Partenaires

UNIVERSITE

PARIS DESCARTES

MAP5

Pages personnelles

publi

  Travaux de Recherche 

 

Articles publiés ou en cours de publication 

  1. "Nonparametric estimation for additive concurrent regression models", jointly with Elodie Brunel and Céline Duval. Preprint Hal-046000808. Accepté pour publication à Bernoulli.
  2. "Nonparametric estimation for i.i.d. Stochastic Differential Equations with space-time dependent coefficients", jointtly with Valentine Genon-Catalot. SIAM/ASA Journal of Uncertainty Quantification, 12, 2, 377-410, 2024.
  3. "On a Projection Estimator of the Regression Function Derivative", jointly with Nicolas Marie. Journal of Nonparametric Statistics, 35, 4, 773-819, 2023.
  4. "Nonparametric adaptive estimation for Interacting particle systems", jointly with Valentine Genon-Catalot. Scandinavian Journal of Statistics, 50, 4, 1716-1755, 2023.
  5. "Nonparametric drift estimation from diffusions with correlated Brownian motions", jointly with Nicolas Marie. Journal of Multivariate Analysis, 198, 105222, 2023.
  6. "Should we estimate a product of density functions by a product of estimators?" jointly with Céline Duval. Electronic Journal of Statistics, 11, 1, 198-242, 2023.
  7. "Linear functional estimation under multiplicative measurement errors", jointly with Sergio Brenner Miguel and Jan Johannes. Bernoulli,  29, 3, 2247-2271, 2023.
  8. "Noncompact estimation of the conditional density from direct or noisy data", jointly with Claire Lacour. Annales de l'I.H.P., Probability and Statistics, 59, 3, 1463-1507, 2023.
  9. "Kernel estimation for Lévy driven convolutions", jointly with Valentine Genon-Catalot. Statistics and Risk Modeling, 38, n°1-2, 1-24, 2021.
  10. "Hazard regression with non compactly supported bases", en collaboration avec Elodie Brunel. The Canadian Journal of Statistics, 49, 4, 1273-1297, 2021.
  11. "Nonparametric estimation for i.i.d. paths of fractional SDE", en collaboration avec Nicolas Marie. Statistical Inference for Stochastic Processes, 24,  669–705,  2021.
  12. "Drift estimation on non compact support for diffusion models", en collaboration avec  Valentine Genon-Catalot. Stochastic Processes and Their Applications, 134, 174-207, 2021.
  13. "Spectral cut-off regularisation for density estimation under multiplicative measurement errors", jointly with Sergio Brennen Miguel and Jan Johannes.  Electronic Journal of Statistics, 15, 3551-3573, 2021.
  14. "On a Nadaraya-Watson Estimator with Two Bandwidths", en collaboration avec Nicolas Marie. Electronic Journal of Statistics, 15, n°1, 2566-2607, 2021.
  15. "Nonparametric estimation for Gaussian continuous time moving average models", en collaboration avec V. Genon-Catalot. Statistical Inference for Stochastic Processes, 24, 149-177, 2021. 
  16. "Optimal adaptive estimation on R or R+ of the derivatives of a density", en collaboration avec Céline Duval et Ousmane Sacko.  Mathematical Methods of Statistics, 29, 1, 1-31, 2020.
  17. "Global correction of projection estimators under local constraint", en collaboration avec Charlotte Dion.  Journal of the Korean Statistical Society, 49, 4, 1255 - 1284, 2020.
  18. "Bandwidth selection for the Wolverton-Wagner estimator", en collaboration avec Nicolas Marie. Journal of Statistical Planning and Inference, 207, 198-214, 2020.
  19. "Nonparametric drift estimation for i.i.d. paths of stochastic differential equations", en collaboration avec Valentine Genon-Catalot. The Annals of Statistics, 48, n°6,  3336 - 3365, 2020.
  20. "Regression function estimation on non compact support as a partly inverse problem", en collaboration avec Valentine Genon-Catalot. The Annals of the Institute of Statistical Mathematics, 72, n°4, 1023-1054, 2020. 
  21. "Regression function estimation on non compact support in an heteroskedastic model", en collaboration avec Valentine Genon-Catalot. Metrika 83, 93-128, 2020.
  22. "Nonparametric survival function estimation for data subject to interval censoring case 2", en collaboration avec Olivier Bouaziz et Elodie Brunel.  Journal of Nonparametric Statistics, 31, n°4, 952-987, 2019.
  23. "Nonparametric estimation in fractional SDE", en collaboration avec N. Marie. Statistical Inference for Stochastic Processes, 22, n°3, 359-382, 2019.
  24. "Sobolev-Hermite versus Sobolev nonparametric density estimation on R", en collaboration avec Denis Belomestny et Valentine Genon-Catalot.  The Annals of the Institute of Statistical Mathematics, 71, n°1, 29-62, 2019. 
  25. "Laguerre and Hermite bases for inverse problems", en collaboration avec Valenine Genon-Catalot. Journal of the Korean Statistical Society, 47, n°3, 273-296, 2018.
  26. "Nonparametric estimation of the interarrival distribution of a renewal process", en collaboration avec Céline Duval. Scandinavian Journal of Statistics, 45, n°1, 164-193, 2018.
