output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 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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10 papers · 1 filter

stat.ME2025

Sliding-Window Signatures as Features for Time Series Forecasting

Nina Drobac, Margaux Brégère, Margaux Br{é}g{è}re +2

The evolution of a time series is often influenced not only by its past values but also by external covariates, giving rise to forecasting with exogenous variables. Nonlinear and d…

stat.ME2019★ 34 cited

Background Error Covariance Iterative Updating with Invariant Observation Measures for Data Assimilation

Sibo Cheng, Jean-Philippe Argaud, Bertrand Iooss +2

In order to leverage the information embedded in the background state and observations, covariance matrices modelling is a pivotal point in data assimilation algorithms. These matr…

stat.ME2019★ 1 cited

Computer code validation via mixture model estimation

Kaniav Kamary, Merlin Keller, Pierre Barbillon +2

When computer codes are used for modeling complex physical systems, their unknown parameters are tuned by calibration techniques. A discrepancy function may be added to the compute…

stat.ME2019★ 14 cited

Optimal Uncertainty Quantification of a risk measurement from a thermal-hydraulic code using Canonical Moments

Jerome Stenger, Fabrice Gamboa, Merlin Keller +1

We study an industrial computer code related to nuclear safety. A major topic of interest is to assess the uncertainties tainting the results of a computer simulation. In this work…

stat.ME2017★ 155 cited

Fast calibrated additive quantile regression

M. Fasiolo, S. N. Wood, M. Zaffran +2

We propose a novel framework for fitting additive quantile regression models, which provides well calibrated inference about the conditional quantiles and fast automatic estimation…

stat.ME2016★ 110 cited

Modelling and forecasting daily electricity load curves: a hybrid approach

Haeran Cho, Yannig Goude, Xavier Brossat +1

We propose a hybrid approach for the modelling and the short-term forecasting of electricity loads. Two building blocks of our approach are (i) modelling the overall trend and seas…

stat.ME2016★ 44 cited

Model Assisted Probability of Detection curves: New statistical tools and progressive methodology

Loïc Le Gratiet, Bertrand Iooss, Géraud Blatman +3

The Probability Of Detection (POD) curve is a standard tool in several industries to evaluate the performance of Non Destructive Testing (NDT) procedures for the detection of harmf…

stat.ME2015★ 8 cited

Stochastic simulators based optimization by Gaussian process metamodels -- Application to maintenance investments planning issues

Thomas Browne, Bertrand Iooss, Loïc Le Gratiet +2

This paper deals with the optimization of industrial asset management strategies, whose profitability is characterized by the Net Present Value (NPV) indicator which is assessed by…

stat.ME2015

An adaptive kriging method for solving nonlinear inverse statistical problems

Shuai Fu, Mathieu Couplet, Nicolas Bousquet

In various industrial contexts, estimating the distribution of unobserved random vectors Xi from some noisy indirect observations H(Xi) + Ui is required. If the relation between Xi…

stat.ME2011★ 78 cited

Clustering functional data using wavelets

Anestis Antoniadis, Xavier Brossat, Jairo Cugliari +1

We present two methods for detecting patterns and clusters in high dimensional time-dependent functional data. Our methods are based on wavelet-based similarity measures, since wav…