4 papers
Confidence sets for dynamic poverty indexes
Guglielmo D'Amico, Riccardo De Blasis, Philippe Regnault
In this study, we extend the research on the dynamic poverty indexes, namely the dynamic Headcount ratio, the dynamic income-gap ratio, the dynamic Gini and the dynamic Sen, propos…
A copula based Markov Reward approach to the credit spread in European Union
Guglielmo D'Amico, Filippo Petroni, Philippe Regnault +2
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial ris…
vsgoftest: An Package for Goodness-of-Fit Testing Based on Kullback-Leibler Divergence
Justine Lequesne, Philippe Regnault
The R-package vsgoftest performs goodness-of-fit (GOF) tests, based on Shannon entropy and Kullback-Leibler divergence, developed by Vasicek (1976) and Song (2002), of various clas…
Semiparametric estimation of mutual information and related criteria : optimal test of independence
Amor Keziou, Philippe Regnault
We derive independence tests by means of dependence measures thresholding in a semiparametric context. Precisely, estimates of phi-mutual informations, associated to phi-divergence…