6 citations · 8 across the 3 of their papers we have counts for
3 papers
Estimation of high dimensional Gamma convolutions through random projections
Oskar Laverny
Multivariate generalized Gamma convolutions are distributions defined by a convolutional semi-parametric structure. Their flexible dependence structures, the marginal possibilities…
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although…
Dependence structure estimation using Copula Recursive Trees
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various p…