5 citations · 15 across the 17 of their papers we have counts for
4 papers · 1 filter
Estimation of copulas via Maximum Mean Discrepancy
Pierre Alquier, Badr-Eddine Chérief-Abdellatif, Alexis Derumigny +1
This paper deals with robust inference for parametric copula models. Estimation using Canonical Maximum Likelihood might be unstable, especially in the presence of outliers. We pro…
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 lower bounds for the bias-variance trade-off
Alexis Derumigny, Johannes Schmidt-Hieber
It is a common phenomenon that for high-dimensional and nonparametric statistical models, rate-optimal estimators balance squared bias and variance. Although this balancing is wide…