Alexis Derumigny

dr.

  • 12 Citations
  • 2 h-Index
20172019

Research output per year

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Personal profile

Keywords

  • HA Statistics
  • dependence modeling
  • high-dimensional statistics
  • kernel smoothing
  • copulas
  • conditional distribution
  • QA75 Electronic computers. Computer science
  • HG Finance
  • stock returns

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Research Output

  • 12 Citations
  • 2 h-Index
  • 4 Article
  • 4 Working paper
  • 1 PhD Thesis - Research external, graduation external

A classification point-of-view about conditional Kendall's tau

Derumigny, A. & Fermanian, J-D., 1 Jul 2019, In : Computational statistics & data analysis. 135, p. 70-94 25 p.

Research output: Contribution to journalArticleAcademicpeer-review

File
2 Citations (Scopus)
7 Downloads (Pure)
Open Access
File
  • On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior

    Derumigny, A. & Fermanian, J-D., 30 Sep 2019, In : Dependence Modeling. 7, 1, p. 292-321

    Research output: Contribution to journalArticleAcademicpeer-review

    Open Access
    File
    1 Citation (Scopus)
    15 Downloads (Pure)

    On the construction of confidence intervals for ratios of expectations

    Derumigny, A., Girard, L. & Guyonvarch, Y., 10 Apr 2019.

    Research output: Working paper

    Open Access
    File
  • Some statistical results in high-dimensional dependence modeling

    Derumigny, A., 2019, 304 p.

    Research output: ThesisPhD Thesis - Research external, graduation external

    Open Access
    File