Publications
Articles in peer-reviewed journals :
Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2024). Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles. Statistics and Computing, 34, 130. hal stat&co
Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2024). An expectile computation cookbook. Statistics and Computing, 34, 103. hal stat&co
Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2023). Inference for extremal regression with dependent heavy-tailed data. Annals of Statistics, 51(5): 2040-2066. hal aos
Stupfler, G. and Usseglio-Carleve, A. (2023). Composite bias-reduced Lp-quantile-based estimators of extreme quantiles and expectiles. Canadian Journal of Statistics, 51(2): 704-742. hal cjs
Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2023). Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions. Royal Society Open Science, 10: 220977. hal rsos
Arbel, J., Girard, S., Nguyen, H. and Usseglio-Carleve, A. (2023). Multivariate expectile-based distribution: properties, Bayesian inference, and applications. Journal of Statistical Planning and Inference, 225: 146-170. hal jspi Github package
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2022). On automatic bias reduction for extreme expectile estimation. Statistics and Computing, 32, 64. hal stat&co Github package
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2022). Nonparametric extreme conditional expectile estimation. Scandinavian Journal of Statistics, 49:78-115. hal sjs
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2022). Functional estimation of extreme conditional expectiles. Econometrics & Statistics, 21:131-158. hal ecosta
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2021). Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models. Annals of Statistics, 49(6):3358-3382. hal aos
Ag Ahmad, A., Deme, E., Diop, A., Girard, S. and Usseglio-Carleve, A. (2020). Estimation of extreme quantiles of heavy-tailed distributions in a location-dispersion regression model. Electronic Journal of Statistics, 14(2):4421-4456. hal ejs
Usseglio-Carleve, A. (2018). Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors. Electronic Journal of Statistics, 12(2):4057–4093. hal ejs
Maume-Deschamps, V., Rullière, D. and Usseglio-Carleve, A. (2018). Spatial expectile predictions for elliptical random fields. Methodology and Computing in Applied Probability, 20(2):643–671. hal mcap
Maume-Deschamps, V., Rullière, D. and Usseglio-Carleve, A. (2017). Quantile predictions for elliptical random fields. Journal of Multivariate Analysis, 159:1–17. hal jmva
Chapter in a book :
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2021). Extreme Lp−quantile kernel regression. Advances in Contemporary Statistics and Econometrics, Springer, 197-219. link
Articles submitted or in revision :
Daouia, A., Stupfler, G. and Usseglio-Carleve, A. (2024). A unified theory of extreme Expected Shortfall inference. hal
Girard, S., Opitz, T. and Usseglio-Carleve, A. (2023). ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes. hal
Hambuckers, J., Kratz, M. and Usseglio-Carleve, A. (2023). Efficient estimation in extreme value regression models of hedge fund tail risks. arxiv
Ashurbekova, K., Usseglio-Carleve, A., Forbes, F. and Achard, S. (2019). Optimal shrinkage for robust covariance matrix estimators in a small sample size setting. hal
Girard, S., Stupfler, G. and Usseglio-Carleve, A. (2019). An Lp−quantile methodology for tail index estimation. hal
Thesis :
Usseglio-Carleve, A. (2018). Estimation de mesures de risque pour des distributions elliptiques conditionnées. hal