Publications

Papers

  • Anne-Laure Fougères, Cécile Mercadier and John P. Nolan Estimating semi-parametric models for multivariate extreme value data Working Paper.

  • Quentin Sebille, Anne-Laure Fougères, Cécile Mercadier Modeling extreme rainfall: A comparative study of spatial extreme value models Submitted (2016).

  • François Wahl, Cécile Mercadier and Céline Helbert A standardized distance-based index to assess the quality of space-filling designs Statistics and Computing (2016).
    {Other link}

  • Laurens de Haan, Cécile Mercadier and Chen Zhou Adapting extreme value statistics to financial time series: dealing with bias and serial dependence Finance and Stochastics Volume 20, Issue 2, 321–354 (2016).
    {Manuscript on HAL} {Other link}

  • Anne-Laure Fougères, Laurens de Haan and Cécile Mercadier Bias correction in multivariate extremes Annals of Statistics 43 (2), 903-934 (2015).
    {Manuscript on arxiv} {Other link}

  • Juan-Juan Cai, Anne-Laure Fougères and Cécile Mercadier Environmental data: multivariate Extreme Value Theory in practice Journal de la Société Française de Statistique 154(2), 178-199 (2013).
    {Manuscript on SFdS website} {Other link}

  • Anne-Laure Fougères, Cécile Mercadier and John P. Nolan Dense classes of multivariate extreme value distributions Journal of Multivariate Analysis 116, 109-129 (2013).
    {Manuscript on HAL} {Other link}

  • Cécile Mercadier and Philippe Soulier Optimal rates of convergence in the Weibull model based on kernel-type estimators Statistics and Probability letters, 82(3), 548-556 (2012).
    {Manuscript on HAL} {Other link}

  • Anne-Laure Fougères and Cécile Mercadier Risk measures and multivariate extensions of Breiman’s theorem Journal of Applied Probability 49, 1-21 (2012).
    {Manuscript on HAL} {Other link}

  • Gabriela Ciuperca and Cécile Mercadier Semi-parametric estimation for heavy tailed distributions Extremes Vol. 13 (1), p. 55–87 (2010).
    {Manuscript on HAL} {Other link}

  • Jean-Marc Azaïs, Sébastien Gadat, Jean-Christophe Lévy, Benjamin Rols, Cécile Mercadier and Norbert Suard GNSS Integrity Achievement by using Extreme Value theory ION GNSS (2009).
    {Manuscript}

  • Jean-Marc Azaïs, Elisabeth Gassiat and Cécile Mercadier The likelihood ratio test for general mixture models with possibly structural parameter ESAIM: PS Vol. 13, p. 301–327 (2009).
    {Manuscript}

  • Cécile Mercadier Numerical bounds for the distribution of the maximum of one- and two-dimensional processes Advances in Applied Probability 38, no. 1, 149-170 (2006).
    {Manuscript}

  • Jean-Marc Azaïs, Elisabeth Gassiat and Cécile Mercadier Asymptotic distribution and local power of the likelihood ratio test for mixtures Bernoulli 12, no. 5, 775-799 (2006).
    {Manuscript}

  • Jean-Marc Azaïs and Cécile Mercadier Asymptotic poisson character of extremes in non-stationary Gaussian models Extremes 6(4) 301-318 (2005).
    {Manuscript}

PhD Thesis

Extrema de processus stochastiques. Propriétes asymptotiques de tests d'hypothèses. Defended on 1st July 2005.
Adviser: Jean-Marc Azaïs.
{Thesis Manuscript}

Research report or unpublished paper

  • Quentin Sebille, Anne-Laure Fougères, Cécile Mercadier A comparison of spatial extreme value models. Application to precipitation data (2016) The main difference with the paper Modeling extreme rainfall: A comparative study of spatial extreme value models is the relevance of the dataset. Actually, this has a huge impact on the comparison.
    {Manuscript on HAL}

  • Sébastien Gadat and Cécile Mercadier Application de la Théorie des extrêmes à la mesure d'intégrité (2009)

  • Cécile Mercadier Almost sure max-limit theorem for non-stationary Gaussian sequences (2006).
    Amazing but submitted at the same time and to the same journal as {Link} Unlucky Cécile!

Toolbox

  • Anne-Laure Fougères, Cécile Mercadier and John P. Nolan R package mvevd (Soon!)

  • Cécile Mercadier MAGP, Maximum Analysis for Gaussian Processes on Matlab (2006)
    {Website link}