Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante
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References listed on IDEAS
- Phillipe Lambert & J. K. Lindsey, 1999. "Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 48(3), pages 409-424.
- Beirlant, Jan & Goegebeur, Yuri, 2003. "Regression with response distributions of Pareto-type," Computational Statistics & Data Analysis, Elsevier, vol. 42(4), pages 595-619, April.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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Keywordsfat-tailed distribution; generalized Pareto; conditional density estimation; distribution à queue épaisse; Pareto généralisée; estimation de densité conditionnelle;
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