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ArticleEstimation of quantile oriented sensitivity indices

Véronique Maume‐Deschamps2017

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Articlegreen2017

Estimation of quantile oriented sensitivity indices

Véronique Maume‐Deschamps · Ibrahima Niang

30 citations·0/0 files stored·Statistics & Probability Letters

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Financial Risk and Volatility Modeling Advanced Statistical Methods and Models Probability and Risk Models

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References

2007Global Sensitivity Analysis. The Primer 2001Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates 2002Making best use of model evaluations to compute sensitivity indices 2008Global Sensitivity Analysis: The Primer by Andrea Saltelli, Marco Ratto, Terry Andres, Francesca Campolongo, Jessica Cariboni, Debora Gatelli, Michaela Saisana, Stefano Tarantola 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2005Random balance designs for the estimation of first order global sensitivity indices 1996Conditional Quantile Estimation and Inference for Arch Models 2006Measuring Uncertainty Importance: Investigation and Comparison of Alternative Approaches

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2021Kernel-based ANOVA decomposition and Shapley effects -- Application to global sensitivity analysis 2018Target and Conditional Sensitivity Analysis with Emphasis on Dependence Measures 2020Limit States of Structures and Global Sensitivity Analysis Based on Cramér-von Mises Distance 2018Reliability-oriented sensitivity analysis under probabilistic model uncertainty – Application to aerospace systems

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Year2017

Typearticle

Published2017-11-20

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spl.2017.10.019

openalex_workW2586716965

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2020

Quantile sensitivity measures based on subset simulation importance sampling