Statistical Modelling and Inference

Journal Articles

1. Lambert, Philippe. Nonparametric density estimation and risk quantification from tabulated sample moments. In: Insurance: Mathematics and Economics, Vol. 108, p. 177-189 (2023). doi:10.1016/j.insmatheco.2022.12.004. http://hdl.handle.net/2078.1/269362

2. Plassier, Vincent; Portier, François; Segers, Johan. Risk bounds when learning infinitely many response functions by ordinary linear regression. In: Annales de l'Institut Henri Poincare. B, Probability and Statistics, Vol. 59, no.1, p. 53-78 (2023). doi:10.1214/22-AIHP1259. http://hdl.handle.net/2078.1/271638

3. Lhaut, Stéphane; Sabourin, Anne; Segers, Johan. Uniform concentration bounds for frequencies of rare events. In: Statistics & Probability Letters, Vol. 189, p. 109610 (2022). doi:10.1016/j.spl.2022.109610. http://hdl.handle.net/2078.1/263682

4. Orsi, Renzo; Mouchart, Michel; Wunsch, Guillaume. Causality in Econometric Modeling : From Theory to Structural Causal Modeling. In: Journal of Econometrics and Statistics, Vol. 2, no.1, p. 61-90 (2022). http://hdl.handle.net/2078.1/264319

5. Pircalabelu, Eugen; Claeskens, Gerda. Linear manifold modeling and graph estimation based on multivariate functional data with different coarseness scales. In: Journal of Computational and Graphical Statistics, (2022). doi:10.1080/10618600.2022.2108818 (Accepté/Sous presse). http://hdl.handle.net/2078.1/264877

6. Kyriakopoulou, Dimitra; Hafner, Christian. Reconciling negative return skewness with positive time-varying risk premia. In: Econometric Reviews, Vol. 41, no.8, p. 877-894 (2022). doi:10.1080/07474938.2022.2072323. http://hdl.handle.net/2078.1/265596

7. Hafner, Christian; Majeri, Sabrine. Analysis of cryptocurrency connectedness based on network to transaction volume ratios. In: Digital Finance, Vol. 4, p. 187-216 (2022). doi:10.1007/s42521-022-00054-w. http://hdl.handle.net/2078.1/265601

8. Bocart, Fabian Y.R.P.; Hafner, Christian; Kasperskaya, Yulia; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment. In: The Journal of Alternative Investments, (2023). doi:10.3905/jai.2022.1.174 (Accepté/Sous presse). http://hdl.handle.net/2078.1/265598

9. Simar, Léopold; Wilson, Paul W. Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs. In: Journal of Business and Economic Statistics, (2022). doi:10.1080/07350015.2022.2110882 (Accepté/Sous presse). http://hdl.handle.net/2078.1/267992

10. Hohage, Thorsten; Maréchal, Pierre; Simar, Léopold; Vanhems, Anne. A mollifier approach to the deconvolution of probability densities. In: Econometric Theory, (2022). doi:10.1017/S0266466622000457 (Accepté/Sous presse). http://hdl.handle.net/2078.1/267997

11. Nguyen, Bao Hoang; Simar, Léopold; Zelenyuk, Valentin. Data sharpening for improving central limit theorem approximations for data envelopment analysis-type efficiency estimators. In: European Journal of Operational Research, Vol. 303, no.3, p. 1469-1480 (2022). doi:10.1016/j.ejor.2022.03.038. http://hdl.handle.net/2078.1/267847

12. Hafner, Christian; Herwartz, Helmut. Dynamic score driven independent component analysis. In: Journal of Business and Economic Statistics, (2022). doi:10.1080/07350015.2021.2013244 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258973

13. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2022). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258976

14. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2022). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258975

15. Mathieu, Sophie; Lefèvre, Laure; von Sachs, Rainer; Delouille, Véronique; Ritter, Christian; Clette, Frédéric. Nonparametric monitoring of sunspot number observations. In: Journal of Quality Technology, (2022). doi:10.1080/00224065.2022.2041376 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258343

