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WINTENBERGER Olivier
Associate professor
Olivier.WINTENBERGER@ceremade.dauphine.fr
Phone : 01 44 05 45 16
Office : B513
Website : http://wintenberger.fr
Current Position - Status
Department of attachment : MIDO
Centre of Research : Mathématiques (CEREMADE)
Former positions
Post-doctorate position in Copenhagen, Danemark (2007-2008)
Teaching assistant at the University Paris 1
Education and qualification
Ph.D.
Mathématiques appliquées et applications (2007 - Paris1 Panthéon-Sorbonne)Master (Search) specialty : Modélisation Aléatoire (2004 - Paris 7 Denis Diderot)
Fields of teaching, research and professionnal competence
Fields of teaching
- Mathematical Statistics
- Econometrics
Fields of research
- Applied Mathematics
- Time series statistics
Areas of Expertise
- Discrete time process prediction
Publications of WINTENBERGER Olivier
2013
Articles
- Wintenberger, Olivier ; Mikosch, Thomas . The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Probability Theory and Related Fields. 2013. Springer. DOI http://dx.doi.org/10.1007/s00440-013-0504-1.
Working Papers
- Wintenberger, Olivier . Continuous invertibility and stable QML estimation of the EGARCH(1,1) model. Université Paris-Dauphine . 2013 .
2012
Articles
- Wintenberger, Olivier ; Mikosch, Thomas . Precise large deviations for dependent regularly varying sequences. Probability Theory and Related Fields. 2012. Springer. DOI http://dx.doi.org/10.1007/s00440-012-0445-0.
Working Papers
- Wintenberger, Olivier . QML estimation of the continuously invertible EGARCH(1,1) model. Université Paris-Dauphine . 2012 .
- Zakoïan, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian . GARCH models without positivity constraints: Exponential or Log GARCH?. Université Paris-Dauphine . 2012 .
- Wintenberger, Olivier ; Li, Xiaoyin ; Alquier, Pierre . Prediction of time series by statistical learning: general losses and fast rates. Université Paris Dauphine . 2012 .
- Wintenberger, Olivier . Weak transport inequalities and applications to exponential inequalities and oracle inequalities. Université Paris-Dauphine . 2012 .
- Wintenberger, Olivier ; Alquier, Pierre . Fast rates in learning with dependent observations. Université Paris-Dauphine . 2012 .
Books
- Wintenberger, Olivier . Contributions à la statistique des processus : estimation, prédiction et extrêmes. Paris. Université Paris-Dauphine . 2012 . pages 51 . ISBN .
2011
Articles
- Wintenberger, Olivier ; Mikosch, Thomas ; Jakubowski, Adam ; Bartkiewicz, Katarzyna . Stable limits for sums of dependent infinite variance random variables. Probability Theory and Related Fields. Volume 150. n° 3-4. 2011. pages 337-372. Springer. DOI http://dx.doi.org/10.1007/s00440-010-0276-9.
Conference Contributions
- Cai, Sixiang ; Wintenberger, Olivier . Parametric inference and forecasting in continuously invertible volatility models. 4th International Conference of the ERCIM WG on COMPUTING & STATISTICS (ERCIM'11). Londres. Royaume-Uni. 2011.
Working Papers
- Wintenberger, Olivier ; Trashorras, José . Large deviations for bootstrapped empirical measures. Université Paris-Dauphine . 2011 .
2010
Articles
- Wintenberger, Olivier . Deviation inequalities for sums of weakly dependent time series. Electronic Communications in Probability. Volume 15. n° Paper 44. 2010. pages 489-503.
Working Papers
- Bardet, Jean-Marc ; Kengne, William Chakry ; Wintenberger, Olivier . Detecting multiple change-points in general causal time series using penalized quasi-likelihood. Université Paris-Dauphine . 2010 .
2009
Conference Contributions
- Wintenberger, Olivier ; Alquier, Pierre . Model selection and randomization for weakly dependent time series forecasting. 41èmes Journées de Statistique, SFdS, Bordeaux. Bordeaux, France. France. 2009.
