Thomas Laloë

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math.ST2023

Estimation of extreme $L^{1}$ -multivariate expectiles with functional covariates

Elena Di Bernardino, Thomas Laloë, Cambyse Pakzad

The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible…

math.ST2021

Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework

Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1

The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterised via the ma…

math.ST2012

Estimating level sets of a distribution function using a plug-in method: a multidimensional extension

Elena Di Bernadino, Thomas Laloë

This paper deals with the problem of estimating the level sets $L (c) = {F (x) \geq c}$ , with $c \in (0, 1)$ , of an unknown distribution function $F$ on \mathbb{R}^d_+$. A plug-in a…

Estimation of extreme L1-multivariate expectiles with functional covariates

Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework

Estimating level sets of a distribution function using a plug-in method: a multidimensional extension

Estimation of extreme $L^{1}$ -multivariate expectiles with functional covariates