332 citations
- Laboratoire de Probabilités, Statistique et ModélisationFR194 papers
- Sorbonne UniversitéFR122 papers
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- Laboratoire de Mathématiques Blaise PascalFR26 papers
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17 papers · 1 filter
Generalized Pareto Regression Trees for extreme events analysis
Sébastien Farkas, Antoine Heranval, Olivier Lopez +1
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we…
Minimal bipartite dimers and higher genus Harnack curves
Cédric Boutillier, David Cimasoni, Béatrice de Tilière
This paper completes the comprehensive study of the dimer model on infinite minimal graphs with Fock's weights [arXiv:1503.00289] initiated in [arXiv:2007.14699]: the latter articl…
Model-based Clustering with Missing Not At Random Data
Aude Sportisse, Matthieu Marbac, Fabien Laporte +4
Model-based unsupervised learning, as any learning task, stalls as soon as missing data occurs. This is even more true when the missing data are informative, or said missing not at…
CBI-time-changed Lévy processes for multi-currency modeling
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed Lévy processes. The proposed framework captures the typical risk characteris…
Macroscopic stability of time evolution of Gibbs measures
Raphael Lefevere, Shin-ichi Sasa
We introduce two properties, macroscopic mixing and transitive mixing, to represent the macroscopic stability of time evolution of Gibbs measures. We claim that these are fundament…
Strong L2 convergence of time Euler schemes for stochastic 3D Brinkman-Forchheimer-Navier-Stokes equations
Hakima Bessaih, Annie Millet
We prove that some time Euler schemes for the 3D Navier-Stokes equations modified by adding a Brinkman-Forchheimer term and a random perturbation converge in . This extends…