  27. "Hazard estimation for censored data contaminated with additive measurement error: application to length of pregnancy" version révisée de "Censored data and measurement error", en collaboration avec Adeline Samson et Julien J. Stirnemann.  Test, 27, n°2, 338-359, 2018.
  28. "Laguerre deconvolution with unkown matrix operator", en collaboration avec G. Mabon.  Mathematical Methods of Statistics, 26(4), 237-266, 2017.MMS2017ComteMabonLaguerreDeconvolution.pdf
  29. "Correction to: Nonparametric Laguerre estimation in the multiplicative censoring model", published in EJS 2016, en collaboration avec D. Belomestny et V. Genon-Catalot.  Electronic Journal of Statistics, 11(2), 4845-4850, 2017.
  30. "Adaptive estimation for stochastic damping Hamiltonian systems under partial observation", en collaboration avec Clémentine Prieur et Adeline Samson. Stochastic Processes and Their Applications, 127, 3689-3718, 2017.
  31. "Spline regression for hazard rate estimation when data are censored and measured with error", en collaboration avec Gwennaëlle Mabon et Adeline Samson.  Statistica Neerlandica, 71(2), 115-140, 2017
  32. "Adaptive estimation of the hazard rate with multiplicative censoring", en collaboration avec Gaëlle Chagny et Angélina Roche. Journal of Statistical Planning and Inference, 184, May 2017, 25-47, 2017.
  33. "Laplace deconvolution and its application to Dynamic Contrast Enhanced imaging", en collaboration avec C.-A. Cuenod, M. Pensky et Y. Rozenholc.  JRSS B, 79(1), 69-94, 2017.
  34. "Nonparametric Laguerre estimation in the multiplicative censoring model", en collaboration avec Denis Belomestny et Valentine Genon-Catalot. Electronic Journal of  Statistics, 10, n°2, 3114-3152, 2016. Version révisée de titre "Laguerre estimation for k-monotone densities observed with noise".  Preprint Hal et Prépub. MAP5 2016-01 . 
    35. Voir Correction.
  35. "Nonparametric estimation in a multiplicative censoring model with symmetric noise", en collaboration avec Charlotte Dion.  Journal of Nonparametric Statistics, 28 (4), 768-801, 2016.
  36. "Nonparametric density and survival function estimation in the multiplicative censoring model", en collaboration avec Elodie Brunel et Valentine Genon-Catalot. Test, 25(3), 570-590, 2016.  
  37. "Nonparametric estimators for biased data", en collaboration avec Tabea Rebafka. Journal of Statistical Planning and Inference, 174, 104-128, 2016.
  38. "Density deconvolution from repeated measurements without symmetry assumption on the errors", en collaboration avec Johanna Kappus. Journal of Multivariate Analysis, 140, 21-46, 2015.
  39. "Estimation of convolution in the model with noise", en collaboration avec C. Chesneau, G. Mabon et F. Navarro. Journal of Nonparametric Statistics, 27, n°3, 286-315, 2015.
  40.  Discussion of ``Hypothesis testing by convex optimization'', en collaboration avec Céline Duval et Valentine Genon-Catalot. Electronic Journal of  Statistics, 9,  n°2, 1738-1743, 2015.
  41. "Estimation of the jump size density in a mixed compound Poisson process," en collaboration avec C. Duval, V. Genon-Catalot et J. Kappus. Scandinavian Journal of Statistics, 42, n°4, 1023-1044, 2015
  42. "Adaptive Laguerre density estimation for mixed Poisson models", en collaboration avec V. Genon-Catalot. Electronic Journal of  Statistics, 9, 1112-1148, 2015.
  43. Belomestny, D., Comte, F., Genon-Catalot, V., Masuda, H. and Reiss, M.  Lévy matters. IV. Estimation for Discretely Observed Lévy Processes. With a short biography of Paul Lévy by Jean Jacod. Lecture Notes in Mathematics, 2128. Lévy Matters. Springer, Cham, 2015. xviii+286 pp.  Chapitre : "Adaptive Estimation for Lévy processes", en  collaboration avec V. Genon-Catalot.
  44. Nonparametric density estimation in compound Poisson process using convolution power estimators, en collaboration avec Céline Duval et Valentine Genon-Catalot. Metrika, 77, n°1, 163-183, 2014.
  45. "Deconvolution estimation of onset of pregnancy with replicate observations", en collaboration avec Adeline Samson et Julien Stirnemann. Scandinavian Journal of Statistics, 41, n°2, 325-345, 2014.
  46. "Estimation/Imputation strategies for missing data in survival analysis", en collaboration avec Elodie Brunel et Agathe Guilloux, Chapter 15, 231-252. In Statistical Models and Methods for Reliability and Survival Analysis, V. Couallier, L. Gerville- Reache, C. Huber-Carol, N. Limnios, M. Mesbah (Editors), ISBN: 978-1-84821-619- 8 416 pages, Wiley-ISTE, 2014.
  47. Fast nonparametric estimation for convolutions of densities, en collaboration avec C. Chesneau et F. Navarro. The Canadian Journal of Statistics, 41, n°4, 617-636, 2013.
  48. ``Nonparametric estimation for survival data with censoring indicators missing at random," en collaboration avec Elodie Brunel et Agathe Guilloux. Journal of Statistical Planning and Inference, 143, n°10, 1653-1671, 2013.