16. Wunsch, Guillaume; Russo, Federica; Mouchart, Michel; Orsi, Renzo. Time and causality in the social sciences. In: Time & Society, Vol. 31, no. 2, p. 177-204 (2022). doi:10.1177/0961463X211029488. http://hdl.handle.net/2078.1/254443

17. Mordant, Gilles; Segers, Johan. Measuring dependence between random vectors via optimal transport. In: Journal of Multivariate Analysis, Vol. 189, p. 104912 (2022). doi:10.1016/j.jmva.2021.104912. http://hdl.handle.net/2078.1/254444

18. Haedo, Christian; Mouchart, Michel. Two-mode clustering through profiles of regions and sectors. In: Empirical Economics, Vol. 63, p. 1971-1996 (2022). doi:10.1007/s00181-022-02201-z. http://hdl.handle.net/2078.1/259444

19. Chau, Joris; von Sachs, Rainer. Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices. In: Computational Statistics & Data Analysis, Vol. 174, p. 107477 (2022). doi:10.1016/j.csda.2022.107477. http://hdl.handle.net/2078.1/259687

20. Yang, Bingduo; Cai, Zongwu; Hafner, Christian; Liu, Guannan. Time-Varying Mixture Copula Models with Copula Selection. In: Statistica Sinica, Vol. 32, p. 1049-1077 (2022). http://hdl.handle.net/2078.1/258923

21. Pircalabelu, Eugen; Artemiou, Andreas. High-dimensional Sufficient Dimension Reduction through principal projections. In: Electronic Journal of Statistics, Vol. 16, no. 1, p. 1804-1830 (2022). http://hdl.handle.net/2078.1/258818

22. Beretta, Alessandro; Heuchenne, Cédric; Restaino, Marialuisa. Competing risks proportional-hazards cure model and generalized extreme value regression: an application to bank failures and acquisitions in the United States. In: Journal of Applied Statistics, Vol. 49, no. 16, p. 4162-4180 (2022). doi:10.1080/02664763.2021.1973386. http://hdl.handle.net/2078.1/251423

23. Heuchenne, Cédric; Jacquemain, Alexandre. Inference for monotone single-index conditional means: a Lorenz regression approach. In: Computational Statistics & Data Analysis, Vol. 167, p. 107347 (2022). doi:10.1016/j.csda.2021.107347. http://hdl.handle.net/2078.1/251823

24. El Mehdi, Rachida; Hafner, Christian. Panel stochastic frontier analysis with dependent error terms. In: International Econometric Review, Vol. 13, no.2, p. 24-40 (2021). doi:10.33818/ier.1033722. http://hdl.handle.net/2078.1/258972

25. Yang, Bingduo; Hafner, Christian; Liu, Guannan; Long, Wei. Semiparametric estimation and variable selection for single-index copula models. In: Journal of Applied Econometrics, Vol. 36, no.7, p. 962-988 (2021). doi:10.1002/jae.2812. http://hdl.handle.net/2078.1/258974

26. Fall, François Seck; Tchuigoua, Hubert Tchakoute; Vanhems, Anne; Simar, Léopold. Gender effect on microfinance social efficiency: A robust nonparametric approach. In: European Journal of Operational Research, Vol. 295, no. 2, p. 744-757 (2021). doi:10.1016/j.ejor.2021.03.020. http://hdl.handle.net/2078.1/244686

27. Asenova, Stefka Kirilova; Mazo, Gildas; Segers, Johan. Inference on extremal dependence in the domain of attraction of a structured Hüsler–Reiss distribution motivated by a Markov tree with latent variables. In: Extremes, Vol. 24, p. 461-500 (2021). doi:10.1007/s10687-021-00407-5. http://hdl.handle.net/2078.1/243714

28. Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; von Sachs, Rainer. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. In: Journal of Econometrics, Vol. 222, no. 1, part B, p. 324-343 (2021). doi:10.1016/j.jeconom.2020.07.004. http://hdl.handle.net/2078.1/224107

29. Mastromarco, Camilla; Simar, Léopold; Zelenyuk, Valentin. Predicting recessions with a frontier measure of output gap: an application to Italian economy. In: Empirical Economics, Vol. 60, p. 2701–2740 (2021). doi:10.1007/s00181-021-02029-z. http://hdl.handle.net/2078.1/244682

30. Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. Quality as a Latent Heterogeneity Factor in the Efficiency of Universities. In: Economic Modelling, Vol. 99, no. June 2021, p. 105485 (2021). doi:10.1016/j.econmod.2021.03.004. http://hdl.handle.net/2078.1/244684

31. Mastromarco, Camilla; Simar, Léopold. Latent heterogeneity to evaluate the effect of human capital on world technology frontier. In: Journal of Productivity Analysis, Vol. 55, p. 71–89 (2021). doi:10.1007/s11123-021-00597-x. http://hdl.handle.net/2078.1/244680

32. Tran, Phuong Hanh; Heuchenne, Cédric; Nguyen, Huu Du; Marie, Hélène. Monitoring Coefficient of Variation using One-Sided Run Rules control charts in the presence of Measurement Errors. In: Journal of Applied Statistics, Vol. 48, no.12, p. 2178-2204 (2021). doi:10.1080/02664763.2020.1787356. http://hdl.handle.net/2078.1/251589

33. Nguyen, Quoc-Thông; Giner-Bosch, Vicent; Tran, Kim Duc; Heuchenne, Cédric; Tran, Kim Phuc. One-sided variable sampling interval EWMA control charts for monitoring the multivariate coefficient of variation in the presence of measurement errors. In: International Journal of Advanced Manufacturing Technology, , no.5-6, p. 19174938 (2021). http://hdl.handle.net/2078.1/251432

34. Bazgour, Tarik; Heuchenne, Cédric; Hübner, Georges; Sougné, Danielle. How do volatility regimes affect the pricing of quality and liquidity in the stock market?. In: Studies in Nonlinear Dynamics and Econometrics, Vol. 25, no.1, p. 20180127 (2021). doi:10.1515/snde-2018-0127. http://hdl.handle.net/2078.1/251460

35. Tran, Phuong Hanh; Heuchenne, Cédric. Monitoring the coefficient of variation using variable sampling interval CUSUM control charts. In: Journal of Statistical Computation and Simulation, Vol. 91, no.3, p. 501-521 (2021). doi:10.1080/00949655.2020.1819278. http://hdl.handle.net/2078.1/251595

36. Pircalabelu, Eugen; Artemiou, Andreas. Graph informed sliced inverse regression. In: Computational Statistics & Data Analysis, Vol. 164, p. 107302 (2021). doi:10.1016/j.csda.2021.107302. http://hdl.handle.net/2078.1/258810

37. Chau, Joris; von Sachs, Rainer. Intrinsic wavelet regression for curves of Hermitian positive definite matrices. In: Journal of the American Statistical Association, Vol. 116, no.534, p. 819-832 (2021). doi:10.1080/01621459.2019.1700129. http://hdl.handle.net/2078.1/263657

38. Einmahl, John H. J.; Segers, Johan. Empirical tail copulas for functional data. In: Annals of Statistics, Vol. 49, no. 5, p. 2672-2696 (2021). doi:10.1214/21-AOS2050. http://hdl.handle.net/2078.1/243712

39. Beretta, Alessandro; Heuchenne, Cédric. penPHcure: Variable Selection in Proportional Hazards Cure Model with Time-Varying Covariates. In: The R Journal, Vol. 31, no.1, p. 116-129 (2021). http://hdl.handle.net/2078.1/251426

