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Occupation Times in Markov Processes
We consider, in a homogeneous Markov process with finite state space, the occupation times that is, the times spent by the process in given subsets of the state space... -
Stability of -statistics from weakly dependent observations
International audience -
Realised quantile-based estimation of the integrated variance
International audience -
Interference Characteristics and Success Probability at the Primary User in a...
International audience -
A patch-based approach for removing impulse or mixed Gaussian-impulse noise
International audience -
Lower-order logsums
The logsum formula, which provides the expected maximum utility for the multinomial logit model, is often used as a measure of welfare. We provide here a closed form... -
Compressible Distributions for High-dimensional Statistics
Was previously entitled "Compressible priors for high-dimensional statistics" -
Consistent estimation of the tail index for dependent data
International audience -
Estimation of the Weibull tail-coefficient with linear combination of upper o...
We present a new family of estimators of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse... -
Estimation of the Weibull tail-coefficient with linear combination of upper o...
International audience -
There is a VaR Beyond Usual Approximations
Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal...
