Bruno Rémillard
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A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...
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Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...
référence BibTeXExplicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martin...
référence BibTeXTesting for Equality Between Two Copulas
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples....
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We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...
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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...
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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 ...
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While convergence properties of many sampling selection methods can be proven to hold in a context of approximation of Feynman-Kac solutions using sequentia...
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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 ...
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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...
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The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivative products referencing a portfolio of underlying assets, an...
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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...
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Rank-based estimators were proposed by Clayton (1978) and Oakes (1982) for the association parameter in the bivariate gamma frailty model. The joint asympto...
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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...
référence BibTeXGoodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation
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 ...
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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 ...
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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...
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Exploiting an overlooked observation of Blum, Kiefer & Rosenblatt (1961), Dugué (1975) and Deheuvels (1981a) described a decomposition of empirical distribu...
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This paper introduces new rank-based statistics for testing against serial dependence in a univariate time series context. These Kolmogorov-Smirnov and Cram...
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