34 citations · 64 across the 23 of their papers we have counts for
5 papers · 1 filter
Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models
Abdul-Fattah Abu-Awwad, Véronique Maume-Deschamps, Ribereau Pierre
Max-mixture processes are defined as Z = max(aX, (1 -- a)Y) with X an asymptotic dependent (AD) process, Y an asymptotic independent (AI) process and a [0, 1]. So that, the m…
A semi-parametric estimation for max-mixture spatial processes
M. Ahmed, V Maume-Deschamps, P. Ribereau +1
We proposed a semi-parametric estimation procedure in order to estimate the parameters of a max-mixture model and also of a max-stable model (inverse max-stable model) as an altern…
Risk assessment using suprema data
Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay +2
This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such…
Asymptotic multivariate expectiles
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multiva…
Estimation of quantile oriented sensitivity indices
Véronique Maume-Deschamps, Ibrahima Niang
The paper concerns quantile oriented sensitivity analysis. We rewrite the corresponding indices using the Conditional Tail Expectation risk measure. Then, we use this new expressio…