  49. "Nonparametric estimation for stochastic differential equations with random effects," en collaboration avec Valentine Genon-Catalot et Adeline Samson.  Stochastic Processes and Their Applications, 123, n°7, 2522-2551, 2013.
  50. "Nonparametric estimation of the intensity function of a recurrent event process", en collaboration avec Olivier Bouaziz et Agathe Guilloux. Statistica Sinica, 23, n°2, 635-665, 2013.
  51. "Anisotropic adaptive kernel deconvolution", en collaboration avec Claire Lacour.  Annales de l'I.H.P., Probability and Statistics, 49, n°2, 569-609, 2013.
  52. "Adaptive functional linear regression", en collaboration avec Jan Johannes. The Annals of Statistics, 40, n°6, 2765-2797,2012.  
  53. "Density estimation of a biomedical variable subject to measurement error using an auxiliary set of replicate observations", J. Stirnemann, A. Samson et  F. Comte. Statistics in Medecine,  31, n°30,  4154-4163, 2012.
  54. "Nonparametric estimation of random effects densities in linear mixed-effects model", en collaboration avec Adeline Samson. Journal of Nonparametric Statistics, 24, n°4, 951-975, 2012.
  55. "Adaptive density estimation in the pile-up model involving measurement errors", en collaboration avec Tabea Rebafka. Electronic Journal of Statistics, 6, 2002-2037, 2012.
  56. "Density estimation for nonnegative random variables", en collaboration avec V. Genon-Catalot. Prépublication MAP5 2011-06. Abrégé et révisé sous le titre: "Convolution power kernels for density estimation".Journal of Statistical Planning and Inference, 142, n°7, 1698–1715, 2012.
  57. ``Affine fractional stochastic volatility models," en collaboration avec L. Coutin et E. Renault, Annals of Finance, 8, n°2-3, 337-378, 2012.
  58. "Data driven density estimation in presence of unknown convolution operator", en collaboration avec Claire Lacour.  Journal of the Royal Statistical Society B, 73, n°4, 601-627, 2011.
  59. ``Conditional mean residual life estimation", en collaboration avec Elodie Brunel. Journal of Nonparametric Statistics, 23, n°2, 471-495, 2011.
  60. "Estimation for Lévy processes from high frequency data within a long time interval", en collaboration avec Valentine Genon-Catalot. The Annals of Statistics, 39, n°2, 803-837, 2011.
  61. "Adaptive estimation of the conditional intensity of marker-dependent counting processes", en collaboration avec Stéphane Gaiffas et Agathe Guilloux. Annales de l'I.H.P., Probability and Statistics, 47, n°4, 1171-1196, 2011.
  62. ``Multiplicative Kalman Filtering," en collaboration avec  V. Genon-Catalot and  M. Kessler. Test, 20, n°2, 389-411, 2011.
  63. “Minimax estimation of the conditional cumulative distribution function under random censorship” en collaboration avec Elodie Brunel et Claire Lacour.  Sankhya A, 72, Part 2, 293-330, 2010. The original publication is available at sankhya.isical.ac.in.
  64. "Adaptive estimation in circular functional linear models", en collaboration avec Jan Johannes.  Mathematical Methods of Statistics, 19, n°1, 42-63, 2010.
  65. "Pointwise deconvolution with unknown error distribution", en collaboration avec Claire Lacour. Note aux C. R. Acad. Sci. Paris Ser. I  Math., Ser.I, 348, 323-326, 2010.
  66.  "Adaptive estimation of the dynamics of a discrete time stochastic volatility model", en collaboration avec C. Lacour and Y. Rozenholc.  Journal of Econometrics, 154, n°1, 59-73, 2010.
  67. "Nonparametric adaptive estimation for pure jump Lévy processes", en collaboration avec Valentine Genon-Catalot.  Annales de l'I.H.P., Probability and Statistics, 46, n°3, 595-617, 2010.
  68. "Nonparametric estimation for a stochastic volatility model", en collaboration avec Valentine Genon-Catalot et Yves Rozenholc.  Finance and Stochastics, 14, n°1, 49-80, 2010.
  69. "Nonparametric estimation for pure jump Lévy processes based on high frequency data", en collaboration avec Valentine Genon-Catalot. Stochastic Processes and their Applications, 119, n°12, 4088-4123, 2009.
  70. ``Nonparametric density estimation in presence of bias and  censoring", en collaboration avec E. Brunel et A. Guilloux. Test, 18, n°1, 166-194, 2009.
  71. ``Nonparametric adaptive estimation for integrated diffusions,'' en collaboration avec Valentine Genon-Catalot et Yves Rozenholc. Stochastic Processes and Their Applications, 119, n°3, 811-834, 2009.
  72. ``Adaptive estimation of linear functionals in the convolution model and applications", en collaboration avec Cristina Butucea. Bernoulli, 15, n°1, 69-98, 2009.
  73.  “Cumulative distribution function estimation under interval censoring case 1,” en collaboration avec Elodie Brunel. Electronic Journal of Statistics, 3, 1-24, 2009.
  74. ``Adaptive density deconvolution for dependent inputs with measurement errors'', en collaboration avec Jérôme Dedecker et  Marie-Luce Taupin. Mathematical Methods of Statistics, 17,  n° 2, 87-112, 2008.
