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Gilles Stupfler
Gilles Stupfler
Professor of Statistics, University of Angers
Adresse e-mail validée de univ-angers.fr - Page d'accueil
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Estimation of tail risk based on extreme expectiles
A Daouia, S Girard, G Stupfler
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2018
1452018
Estimation of the conditional tail index using a smoothed local Hill estimator
L Gardes, G Stupfler
Extremes 17, 45-75, 2014
542014
Tail expectile process and risk assessment
A Daouia, S Girard, G Stupfler
532020
Extreme M-quantiles as risk measures: From to optimization
A Daouia, S Girard, G Stupfler
532019
Extremiles: A new perspective on asymmetric least squares
A Daouia, I Gijbels, G Stupfler
Journal of the American Statistical Association, 2018
462018
Estimating the conditional extreme-value index under random right-censoring
G Stupfler
Journal of Multivariate Analysis 144, 1-24, 2016
432016
A moment estimator for the conditional extreme-value index
G Stupfler
402013
Extreme geometric quantiles in a multivariate regular variation framework
S Girard, G Stupfler
Extremes 18, 629-663, 2015
382015
Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
J El Methni, G Stupfler
Statistica Sinica, 907-930, 2017
352017
Frontier estimation with kernel regression on high order moments
S Girard, A Guillou, G Stupfler
Journal of Multivariate Analysis 116, 172-189, 2013
342013
Intriguing properties of extreme geometric quantiles
S Girard, G Stupfler
REVSTAT-Statistical Journal 15 (1), 107–139-107–139, 2017
302017
Estimating extreme quantiles under random truncation
L Gardes, G Stupfler
TEST, 2014
292014
Nonparametric extreme conditional expectile estimation
S Girard, G Stupfler, A Usseglio‐Carleve
Scandinavian Journal of Statistics 49 (1), 78-115, 2022
262022
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
S Girard, G Stupfler, A Usseglio-Carleve
The Annals of statistics 49 (6), 3358-3382, 2021
262021
Estimation of the parameters of a Markov-modulated loss process in insurance
A Guillou, S Loisel, G Stupfler
Insurance: Mathematics and Economics 53 (2), 388-404, 2013
222013
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
J El Methni, G Stupfler
Econometrics and statistics 6, 129-148, 2018
202018
Uniform strong consistency of a frontier estimator using kernel regression on high order moments
S Girard, A Guillou, G Stupfler
ESAIM: Probability and Statistics 18, 642-666, 2014
192014
Estimating an endpoint with high-order moments
S Girard, A Guillou, G Stupfler
test 21 (4), 697-729, 2012
192012
Estimating an endpoint with high order moments in the Weibull domain of attraction
S Girard, A Guillou, G Stupfler
Statistics & Probability Letters 82 (12), 2136-2144, 2012
182012
Tail risk inference via expectiles in heavy-tailed time series
AC Davison, SA Padoan, G Stupfler
Journal of Business & Economic Statistics 41 (3), 876-889, 2023
172023
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