242 citations · 778 across the 62 of their papers we have counts for
4 papers · 1 filter
Tails of optimal transport plans for regularly varying probability measures
Cees de Valk, Johan Segers
For the basic case of optimal transport between two probability measures on a Euclidean space, the regularity of the coupling measure and the transport map in the tail region…
Identifying groups of variables with the potential of being large simultaneously
Maël Chiapino, Anne Sabourin, Johan Segers
Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The as…
Bayesian inference for bivariate ranks
Simon Guillotte, François Perron, Johan Segers
A recommender system based on ranks is proposed, where an expert's ranking of a set of objects and a user's ranking of a subset of those objects are combined to make a prediction o…
Monte Carlo integration with a growing number of control variates
François Portier, Johan Segers
It is well known that Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a…