  75. ``Model selection for additive regression models in the presence of censoring”,  en collaboration avec E. Brunel, Chapitre 1, Mathematical Methods in Survival Analysis, Reliability and Quality of Life. Edité par C. Huber, N. Limnios, M. Mesbah and M. Nikulin ISTE and Wiley, p. 17-31, 2008.
  76. ``Adaptive nonparametric strategies for censored lifetimes with unknown sampling bias", en collaboration avec E. Brunel et  A. Guilloux.  Scandinavian Journal of Statistics, 35, n°3, 557-576, 2008.
  77. ``Adaptive density estimation for general ARCH models", en collaboration avec Jérôme Dedecker et  Marie-Luce Taupin. Econometric Theory, 24, n°6, 1628-1662, 2008.
  78. ``Adaptive estimation of hazard rate with censored data", en collaboration avec Elodie Brunel, Communications in Statistics, Theory and methods, 37, n° 8, 1284-1305, 2008 .
  79. "Adaptive estimation of the conditional density in presence of censoring", en collaboration avec E. Brunel and C. Lacour. Sankhya, 69, Part 4, 734-763, 2007.
  80. ``Penalized nonparametric mean square estimation of the coefficients of diffusion processes,'' en collaboration avec Valentine Genon-Catalot et Yves Rozenholc, Bernoulli, 13, n°2, 514-543, 2007.  
  81. ``Finite sample  penalization in adaptive density deconvolution", en collaboration avec Marie-Luce Taupin et Yves Rozenholc,  Journal of Statistical Computation and Simulation, 7, n°11, 977-1000, 2007.
  82. ``Nonparametric estimation of the regression function in an errors-in-variables model", en collaboration avec M.-L. Taupin, Statistica Sinica, 17, n°3, 1065-1090, 2007. 
  83. "Nonparametric adaptive regression estimation in presence of censoring",  en collaboration avec E. Brunel,  Mathematical Methods of Statistics, 15, n° 3, 233-255, 2006.
  84. ``Penalized projection estimator for volatility density", en collaboration avec V. Genon-Catalot,  Scandinavian Journal of Statistics, 33, n° 4, 875-895, 2006. 
  85. ``Penalized contrast estimator for density deconvolution", en collaboration avec Y. Rozenholc et  M.-L. Taupin,  The Canadian Journal of Statistics, 34, 431-452, 2006.
  86. ``Penalized contrast estimation of density and hazard rate with censored data", en collaboration avec Elodie Brunel,  Sankhya, 67, Part 3, 441-475, 2005.
  87. ``Super optimal rates for nonparametric density estimation via projection estimators", en collaboration avec F. Merlevède,  Stochastic Processes and their Applications, 115, 797-826, 2005 .
  88.  ``An Algorithm for Fixed Design Regression and Denoising", en collaboration avec Y. Rozenholc, Annals of the Institute of Statistical Mathematics 56, 449-473, 2004.
  89. ``Kernel Deconvolution of Stochastic Volatility Models",  Journal of Time Series Analysis 25, 563-582, 2004.
  90. `Asymptotic Theory for Multivariate GARCH Processes", en collaboration avec O. Lieberman, Journal of Multivariate Analysis 84/1, 61-84, 2003.
  91. ``Adaptive estimation of the stationary density of discrete and continuous time mixing processes", en collaboration avec F. Merlevède, ESAIM P&S 6, 211-238, 2002.
  92. ``Adaptive estimation of mean and volatility functions in (auto-)regressive models", en collaboration avec Y. Rozenholc,  Stochastic Processes and Their Applications 97, 111-145, 2002.
  93. ``Semi-parametric estimation in the nonlinear errors-in-variables autoregressive model", en collaboration avec   M.-L. Taupin, Mathematical Methods of Statistics 10, 121-160, 2001.
  94. ``Model selection for (auto)-regression with dependent data", en collaboration avec Y. Baraud et G. Viennet, ESAIM P&S 5, 33-49, 2001.
  95. ``Adaptive estimation in an autoregression and a geometrical $\beta$-mixing regression framework", en       collaboration avec Y. Baraud et G. Viennet, Annals of Statistics 39, 839-875, 2001.
  96.  ``Second order noncausality in multivariate GARCH processes", en collaboration avec O. Lieberman, Journal of Time Series Analysis 21, 535-557, 2000.
  97. ``Adaptive Estimation of the spectrum of a stationary Gaussian sequence", Bernoulli 7, 267-298, 2001.
  98. ``Discrete and continuous time cointegration", Journal of Econometrics 88, 207-226,1999.
  99. ``Long memory in continuous time stochastic volatility models" en collaboration avec E. Renault, Mathematical    Finance 8, 291-323,1998.
  100. ``Régression sur le log périodogramme régularisé pour des processus gaussiens à densité spectrale bornée", en       collaboration avec C. Hardouin, Note aux CRAS, t.325, Série I, 1203-1206, 1997.
  101. ``Long memory continuous time models", en collaboration avec Eric Renault, Journal of Econometrics 76, 101-149, 1996.
  102.  ``Non causality in continuous time models", en collaboration avec Eric Renault, Econometric Theory 12, 215-256, 1996. 
  103. ``Simulation and estimation of long memory continuous time models", Journal of Time Series Analysis 17, 19-36, 1996.
     
