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Number of items: 12.

Article

Daouia, Abdelaati, Stupfler, Gilles Claude and Usseglio-Carleve, Antoine (2024) An expectile computation cookbook. Statistics and Computing, vol. 34 (n° 103).

Usseglio-Carleve, Antoine, Girard, Stéphane and Stupfler, Gilles Claude (2021) Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models. The Annals of statistics, vol. 49 (n° 6). pp. 3358-3382.

Daouia, Abdelaati, Girard, Stéphane and Stupfler, Gilles Claude (2021) ExpectHill estimation, extreme risk and heavy tails. Journal of Econometrics, vol. 221 (n° 1). pp. 97-117.

Daouia, Abdelaati, Gijbels, Irene and Stupfler, Gilles Claude (2021) Extremile regression. Journal of the American Statistical Association, vol. 116 (n° 539). pp. 1579-1586.

Daouia, Abdelaati, Girard, Stéphane and Stupfler, Gilles Claude (2020) Tail expectile process and risk assessment. Bernoulli journal, vol. 26 (n° 1). pp. 531-556.

Daouia, Abdelaati, Girard, Stéphane and Stupfler, Gilles Claude (2019) Extreme M-quantiles as risk measures: From L1 to Lp optimization. Bernoulli journal, vol. 25 (n° 1). pp. 264-309.

Daouia, Abdelaati, Gijbels, Irene and Stupfler, Gilles Claude (2019) Extremiles: A new perspective on asymmetric least squares. Journal of the American Statistical Association, 114 (527). pp. 1366-1381.

Daouia, Abdelaati, Girard, Stéphane and Stupfler, Gilles Claude (2018) Estimation of Tail Risk based on Extreme Expectiles. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 80 (2). pp. 263-292.

Monograph

Daouia, Abdelaati, Stupfler, Gilles Claude and Usseglio-Carleve, Antoine (2023) Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles. TSE Working Paper, n. 23-1444, Toulouse

Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude (2023) Extreme expectile estimation for short-tailed data, with an application to market risk assessment. TSE Working Paper, n. 23-1414, Toulouse

Daouia, Abdelaati, Stupfler, Gilles Claude and Usseglio-Carleve, Antoine (2022) Inference for extremal regression with dependent heavy-tailed data. TSE Working Paper, n. 22-1324, Toulouse

Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude (2022) Optimal weighted pooling for inference about the tail index and extreme quantiles. TSE Working Paper, n. 22-1322, Toulouse

This list was generated on Wed May 29 06:49:22 2024 CEST.