Estimation of quantile oriented sensitivity indices

Véronique Maume-Deschamps (1, 2) , Ibrahima Niang (3)

1 ICJ - Institut Camille Jordan
2 PSPM - Probabilités, statistique, physique mathématique
3 Altran Research

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.

Mots clés: sensitivity analisys; quantile oriented indices

Domaines: Statistiques [math.ST]; Probabilités [math.PR]

Véronique Maume-Deschamps, Ibrahima Niang. Estimation of quantile oriented sensitivity indices. Statistics and Probability Letters, 2018, ⟨10.1016/j.spl.2017.10.019⟩. ⟨hal-01448360⟩