6 citations · 7 across the 21 of their papers we have counts for
21 papers
A moving window approach for nonparametric estimation of the conditional tail index
L. Gardes, S. Girard
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum…
Functional nonparametric estimation of conditional extreme quantiles
L. Gardes, S. Girard, A. Lekina
We address the estimation of quantiles from heavy-tailed distributions when functional covariate information is available and in the case where the order of the quantile converges…
Estimation procedures for a semiparametric family of bivariate copulas
Cécile Amblard, Stéphane Girard
In this paper, we propose simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their…
A Note on Sliced Inverse Regression with Regularizations
Caroline Bernard-Michel, Laurent Gardes, Stéphane Girard
In "Li, L. and Yin, X. (2008). Sliced Inverse Regression with Regularizations. Biometrics, 64(1):124--131" a ridge SIR estimator is introduced as the solution of a minimization pro…
Frontier estimation with local polynomials and high power-transformed data
Stéphane Girard, Pierre Jacob
We present a new method for estimating the frontier of a sample. The estimator is based on a local polynomial regression on the power-transformed data. We assume that the exponent…
Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
Jean Diebolt, Mhamed El-Aroui, Myriam Garrido +1
We present a quasi-conjugate Bayes approach for estimating Generalized Pareto Distribution (GPD) parameters, distribution tails and extreme quantiles within the Peaks-Over-Threshol…