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Publications

by members of

Université Pierre et Marie Curie (Paris 6-Jussieu) → Laboratoire de Statistique Théorique et Appliquée

University of Paris 6 → Laboratory of Theoretical and Applied Statistics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2020

  1. Nicklas Werge & Olivier Wintenberger, 2020, "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers, arXiv.org, number 2006.02077, Jun, revised Jan 2021.

2017

  1. Rasmus Pedersen & Olivier Wintenberger, 2017, "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Papers, arXiv.org, number 1701.05091, Jan, revised Dec 2017.

2016

  1. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016, "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers, arXiv.org, number 1610.02863, Oct.
  2. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2016, "Goodness-of-fit tests for Log-GARCH and EGARCH models," Post-Print, HAL, number hal-05417313, Oct, DOI: 10.1007/s11749-016-0506-2.
  3. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016, "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-082/III, Oct.

2015

  1. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015, "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-131/III, Dec.

2013

  1. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2013, "GARCH models without positivity constraints: Exponential or log GARCH?," Post-Print, HAL, number hal-05417502, Nov, DOI: 10.1016/j.jeconom.2013.05.004.
  2. Wintenberger, Olivier, 2013, "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper, University Library of Munich, Germany, number 46027, Jan.

2005

  1. Paul Doukhan & Olivier Wintenberger, 2005, "An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions," Working Papers, Center for Research in Economics and Statistics, number 2005-51.

Journal articles

2026

  1. Matsui, Muneya & Mikosch, Thomas & Wintenberger, Olivier, 2026, "Moments for self-normalized partial sums," Stochastic Processes and their Applications, Elsevier, volume 192, issue C, DOI: 10.1016/j.spa.2025.104810.

2025

  1. Matsui, Muneya & Mikosch, Thomas & Wintenberger, Olivier, 2025, "Self-normalized partial sums of heavy-tailed time series," Stochastic Processes and their Applications, Elsevier, volume 190, issue C, DOI: 10.1016/j.spa.2025.104729.
  2. Camila Fernandez & Pierre Gaillard & Joseph de Vilmarest & Olivier Wintenberger, 2025, "Online convex optimization for survival analysis: an adaptive and stochastic approach," Statistical Papers, Springer, volume 66, issue 4, pages 1-44, June, DOI: 10.1007/s00362-025-01706-w.

2024

  1. Joseph de Vilmarest & Olivier Wintenberger, 2024, "Viking: variational Bayesian variance tracking," Statistical Inference for Stochastic Processes, Springer, volume 27, issue 3, pages 839-860, October, DOI: 10.1007/s11203-024-09312-7.
  2. Eric Adjakossa & Yannig Goude & Olivier Wintenberger, 2024, "Kalman recursions Aggregated Online," Statistical Papers, Springer, volume 65, issue 2, pages 909-944, April, DOI: 10.1007/s00362-023-01410-7.
  3. Nicolas Meyer & Olivier Wintenberger, 2024, "Multivariate Sparse Clustering for Extremes," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 547, pages 1911-1922, July, DOI: 10.1080/01621459.2023.2224517.

2023

  1. Buriticá, Gloria & Mikosch, Thomas & Wintenberger, Olivier, 2023, "Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference," Stochastic Processes and their Applications, Elsevier, volume 161, issue C, pages 68-101, DOI: 10.1016/j.spa.2023.03.013.

2022

  1. Sebastian Mentemeier & Olivier Wintenberger, 2022, "Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model," Journal of Time Series Analysis, Wiley Blackwell, volume 43, issue 5, pages 750-780, September, DOI: 10.1111/jtsa.12637.
  2. Werge, Nicklas & Wintenberger, Olivier, 2022, "AdaVol: An Adaptive Recursive Volatility Prediction Method," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 19-35, DOI: 10.1016/j.ecosta.2021.01.004.
  3. Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier, 2022, "Contrast estimation of time-varying infinite memory processes," Stochastic Processes and their Applications, Elsevier, volume 152, issue C, pages 32-85, DOI: 10.1016/j.spa.2022.06.005.

2019

  1. Kulik, Rafał & Soulier, Philippe & Wintenberger, Olivier, 2019, "The tail empirical process of regularly varying functions of geometrically ergodic Markov chains," Stochastic Processes and their Applications, Elsevier, volume 129, issue 11, pages 4209-4238, DOI: 10.1016/j.spa.2018.11.014.
  2. Mikosch, Thomas & Rezapour, Mohsen & Wintenberger, Olivier, 2019, "Heavy tails for an alternative stochastic perpetuity model," Stochastic Processes and their Applications, Elsevier, volume 129, issue 11, pages 4638-4662, DOI: 10.1016/j.spa.2018.12.008.

2018

  1. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2018, "Goodness-of-fit tests for Log-GARCH and EGARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 27, issue 1, pages 27-51, March, DOI: 10.1007/s11749-016-0506-2.

2013

  1. Olivier Wintenberger, 2013, "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 40, issue 4, pages 846-867, December.
  2. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013, "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, volume 177, issue 1, pages 34-46, DOI: 10.1016/j.jeconom.2013.05.004.
  3. Alquier Pierre & Li Xiaoyin & Wintenberger Olivier, 2013, "Prediction of time series by statistical learning: general losses and fast rates," Dependence Modeling, De Gruyter, volume 1, issue 2013, pages 65-93, January, DOI: 10.2478/demo-2013-0004.

2008

  1. Doukhan, Paul & Wintenberger, Olivier, 2008, "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, volume 118, issue 11, pages 1997-2013, November.

2006

  1. Moore, L.M. & McKay, M.D. & Campbell, K.S., 2006, "Combined array experiment design," Reliability Engineering and System Safety, Elsevier, volume 91, issue 10, pages 1281-1289, DOI: 10.1016/j.ress.2005.11.024.

1985

  1. McKay, M.E. & Rabl, A., 1985, "A case study on cogeneration," Energy, Elsevier, volume 10, issue 6, pages 707-720, DOI: 10.1016/0360-5442(85)90103-3.

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