4 citations · 11 across the 15 of their papers we have counts for
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Composite likelihood inference of fractional Gaussian processes with sequentially optimal subset selection
Mathis Fourreau, Matthieu Garcin
The composite likelihood method reduces the computational cost of parameter estimation in time series by considering several subsets of observations instead of all observations at…
Directional Dependence of Extreme Events
Matthieu Garcin, Maxime L. D. Nicolas
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail d…
Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy
Matthieu Garcin, Louis Perot
In the perspective of building statistical tests of divergence between two probability distributions, we study the distribution of empirical relative entropy and derive several typ…
Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility
Matthieu Garcin, Karl Sawaya, Thomas Valade
The linear fractional stable motion (LFSM) extends the fractional Brownian motion (fBm) by considering -stable increments. We propose a method to forecast future increments of t…
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
Matthieu Garcin, Maxime L. D. Nicolas
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank del…