36 citations · 163 across the 33 of their papers we have counts for
23 papers · 1 filter
Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
Bernard Bercu, Jeremie Bigot, Gauthier Thurin
We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and co…
A stochastic Gauss-Newton algorithm for regularized semi-discrete optimal transport
Bernard Bercu, Jérémie Bigot, Sébastien Gadat +1
We introduce a new second order stochastic algorithm to estimate the entropically regularized optimal transport cost between two probability measures. The source measure can be arb…
Low-rank matrix denoising for count data using unbiased Kullback-Leibler risk estimation
Jérémie Bigot, Charles Deledalle
Many statistical studies are concerned with the analysis of observations organized in a matrix form whose elements are count data. When these observations are assumed to follow a P…
Statistical data analysis in the Wasserstein space
Jérémie Bigot
This paper is concerned by statistical inference problems from a data set whose elements may be modeled as random probability measures such as multiple histograms or point clouds.…
Freeness over the diagonal and outliers detection in deformed random matrices with a variance profile
Jérémie Bigot, Camille Male
We study the eigenvalue distribution of a GUE matrix with a variance profile that is perturbed by an additive random matrix that may possess spikes. Our approach is guided by Voicu…
Asymptotic distribution and convergence rates of stochastic algorithms for entropic optimal transportation between probability measures
Bernard Bercu, Jérémie Bigot
This paper is devoted to the stochastic approximation of entropically regularized Wasserstein distances between two probability measures, also known as Sinkhorn divergences. The se…