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stat.ME2025
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…
stat.ME2025
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…