3 papers
stat.ME2025
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…
stat.ML2025
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…
econ.EM2020
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…