2 papers
q-fin.CP2011
Multivariate GARCH estimation via a Bregman-proximal trust-region method
Stéphane Chrétien, Juan-Pablo Ortega
The estimation of multivariate GARCH time series models is a difficult task mainly due to the significant overparameterization exhibited by the problem and usually referred to as t…
stat.ME2009
Using the Eigenvalue Relaxation for Binary Least-Squares Estimation Problems
Stephane Chretien, Franck Corset
The goal of this paper is to survey the properties of the eigenvalue relaxation for least squares binary problems. This relaxation is a convex program which is obtained as the Lagr…