Estimation of multivariate generalized gamma convolutions through Laguerre expansions

no code implementations • 4 Mar 2021 • Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière

The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions.

Statistics Theory Statistics Theory 62H12, 60E07 (Primary) 60E10 (Secondary)

Dependence structure estimation using Copula Recursive Trees

no code implementations • 6 May 2020 • Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière

We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators.

Dimensionality Reduction Statistics Theory Statistics Theory