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07/04/2023
Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
We propose center-outward superquantile and expected shortfall functions...
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02/02/2023
Stochastic optimal transport in Banach Spaces for regularized estimation of multivariate quantiles
We introduce a new stochastic algorithm for solving entropic optimal tra...
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03/08/2022
On the elephant random walk with stops playing hide and seek with the Mittag-Leffler distribution
The aim of this paper is to investigate the asymptotic behavior of the s...
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12/20/2021
How to estimate the memory of the Elephant Random Walk
We introduce an original way to estimate the memory parameter of the ele...
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07/12/2021
A stochastic Gauss-Newton algorithm for regularized semi-discrete optimal transport
We introduce a new second order stochastic algorithm to estimate the ent...
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07/29/2020
Stochastic approximation algorithms for superquantiles estimation
This paper is devoted to two different two-time-scale stochastic approxi...
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11/12/2019
On the center of mass of the elephant random walk
Our goal is to investigate the asymptotic behavior of the center of mass...
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04/16/2019
An efficient stochastic Newton algorithm for parameter estimation in logistic regressions
Logistic regression is a well-known statistical model which is commonly ...
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12/21/2018
