75 citations · 235 across the 62 of their papers we have counts for
6 papers · 1 filter
Prediction of time series by statistical learning: general losses and fast rates
Pierre Alquier, Xiaoyin Li, Olivier Wintenberger
We establish rates of convergences in time series forecasting using the statistical learning approach based on oracle inequalities. A series of papers extends the oracle inequaliti…
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Olivier Wintenberger
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the…
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…
Weak transport inequalities and applications to exponential inequalities and oracle inequalities
Olivier Wintenberger
We extend the dimension free Talagrand inequalities for convex distance \cite{talagrand:1995} using an extension of Marton's weak transport \cite{marton:1996a} to other metrics tha…
Precise large deviations for dependent regularly varying sequences
Thomas Mikosch, Olivier Wintenberger
We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V. Nagaev (1969) and…
Fast rates in learning with dependent observations
Pierre Alquier, Olivier Wintenberger
In this paper we tackle the problem of fast rates in time series forecasting from a statistical learning perspective. In a serie of papers (e.g. Meir 2000, Modha and Masry 1998, Al…