2 citations · 3 across the 5 of their papers we have counts for
8 papers
Robust-to-outliers square-root LASSO, simultaneous inference with a MOM approach
G. Finocchio, A. Derumigny, K. Proksch
We consider the least-squares regression problem with unknown noise variance, where the observed data points are allowed to be corrupted by outliers. Building on the median-of-mean…
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,…
On the construction of confidence intervals for ratios of expectations
Alexis Derumigny, Lucas Girard, Yannick Guyonvarch
In econometrics, many parameters of interest can be written as ratios of expectations. The main approach to construct confidence intervals for such parameters is the delta method.…
Estimation of a regular conditional functional by conditional U-statistics regression
Alexis Derumigny
U-statistics constitute a large class of estimators, generalizing the empirical mean of a random variable to sums over every -tuple of distinct observations of . They may…
On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
Alexis Derumigny, Jean-David Fermanian
We study nonparametric estimators of conditional Kendall's tau, a measure of concordance between two random variables given some covariates. We prove non-asymptotic bounds with exp…