3 citations · 3 across the 2 of their papers we have counts for
3 papers
Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso
Sullivan Hué, Sébastien Laurent, Ulrich Aiounou +1
Post-Double-Lasso is becoming the most popular method for estimating linear regression models with many covariates when the purpose is to obtain an accurate estimate of a parameter…
Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials
Sullivan Hué, Christophe Hurlin, Yang Lu
We propose an original two-part, duration-severity approach for backtesting Expected Shortfall (ES). While Probability Integral Transform (PIT) based ES backtests have gained popul…
GAM(L)A: An econometric model for interpretable Machine Learning
Emmanuel Flachaire, Gilles Hacheme, Sullivan Hué +1
Despite their high predictive performance, random forest and gradient boosting are often considered as black boxes or uninterpretable models which has raised concerns from practiti…