[SFdS] Information du groupe Risques AEF
WG Risk - 26th October 2023 - Prof. Davy Paindaveine

Dear All,

We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, Fondation des Sciences de la Modélisation (CY), the group Risques AEF (SFdS), to invite you to the seminar by:

Prof. Davy Paindaveine
Department of Statistics, Université Libre de Bruxelles, Belgium

Date: Thursday, October 26, at 12:30pm (Paris) and 6:30pm (Singapore)

Dual format: ESSEC Paris La Défense (CNIT), Room TBA
and via Zoom, please click here (Password/Code : 915716)

« Recent results on spatial/geometric quantiles and their extensions »

Spatial quantiles (sometimes called geometric quantiles) are among the most successful concepts of multivariate quantiles. In this talk, we present some recent results on these quantiles and on their extensions. First, we discuss natural M-extensions of these quantiles, that provide in particular a spatial concept of expectiles. Second, we investigate the robustness of spatial quantiles, in terms of their finite-sample breakdown point. Last, while spatial quantiles have been limited so far to flat spaces, we present an extension of this concept to distributions on the sphere or hyperspheres; this provides in particular a new concept of depth in directional statistics, which finds natural applications in high-dimensional supervised classification.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)

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