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Estimation of quantile oriented sensitivity indices

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  • Maume-Deschamps, Véronique
  • Niang, Ibrahima

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.

Suggested Citation

  • Maume-Deschamps, Véronique & Niang, Ibrahima, 2018. "Estimation of quantile oriented sensitivity indices," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 122-127.
    • Handle: RePEc:eee:stapro:v:134:y:2018:i:c:p:122-127
    DOI: 10.1016/j.spl.2017.10.019
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    References listed on IDEAS

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    1. Emanuele Borgonovo, 2006. "Measuring Uncertainty Importance: Investigation and Comparison of Alternative Approaches," Risk Analysis, John Wiley & Sons, vol. 26(5), pages 1349-1361, October.
    2. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(5), pages 793-813, December.
    3. Tarantola, S. & Gatelli, D. & Mara, T.A., 2006. "Random balance designs for the estimation of first order global sensitivity indices," Reliability Engineering and System Safety, Elsevier, vol. 91(6), pages 717-727.
    4. Jean-Claude Fort & Thierry Klein & Nabil Rachdi, 2016. "New sensitivity analysis subordinated to a contrast," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(15), pages 4349-4364, August.
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    Cited by:

    1. Fissler, Tobias & Pesenti, Silvana M., 2023. "Sensitivity measures based on scoring functions," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1408-1423.
    2. Tobias Fissler & Silvana M. Pesenti, 2022. "Sensitivity Measures Based on Scoring Functions," Papers 2203.00460, arXiv.org, revised Jul 2022.
    3. Marrel, Amandine & Chabridon, Vincent, 2021. "Statistical developments for target and conditional sensitivity analysis: Application on safety studies for nuclear reactor," Reliability Engineering and System Safety, Elsevier, vol. 214(C).
    4. Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.
    5. Ehre, Max & Papaioannou, Iason & Straub, Daniel, 2020. "A framework for global reliability sensitivity analysis in the presence of multi-uncertainty," Reliability Engineering and System Safety, Elsevier, vol. 195(C).
    6. Zdeněk Kala, 2021. "New Importance Measures Based on Failure Probability in Global Sensitivity Analysis of Reliability," Mathematics, MDPI, vol. 9(19), pages 1-20, September.

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