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19 résultats
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Estimation of Tail Risk based on Extreme ExpectilesJournal of the Royal Statistical Society: Series B, 2018, 80 (2), pp.263-292. ⟨10.1111/rssb.12254⟩
Article dans une revue
hal-01142130v5
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Estimation of tail risk based on extreme expectilesWorkshop Extremes - Copulas - Actuarial science, Feb 2016, Luminy, France
Communication dans un congrès
hal-01311778v1
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A Gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fieldsEconometrics, 2014, 178 (2), pp.727-740. ⟨10.1016/j.jeconom.2013.10.013⟩
Article dans une revue
hal-00737732v3
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Extreme M-quantiles as risk measures 10th International Conference of the ERCIM WG on Computing and Statistics, Dec 2017, London, United Kingdom
Communication dans un congrès
hal-01667201v1
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Tail risk estimation based on extreme Lp-quantilesStatistics workshop Tilburg University, Dec 2016, Tilburg, Netherlands
Communication dans un congrès
hal-01415533v1
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Tail expectile process and risk assessmentBernoulli, 2020, 26 (1), pp.531-556. ⟨10.3150/19-BEJ1137⟩
Article dans une revue
hal-01744505v3
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Nadaraya's estimates for large quantiles and free disposal support curvesI. Van Keilegom and P. Wilson,. Exploring research frontiers in contemporary statistics and econometrics, Springer, pp.1-22, 2012, 978-3-7908-2348-6. ⟨10.1007/978-3-7908-2349-3_1⟩
Chapitre d'ouvrage
istex
hal-00528670v2
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On kernel smoothing for extremal quantile regressionERCIM 2012 - 5th International Conference of the ERCIM WG on Computing and Statistics, Dec 2012, Oviedo, Spain
Communication dans un congrès
hal-00803127v1
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A gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fieldsEVA 2013 - 8th International Conference on Extreme Value Analysis, Jul 2013, Shanghai, China
Communication dans un congrès
hal-00851125v1
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Tail risk estimation based on extreme Lp-quantilesWorkshop "Extreme value modeling and water resources", Jun 2016, Lyon, France
Communication dans un congrès
hal-01340767v1
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Large sample approximation of the distribution for smooth monotone frontier estimation2009
Pré-publication, Document de travail
hal-00409447v1
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ExpectHill estimation, extreme risk and heavy tailsJournal of Econometrics, 2021, 221 (1), pp.97-117. ⟨10.1016/j.jeconom.2020.02.003⟩
Article dans une revue
hal-01856212v2
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Extreme M-quantiles as risk measures: From L1 to Lp optimizationBernoulli, 2019, 25 (1), pp.264-309. ⟨10.3150/17-BEJ987⟩
Article dans une revue
hal-01585215v2
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Nonparametric extremal quantile regressionEVA 2013 - 8th International Conference on Extreme Value Analysis, Jul 2013, Shanghai, China
Communication dans un congrès
hal-00851124v1
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On kernel smoothing for extremal quantile regressionBernoulli, 2013, 19 (5B), pp.2557-2589. ⟨10.3150/12-BEJ466⟩
Article dans une revue
hal-00630726v3
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Estimation of extreme expectiles from heavy tailed distributions9th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2016, Seville, Spain
Communication dans un congrès
hal-01415586v1
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Kernel estimators of extreme level curvesTest, 2011, 20 (2), pp.311-333. ⟨10.1007/s11749-010-0196-0⟩
Article dans une revue
istex
inria-00393588v4
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Extreme level curves of heavy-tailed distributionsEVA 2009 - 6th International Conference on Extreme Value Analysis, Jun 2009, Fort Collins, United States. pp.CDROM
Communication dans un congrès
hal-00761753v1
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Estimation de courbes de niveaux extrêmes pour des lois à queues lourdes42èmes Journées de Statistique, Société Française de Statistique, May 2010, Marseille, France
Communication dans un congrès
inria-00494684v1
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