40. Mordant, Gilles; Segers, Johan. Maxima and near-maxima of a Gaussian random assignment field. In: Statistics & Probability Letters, Vol. 173, no. June 2021, p. 109087 (2021). doi:10.1016/j.spl.2021.109087. http://hdl.handle.net/2078.1/244432

41. Leluc, Rémi; Portier, François; Segers, Johan. Control variate selection for Monte Carlo integration. In: Statistics and Computing, Vol. 31, no. 50 (2021). doi:10.1007/s11222-021-10011-z. http://hdl.handle.net/2078.1/248899

42. Gressani, Oswaldo; Lambert, Philippe. Laplace approximations for fast Bayesian inference in generalized additive models based on P-splines. In: Computational Statistics & Data Analysis, Vol. 154, p. 107088 (2021). doi:10.1016/j.csda.2020.107088. http://hdl.handle.net/2078.1/254851

43. Lambert, Philippe. Fast Bayesian inference using Laplace approximations in nonparametric double additive location-scale models with right- and interval-censored data. In: Computational Statistics & Data Analysis, Vol. 161, p. 107250 (2021). doi:10.1016/j.csda.2021.107250. http://hdl.handle.net/2078.1/254853

44. Kneip, Alois; Simar, Léopold; Wilson, Paul W. Inference in Dynamic, Nonparametric Models of Production: Central Limit Theorems for Malmquist Indices. In: Econometric Theory, Vol. 37, no.3, p. 537-572 (2021). doi:10.1017/s0266466620000237. http://hdl.handle.net/2078.1/248896

45. Bibal, Adrien; Marion, Rebecca; von Sachs, Rainer; Frénay, Benoît. BIOT: Explaining Multidimensional Nonlinear MDS Embeddings using the Best Interpretable Orthogonal Transformation. In: Neurocomputing, Vol. 453, p. 109-118 (2021). doi:10.1016/j.neucom.2021.04.088. http://hdl.handle.net/2078/246070

46. Hallin, Marc; Mordant, Gilles; Segers, Johan. Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance. In: Electronic Journal of Statistics, Vol. 15, no. 1, p. 1328-1371 (2021). doi:10.1214/21-EJS1816. http://hdl.handle.net/2078.1/243715

47. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. 39, no. 2, p. 589-603 (2021). doi:10.1080/07350015.2019.1691564. http://hdl.handle.net/2078.1/238811

48. Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Robustified expected maximum production frontiers. In: Econometric Theory, Vol. 37, no. 2, p. 346-387 (2021). doi:10.1017/S0266466620000171. http://hdl.handle.net/2078.1/229043

Book Chapters

1. Jacquemain, Alexandre; Heuchenne, Cédric; Pircalabelu, Eugen. A lasso-type estimation for the Lorenz regression. In: Proceedings of the 22nd European Young Statistician Meeting , Panteion University of Social and Political Sciences: Athens, Greece, 2021, p. 41-45. 978-960-7943-22-4. xxx xxx. http://hdl.handle.net/2078.1/249216

2. Bücher, Axel; El Ghouch, Anouar; Van Keilegom, Ingrid. Single-Index Quantile Regression Models for Censored Data. In: Advances in Contemporary Statistics and Econometrics , Springer, 2021, p. 177-196. 978-3-030-73248-6. xxx xxx. doi:10.1007/978-3-030-73249-3_10. http://hdl.handle.net/2078.1/249383

3. Kiriliouk, Anna; Segers, Johan; Tsukahara, Hideatsu. Resampling Procedures with Empirical Beta Copulas. In: Pioneering Works on Extreme Value Theory : SpringerBriefs in Statistics (SpringerBriefs in Statistics; xxx), Springer: (Singapore) Singapore, 2021, p. 27-53. 9789811607677. xxx xxx. doi:10.1007/978-981-16-0768-4_2. http://hdl.handle.net/2078.1/248767