A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...

Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martin...

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples....

We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...

This paper proposes new tests of randomness for innovations of a large class of time series models. These tests are based on functionals of empirical proces...

The aim of this paper is to present efficient algorithms for the detection of multiple targets in noisy images of a finite region. The algorithms are based ...

While convergence properties of many sampling selection methods can be proven to hold in a context of approximation of Feynman-Kac solutions using sequentia...

In testing that a particular distribution <img src="/cgi-bin/mimetex.cgi?P"> belongs to a parameterized family <img src="/cgi-bin/mimetex.cgi?\cal{P}">, one ...

Deheuvels (1981a,b,c) and Genest and Rémillard (2004) have shown that powerful rank tests of multivariate independence can be based on combinations of asymp...

The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, an...

Deheuvels proposed a rank test of independence based on a Cramér–von Mises functional of the empirical copula process. Using a general result on the asympto...

Rank-based estimators were proposed by Clayton (1978) and Oakes (1982) for the association parameter in the bivariate gamma frailty model. The joint asympto...

Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

An approach is suggested for testing whether the dependence structure of a random sample of multivariate data is appropriately modelled by a given family of ...

The aim of this paper is to present efficient algorithms for the detection of multiple targets in noisy images of a torus. The algorithms are based on the ...

The aim of this paper is to present efficient algorithms for the detection of multiple targets in noisy images. The algorithms are based on the optimal filte...

Exploiting an overlooked observation of Blum, Kiefer & Rosenblatt (1961), Dugué (1975) and Deheuvels (1981a) described a decomposition of empirical distribu...

This paper introduces new rank-based statistics for testing against serial dependence in a univariate time series context. These Kolmogorov-Smirnov and Cram...