Journal
STATISTICS & PROBABILITY LETTERS
Volume 134, Issue -, Pages 122-127Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2017.10.019
Keywords
Sensitivity analysis; Quantile oriented indices; Risk measures
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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. (C) 2017 Elsevier B.V. All rights reserved.
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