output
20052026
most citedOperational Research: Methods and Applications

120 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
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7 papers · 1 filter

stat.ME2025

Multivariate Discrete Generalized Pareto Distributions: Theory, Simulation, and Applications to Dry spells

Samira Aka, Marie Kratz, Philippe Naveau

This article extends the multivariate extreme value theory (MEVT) to discrete settings, focusing on the generalized Pareto distribution (GPD) as a foundational tool. The purpose of…

stat.ME2024

One-Bit Total Variation Denoising over Networks with Applications to Partially Observed Epidemics

Claire Donnat, Olga Klopp, Nicolas Verzelen

This paper introduces a novel approach for epidemic nowcasting and forecasting over networks using total variation (TV) denoising, a method inspired by classical signal processing…

stat.ME2023

Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks

Julien Hambuckers, Marie Kratz, Antoine Usseglio-Carleve

We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess…

stat.ME2022

Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data

Michel Dacorogna, Nehla Debbabi, Marie Kratz

Cyber security and resilience are major challenges in our modern economies; this is why they are top priorities on the agenda of governments, security and defense forces, managemen…

stat.ME2021★ 3 cited

On Unbiased Score Estimation for Partially Observed Diffusions

Jeremy Heng, Jeremie Houssineau, Ajay Jasra

We consider the problem of statistical inference for a class of partially-observed diffusion processes, with discretely-observed data and finite-dimensional parameters. We construc…

stat.ME2018

Main effects and interactions in mixed and incomplete data frames

Geneviève Robin, Olga Klopp, Julie Josse +2

A mixed data frame (MDF) is a table collecting categorical, numerical and count observations. The use of MDF is widespread in statistics and the applications are numerous from abun…

stat.ME2013★ 4 cited

There is a VaR beyond usual approximations

Marie Kratz

Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often…