quantile oriented sensitivity indices

Autor:	Maume-Deschamps, Véronique, Niang, Ibrahima
Rok vydání:	2017
Předmět:	Mathematics - Statistics Theory Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1702.00925 Zobrazit plný text záznamu View this record from Arxiv