 Travaux soumis pour publication :
  1. "Nonparametric moment method for McKean-Vlasov stochastic differential equations", jointly with Valentine Genon-Catalot and Catherine Larédo. Preprint Hal  0440327.
  2. "Nonparametric estimation of the transition density function for diffusion processes", jointly with Nicolas Marie. Preprint Hal 04527294.
  3. "New results for drift estimation in inhomogeneous stochastic differential equations," jointly with  Valentine Genon-Catalot. Preprint Hal  04597162.

        Documents de travail :
1.            ``Adaptive density deconvolution for circular data", en collaboration avec M.-L. Taupin. Prépublication MAP5 2003-10.
2.            ``Affine fractional stochastic volatility models with application to option pricing", en collaboration avec L. Coutin et E. Renault. Prépublication MAP5 2003-11.
3.            ``Opérateurs fractionnaires en Econométrie et en Finance". Prépublication MAP5 2001-3.
  

      Thése de Doctorat : ``Causalité, Cointégration, Mémoire Longue : Modélisation Stochastique en temps  continu, Estimation et Simulation", soutenue le 14/10/94 à Paris 1.

    Mémoire d'Habilitation : ``Quelques contributions à l'étude de la dépendance en Statistique et en Econométrie." 38p. et une version abrégée, 22p. Soutenue le 18 Décembre 2000 à Paris 6.

q       Version longue, en français, fichier ps.

q       Version longue, en anglais, fichier ps.

q       Version abrégée, en français, fichier ps.

 

 
Photo