Estimation of quantile oriented sensitivity indices

DOI10.1016/j.spl.2017.10.019zbMath1436.62147arXiv1702.00925OpenAlexW2586716965MaRDI QIDQ1698261

Véronique Maume-Deschamps, Ibrahima Niang

Publication date: 15 February 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00925

zbMATH Keywords

sensitivity analysisrisk measurequantile oriented indicesquantile oriented sensitivity analysis (qosa)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Goal-Oriented Shapley Effects with Special Attention to the Quantile-Oriented Case ⋮ Sensitivity measures based on scoring functions ⋮ The tail dependograph ⋮ Random forest estimation of conditional distribution functions and conditional quantiles

Cites Work

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• Making best use of model evaluations to compute sensitivity indices
• New sensitivity analysis subordinated to a contrast
• Asymptotic normality and efficiency of two Sobol index estimators
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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