2 papers
stat.AP2026
Dynamic Conditional SKEPTIC
Gabriele Di Luzio, Giacomo Morelli
We introduce the Dynamic Conditional SKEPTIC (DCS), a semiparametric approach for efficiently and robustly estimating time-varying correlations in multivariate models. We exploit n…
stat.ME2025
Robust Semiparametric Graphical Models with Skew-Elliptical Distributions
Gabriele Di Luzio, Giacomo Morelli
We propose semiparametric estimators, called elliptical skew-(S)KEPTIC, for efficiently and robustly estimating non-Gaussian graphical models. Our approach extends the semiparametr…