2 papers
stat.ML2020
Feature Clustering for Support Identification in Extreme Regions
Hamid Jalalzai, Rémi Leluc
Understanding the complex structure of multivariate extremes is a major challenge in various fields from portfolio monitoring and environmental risk management to insurance. In the…
math.ST2019
Control variate selection for Monte Carlo integration
Rémi Leluc, François Portier, Johan Segers
Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regre…