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10 papers · 1 filter
Metropolis-Hastings with Averaged Acceptance Ratios
Christophe Andrieu, Sinan Yıldırım, Arnaud Doucet +1
Markov chain Monte Carlo (MCMC) methods to sample from a probability distribution defined on a space consist of the simulation of realisations of Markov chain…
SIR Model with Stochastic Transmission
Christian Gourieroux, Yang Lu
The Susceptible-Infected-Recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which implies a lack of fle…
On the Existence of Conditional Maximum Likelihood Estimates of the Binary Logit Model with Fixed Effects
Martin Mugnier
By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum like…
Testing for equality between conditional copulas given discretized conditioning events
Alexis Derumigny, Jean-David Fermanian, Aleksey Min
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the consta…
Conditional empirical copula processes and generalized dependence measures
Alexis Derumigny, Jean-David Fermanian
We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated,…
A spectral algorithm for robust regression with subgaussian rates
Jules Depersin
We study a new linear up to quadratic time algorithm for linear regression in the absence of strong assumptions on the underlying distributions of samples, and in the presence of o…