57 citations · 174 across the 20 of their papers we have counts for
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stat.ME2011★ 11 cited
Testing over a continuum of null hypotheses with False Discovery Rate control
Gilles Blanchard, Sylvain Delattre, Etienne Roquain
We consider statistical hypothesis testing simultaneously over a fairly general, possibly uncountably infinite, set of null hypotheses, under the assumption that a suitable single…
q-fin.TR2011★ 14 cited
Modeling microstructure noise with mutually exciting point processes
E. Bacry, S. Delattre, M. Hoffmann +1
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction…