80 citations · 395 across the 28 of their papers we have counts for
34 papers
Convergence of Stochastic Gradient Descent with mini-batching and infinite variance
Bartosz Glowacki, Rafal Kulik, Philippe Soulier
Stochastic gradient descent (SGD) with mini-batching is a standard tool in large-scale optimization, yet its theoretical properties under heavy-tailed gradient noise remain largely…
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes
Meng-Chen Hsieh, Clifford Hurvich, Philippe Soulier
We develop and justify methodology to consistently test for long-horizon return predictability based on realized variance. To accomplish this, we propose a parametric transaction-l…
The tail process and tail measure of continuous time regularly varying stochastic processes
Philippe Soulier
The goal of this paper is to investigate the tools of extreme value theory originally introduced for discrete time stationary stochastic processes (time series), namely the tail pr…
Branching random walk with infinite progeny mean: a tale of two tails
Souvik Ray, Rajat Subhra Hazra, Parthanil Roy +1
We study the extremes of branching random walks under the assumption that the underlying Galton-Watson tree has infinite progeny mean. It is assumed that the displacements are eith…
Statistical inference for heavy tailed series with extremal independence
Clemonell Bilayi-Biakana, Rafal Kulik, Philippe Soulier
We consider stationary time series h \geq 1$, co…
Tail measure and tail spectral process of regularly varying time series
Clément Dombry, Enkelejd Hashorva, Philippe Soulier
The goal of this paper is an exhaustive investigation of the link between the tail measure of a regularly varying time series and its spectral tail process, independently introduce…