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stat.ME2025
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…
stat.ML2025
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…