83 citations · 127 across the 25 of their papers we have counts for
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stat.ME2016★ 5 cited
A self-calibrating method for heavy tailed data modelling. Application in neuroscience and finance
Nehla Debbabi, Marie Kratz, Mamadou Mboup
Modelling non-homogeneous and multi-component data is a problem that challenges scientific researchers in several fields. In general, it is not possible to find a simple and closed…
q-fin.RM2016
Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
Marie Kratz, Yen H. Lok, Alexander J McNeil
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sens…
math.PR2016
CLT for Lipschitz-Killing curvatures of excursion sets of Gaussian fields
Marie Kratz, Sreekar Vadlamani
Our interest in this paper is to explore limit theorems for various geometric functionals of excursion sets of isotropic Gaussian random fields. In the past, limit theorems have be…