5 papers
Identication and Estimation of Nonsymmetric Determinantal Point Processes
Christian Gouriéroux, Yang Lu
Determinantal point processes (DPPs) provide tractable distributions for nite random sets, but the usual symmetric-kernel specication imposes nonpositive pairwise dependence. Stati…
The Causal-Noncausal Tail Processes
Christian Gouriéroux, Yang Lu, Christian-Yann Robert
This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmet…
A simple estimator of the correlation kernel matrix of a determinantal point process
Christian Gouriéroux, Yang Lu
The Determinantal Point Process (DPP) is a parameterized model for multivariate binary variables, characterized by a correlation kernel matrix. This paper proposes a closed form es…
Composite Likelihood for Stochastic Migration Model with Unobserved Factor
Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak +1
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms. This model i…
Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity
Christopher Dobronyi, Christian Gouriéroux
We introduce two models of non-parametric random utility for demand systems: the stochastic absolute risk aversion (SARA) model, and the stochastic safety-first (SSF) model. In eac…