12 citations · 12 across the 2 of their papers we have counts for
2 papers
q-fin.ST2019
Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
Jean-François Bégin, Mathieu Boudreault
In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood function of models that al…
stat.AP2011★ 12 cited
Multivariate integer-valued autoregressive models applied to earthquake counts
Mathieu Boudreault, Arthur Charpentier
In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this pap…