Estimation of quantile oriented sensitivity indices

Véronique Maume-Deschamps and Ibrahima Niang

Statistics & Probability Letters, 2018, vol. 134, issue C, 122-127

Abstract: This paper concerns quantile oriented sensitivity analysis (qosa). We rewrite the corresponding indices using the Conditional Tail Expectation risk measure. Then, we use this new expression to built estimators of qosa indices.

Keywords: Sensitivity analysis; Quantile oriented indices; Risk measures (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:134:y:2018:i:c:p:122-127

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DOI: 10.1016/j.spl.2017.10.019

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