5 papers
Estimation of the intercept parameter in integrated Galton-Watson processes
Yang Lu
We study estimation of the intercept parameter in an integrated Galton-Watson process, a basic building-block for many count-valued time series models. In this unit root setting, t…
The Causal-Noncausal Tail Processes
Christian Gouriéroux, Yang Lu, Christian-Yann Robert
This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmet…
A simple estimator of the correlation kernel matrix of a determinantal point process
Christian Gouriéroux, Yang Lu
The Determinantal Point Process (DPP) is a parameterized model for multivariate binary variables, characterized by a correlation kernel matrix. This paper proposes a closed form es…
Kolmogorov Arnold Networks in Fraud Detection: Bridging the Gap Between Theory and Practice
Yang Lu, Felix Zhan
This study evaluates the applicability of Kolmogorov-Arnold Networks (KAN) in fraud detection, finding that their effectiveness is context-dependent. We propose a quick decision ru…
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…