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- Université Paris Dauphine-PSLFR57 papers
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- Centre de Recherche en Économie et StatistiqueFR16 papers
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- Laboratoire de Mathématiques Blaise PascalFR7 papers
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10 papers · 1 filter
Non parametric finite translation mixtures with dependent regime
Elisabeth Gassiat, Judith Rousseau
In this paper we consider non parametric finite translation mixtures. We prove that all the parameters of the model are identifiable as soon as the matrix that defines the joint di…
Stein COnsistent Risk Estimator (SCORE) for hard thresholding
Charles-Alban Deledalle, Gabriel Peyré, Jalal Fadili
In this work, we construct a risk estimator for hard thresholding which can be used as a basis to solve the difficult task of automatically selecting the threshold. As hard thresho…
Prediction of time series by statistical learning: general losses and fast rates
Pierre Alquier, Xiaoyin Li, Olivier Wintenberger
We establish rates of convergences in time series forecasting using the statistical learning approach based on oracle inequalities. A series of papers extends the oracle inequaliti…
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Olivier Wintenberger
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the…
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…
Nonparametric estimation of a renewal reward process from discrete data
Celine Duval
We study the nonparametric estimation of the jump density of a renewal reward process from one discretely observed sample path over [0,T]. We consider the regime when the sampling…