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math.ST2021
Identifiability and estimation of meta-elliptical copula generators
Alexis Derumigny, Jean-David Fermanian
Meta-elliptical copulas are often proposed to model dependence between the components of a random vector. They are specified by a correlation matrix and a map , called density g…
math.ST2021
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…