References of "Heuchenne, Cédric"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailThe variable parameters T2 chart with run rules
Faraz, Alireza ULg; Celano, Giovanni; Heuchenne, Cédric ULg et al

in Statistical Papers (2013)

The Hotelling’s T2 control chart with variable parameters (VP T2) has been shown to have better statistical performance than other adaptive control schemes in detecting small to moderate process mean ... [more ▼]

The Hotelling’s T2 control chart with variable parameters (VP T2) has been shown to have better statistical performance than other adaptive control schemes in detecting small to moderate process mean shifts. In this paper, we investigate the statistical performance of the VP T2 control chart coupled with run rules. We consider two well-known run rules schemes. Statistical performance is evaluated by using a Markov chain modeling the random shock mechanism of the monitored process. The in-control time interval of the process is assumed to follow an exponential distribution. A Genetic Algorithm has been designed to select the optimal chart design parameters. We provide an extensive numerical analysis indicating that the VP T2 control chart with run rules outperforms other charts for small sizes of the mean shift expressed through the Mahalanobis distance. [less ▲]

Detailed reference viewed: 125 (12 ULg)
Full Text
See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, June)

Detailed reference viewed: 24 (14 ULg)
See detailNew issues for the Goodness-of-fit test of the error distribution : a comparison between Sinh-arscinh and Generalized Hyperbolic distribution
Hambuckers, julien ULg; Heuchenne, Cédric ULg

Scientific conference (2013, April 30)

In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional ... [more ▼]

In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional estimation and model selection procedures (Berk-Jones (1978) tests, Sarno and Valente (2004) hypothesis testing, Diks et al. (2011) weighting method), based on the local volatility estimator of Mercurio and Spokoiny (2004) and the bootstrap methodology to compare the fit performances of candidate density functions. In particular, we introduce the sinh-arcsinh distributions (Jones and Pewsey, 2009) and we show that this family of density functions provides better bootstrap IMSE and better weighted Kullback-Leibler distances. [less ▲]

Detailed reference viewed: 39 (14 ULg)
See detailNew issues for the Goodness-of-fit test of the error distribution : a comparison between Sinh-arcsinh and Generalized Hyperbolic distributions
Hambuckers, julien ULg; Heuchenne, Cédric ULg

Scientific conference (2013, April 19)

In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional ... [more ▼]

In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional estimation and model selection procedures (Berk-Jones (1978) tests, Sarno and Valente (2004) hypothesis testing, Diks et al. (2011) weighting method), based on the local volatility estimator of Mercurio and Spokoiny (2004) and the bootstrap methodology to compare the fit performances of candidate density functions. In particular, we introduce the sinh-arcsinh distributions (Jones and Pewsey, 2009) and we show that this family of density functions provides better bootstrap IMSE and better weighted Kullback-Leibler distances. [less ▲]

Detailed reference viewed: 23 (9 ULg)
Full Text
See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, April 17)

Detailed reference viewed: 19 (8 ULg)
Full Text
See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, March 07)

Detailed reference viewed: 27 (12 ULg)
Full Text
See detailEstimation from cross-sectional data under a semiparametric truncation model
de Uña-Álvarez, Jacobo; Heuchenne, Cédric ULg; Laurent, Géraldine ULg

E-print/Working paper (2013)

Cross-sectional sampling is often used when investigating inter-event times, resulting in left-truncated and right-censored data. In this paper we consider a semiparametric truncation model in which the ... [more ▼]

Cross-sectional sampling is often used when investigating inter-event times, resulting in left-truncated and right-censored data. In this paper we consider a semiparametric truncation model in which the truncating variable is assumed to belong to a certain parametric family, while nothing is assumed on lifetime and censoring distributions. The novelty of this work is in the fact that it introduces estimators of this semiparametric model in the presence of censoring. Two alternative methods are considered, based on conditional and full likelihood considerations. Asymptotic representations of the estimators for the lifetime distribution are obtained, and their weak convergence is established. The finite sample performance of the new estimators is explored through simulations, and two real data illustrations are provided. One of the conclusions of our research is that both estimators perform better than Wang's NPMLE when the parametric family for the truncation variable is valid) in the sense of the integrated mean squared error, and that the full likelihood approach is preferable to the conditional likelihood approach for the estimation of the lifetime distribution but not necessarily for the estimation of the truncation distribution. [less ▲]

Detailed reference viewed: 13 (2 ULg)
Full Text
Peer Reviewed
See detailPenalized Pro led Semiparametric Estimating Functions
Wang, Lan; Kai, Bo; Heuchenne, Cédric ULg et al

in Electronic Journal of Statistics (2013), 7

Detailed reference viewed: 8 (0 ULg)
Full Text
Peer Reviewed
See detailOptimal T2 control chart with double sampling scheme - an alternative to the MEWMA chart
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Saniga, Erwin

in Quality and Reliability Engineering International (2012), 28(7), 751-760

Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the ... [more ▼]

Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the literature yet. In this paper, the economic statistical design of the DS T2 control chart is designed to address this issue. In this regard, upon the Lorenzen and Vance (1986)’s economic model, the problem is formulized and then the cost function is minimized using the genetic algorithm search method to obtain the optimal design parameters. Besides, we assumed that the length of the time that process remains in control is exponentially distributed. Through an illustrative example we show that by applying the proposed method relatively large benefits can be achieved in a comparison with the classical T2 and the statistical DS T2 charts. Furthermore the performance of the ESD DS T2 charts is compared to the MEWMA and other variable ratio sampling (VRS) T2 control charts in the literature. [less ▲]

Detailed reference viewed: 72 (23 ULg)
Full Text
See detailError distribution estimation in nonparametric regression with right censored selection biased data
Laurent, Géraldine ULg; Heuchenne, Cédric ULg

Conference (2012, October 25)

In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and ... [more ▼]

In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and sigma²(X) =Var[Y|X] are unknown smooth functions. The problem is to estimate the cumulative distribution function of the error in a nonparametric way when the couple (X;Y) is subject to generalized bias selection while the positive response Y can be right-censored. We propose a new estimator for the error distribution function. Asymptotic properties of the proposed estimator are established, namely the rate of convergence and the limiting distribution. A bootstrap procedure is developed to solve the critical problem of the smoothing parameter choice. The performance of the proposed estimator is investigated through simulations. Finally, a data set based on the mortality of diabetics is analyzed. [less ▲]

Detailed reference viewed: 10 (1 ULg)
Full Text
See detailConditional asset allocation: Does Market-Wide Liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

E-print/Working paper (2012)

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a ... [more ▼]

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a single-period investor with a relative risk aversion of 5, and use the nonparametric approach of Brandt (1999) to directly express optimal portfolio weights as functions of market-wide liquidity innovations. We find, first, that the effect of market-wide liquidity is a decreasing function of investment horizon. Second, this effect is stronger in allocations in the small stock portfolio and gets weaker as we move towards the large stock portfolio. Third, conditional allocations in risky asset(s) decrease and exhibit shifts towards more liquid and less risky assets as market-wide liquidity worsens. Overall, our results show that allocations based on market-wide liquidity as a signal capture many phenomena that have been identified by researchers in the US market, such as the so-called “flight-to-safety”, flight-to-quality” and “flight-to-liquidity” episodes. Furthermore, in an out-of-sample test, results demonstrate the superior performance of a strategy based on market-wide liquidity compared to a benchmark strategy. [less ▲]

Detailed reference viewed: 53 (11 ULg)
See detailConditional Asset Allocation: Does Market-Wide Liquidity Matter?
Sougné, Danielle ULg; Heuchenne, Cédric ULg; Bazgour, Tarik ULg

Conference (2012, September 19)

Detailed reference viewed: 44 (11 ULg)
Full Text
See detailAsymptotic properties of the error distribution estimation in right censored and selection biased regression models
Laurent, Géraldine ULg; Heuchenne, Cédric ULg

Conference (2012, June 16)

Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with ... [more ▼]

Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with unknown distribution, is independent of the covariate X. The pair (X,Y) is subject to generalized bias selection and the response Y to right censoring. We define a new estimator for the cumulative distribution function of the error epsilon, where the estimators of m(.) and sigma^2(.) are obtained by extending the conditional estimation methods introduced in de Uña-Alvarez and Iglesias-Perez (2010). The asymptotic properties of the proposed estimator are established. A bootstrap technique is proposed to select the smoothing parameter involved in the procedure. Finally, this method is studied via extended simulations and applied to real data. [less ▲]

Detailed reference viewed: 21 (7 ULg)
Full Text
See detailSome Applications of Mathematical Statistics in Management
Heuchenne, Cédric ULg

Scientific conference (2012, March)

Detailed reference viewed: 36 (1 ULg)
Full Text
Peer Reviewed
See detailTesting for one-sided alternatives in nonparametric censored regression
Heuchenne, Cédric ULg; Pardo Fernandez, Juan-Carlos

in TEST (2012), 21(3), 498-518

Detailed reference viewed: 40 (17 ULg)
See detailEstimation under left parametric truncation and right censoring
Heuchenne, Cédric ULg; Laurent, Géraldine ULg

Scientific conference (2012)

Detailed reference viewed: 21 (7 ULg)
See detailEstimation under left parametric truncation and right censoring
Heuchenne, Cédric ULg; Laurent, Géraldine ULg

Scientific conference (2012)

Detailed reference viewed: 24 (6 ULg)