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Michael Allouche
Michael Allouche
Unknown affiliation
Verified email at polytechnique.edu
Title
Cited by
Cited by
Year
EV-GAN: Simulation of extreme events with ReLU neural networks
M Allouche, S Girard, E Gobet
Journal of Machine Learning Research 23 (150), 1-39, 2022
152022
A refined Weissman estimator for extreme quantiles
M Allouche, J El Methni, S Girard
Extremes 26 (3), 545-572, 2023
132023
Estimation of extreme quantiles from heavy-tailed distributions with neural networks
M Allouche, S Girard, E Gobet
Statistics and Computing 34 (1), 12, 2024
92024
Tail-GAN: Simulation of extreme events with ReLU neural networks
M Allouche, S Girard, E Gobet
preprint, hal 3250663, 2021
72021
A generative model for fBm with deep ReLU neural networks
M Allouche, S Girard, E Gobet
Journal of Complexity 73, 101667, 2022
42022
Structured dictionary learning of rating migration matrices for credit risk modeling
M Allouche, E Gobet, C Lage, E Mangin
Computational Statistics, 1-26, 2024
12024
Learning extreme Expected Shortfall with neural networks. Application to cryptocurrency data
M Allouche, S Girard, E Gobet
12023
Contributions to generative modeling and dictionary learning: theory and application
M Allouche
Institut Polytechnique de Paris, 2022
12022
On the approximation of extreme quantiles with ReLU neural networks
M Allouche, S Girard, E Gobet
EVA 2021-12th International Conference on Extreme Value Analysis, 2021
12021
Reduced-bias estimation of the extreme conditional tail expectation for Box–Cox transforms of heavy-tailed distributions
M Allouche, J El Methni, S Girard
Journal of Statistical Planning and Inference 233, 106189, 2024
2024
Robust aggregation of crypto data
M ALLOUCHE, M ECHENIM, E GOBET, AC MAURICE
2024
On the simulation of extreme events with neural networks
M Allouche, S Girard, E Gobet
2024
On the simulation of extreme events with neural networks
S Girard, M Allouche, E Gobet
55èmes Journées de Statistique, 2024
2024
Estimation of extreme risk measures with neural networks
M Allouche, E Gobet, S Girard
SIAM Conference on Uncertainty Quantification, 2024
2024
Neural networks based learning applied to extreme statistics and sampling rare events
M Allouche, S Girard, E Gobet, J Pachebat
SIAM Conference on Uncertainty Quantification, 2024
2024
On the estimation of extreme quantiles with neural networks
M Allouche, S Girard, E Gobet
Journée" Evénements extrêmes et risques", 2023
2023
Generative modeling of extremes with neural networks
M Allouche, S Girard, E Gobet
2023-Accelerating Generative Models and Nonconvex Optimisation Workshop, 2023
2023
Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data
M Allouche, M Echenim, E Gobet, AC Maurice
2023
Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data
M Allouche, S Girard, E Gobet
neural networks 60 (62G32), 68T07, 2023
2023
Estimation of extreme expected shortfall with neural networks
M Allouche, S Girard, E Gobet
CMStatistics 2023-16th International Conference of the ERCIM WG on …, 2023
2023
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