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math.ST2021★ 6 cited
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although…
math.ST2020★ 2 cited
Dependence structure estimation using Copula Recursive Trees
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various p…