Estimation of quantile oriented sensitivity indices
Autor: | Maume-Deschamps, Véronique, Niang, Ibrahima |
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Rok vydání: | 2017 |
Předmět: | |
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: |