• A. Brouste (2017) Statistical Inference in Financial and Insurance Mathematics with R, ISTE Press - Elsevier, 202 p. [book, erratum].
  • [25] A. Brouste, C. Cai, M. Soltane and L. Wang, Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise, Statistical Inference for Stochastic Processes, forthcoming.
  • [24] A. Brouste, C. Dutang and T. Röhmer (2020) Closed-form Maximum Likelihood Estimator for Generalized Linear Models in the case of categorical explanatory variables: Application to insurance loss modeling, Computational Statistics, 35, 689-724 [article].
  • [23] E. Votsi and A. Brouste (2019) Confidence intervals for risk indicators in semi-Markov models: an application to wind energy production, Journal of Applied Statistics, 49(10), 1756-1773 [article].
  • [22] A. Brouste and H. Masuda (2018) Efficient estimation of stable Lévy process with symmetric jumps, Statistical Inference for Stochastic Processes, 21, 289-307 [article].
  • [21] A. Brouste and M. Fukasawa (2018) Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, The Annals of Statistics, 46(5), 2045-2061 [article].
  • [20] A. Brouste and C. Dutang (2016) Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving, Bulletin Français d'Actuariat, 16(31), 111-137 [article].
  • [19] A. Bensoussan and A. Brouste (2016) Cox-Ingersoll-Ross model for wind speed modeling and forecasting, Wind Energy, 19(7), 1355-1365 [article].
  • [18] A. Brouste, J. Istas and S. Lambert-Lacroix (2016) Conditional fractional Gaussian fields with the package FieldSim, R Journal, 8(1), 38-47 [article].
  • [17] J. Tang, A. Brouste and K. Tsui (2015) Some improvements of wind speed Markov chain modeling, Renewable Energy, 81, 52-56 [article].
  • [16] A. Brouste, C. Cai and M. Kleptsyna (2014) Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noises, Mathematical Methods of Statistics, 23(2), 103-115 [article].
  • [15] A. Bensoussan, P. Bertrand and A. Brouste (2014) A generalized linear model approach to seasonal aspects of wind speed modeling, Journal of Applied Statistics, 41(8), 1694-1707 [article].
  • [14] A. Brouste, M. Fukasawa, H. Hino, S. Iacus, K. Kamatani Y. Koike, H. Masuda, R. Nomura, Y. Shimuzu, M. Uchida and N. Yoshida (2014) The YUIMA Project : a Computational Framework for Simulation and Inference of Stochastic Differential Equations, Journal of Statistical Software, 57(4), 1-51 [article].
  • [13] A. Bensoussan, P. Bertrand, A. Brouste, N. Haouas, M. Fhima and D. Koulibaly (2014) Confidence intervals for annual wind power production, ESAIM Proceedings, 44, 150-158 [article].
  • [12] A. Brouste and C. Cai (2013) Controlled drift estimation in fractional diffusion linear systems, Stochastics and Dynamics, 13(3) [article].
  • [11] A. Brouste and S. Iacus (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, 28(4), 1529-1547 [article].
  • [10] A. Brouste and M. Kleptsyna (2012) Kalman type filter under stationary noises, Systems and Control Letters, 61, 1229-1234 [article].
  • [09] A. Brouste, M. Kleptsyna and A. Popier (2012) Design for estimation of drift parameter in fractional diffusion system, Statistical Inference for Stochastic Processes, 15(2), 133-149 [article].
  • [08] A. Bensoussan, P. Bertrand and A. Brouste (2012) Forecasting the energy produced by a windmill on a yearly basis, Stochastic Environmental Research and Risk Assessment, 26(8), 1109-1122 [article].
  • [07] A. Brouste, M. Kleptsyna and A. Popier (2011) Fractional diffusion with partial observations, Communications in Statistics - Theory and Methods, 40(19-20), 3479-3491 [article].
  • [06] A. Brouste, J. Istas and S. Lambert-Lacroix (2010) On simulation of manifold indexed fractional Gaussian fields, Journal of Statistical Software, 36(4), 1-14 [article].
  • [05] A. Brouste and M. Kleptsyna (2010) Asymptotic properties of MLE for partially observed fractional diffusion system, Statistical Inference for Stochastic Processes, 13(1), 1-13 [article].
  • [04] A. Brouste (2010) Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noise, Journal of Statistical Planning and Inference, 140, 551-558 [article].
  • [03] T. Candela, F. Renard, M. Bouchon, A. Brouste, D. Marsan, J. Schmittbuhl and C. Voisin (2009) Characterization of Fault Roughness at Various Scales: Implications of Three-Dimensional High Resolution Topography Measurements, Pure and Applied Geophysics, 166(10-11), 1817-1851 [article].
  • [02] A. Brouste, J. Istas and S. Lambert-Lacroix (2007) On fractional Gaussian random fields simulations, Journal of Statistical Software, 23(1), 1-23 [article].
  • [01] A. Brouste, F. Renard, J.-P. Gratier and J. Schmittbuhl (2007) Variety of stylolites morphologies and statistical characterization of the amount of heterogeneities in the rock, Journal of Structural Geology, 29, 422-434 [article].
Chapitre d'ouvrages
  • [C-3] A. Bensoussan and A. Brouste, Optimal bidding in wind farm management, in Optimization of Wind Energy Conversion Systems edited by K. Maalawi, IntechOpen, forthcoming.
  • [C-2] A. Bensoussan and A. Brouste (2018) Marginal Weibull diffusion model for wind speed modeling and forecasting in Renewable Energy: Forecasting and Risk Management edited by P. Drobinski, M. Mougeot, D. Picard, R. Plougonven and P. Tankov, Springer [book].
  • [C-1] A. Bensoussan, P. Bertrand and A. Brouste (2015) Estimation theory for GLM in Future Perspectives in Risk Models and Finance edited by A. Bensoussan, D. Guegan and C. Tapiero, Springer [book].
  • [P-3] A. Bensoussan, A. Brouste, F.-B. Cartiaux, C. Mathey and L. Mertz, Mathematical formulation of a dynamical system with dry friction subjected to external forces, submitted, hal-01981056.
  • [P-2] A. Brouste, F.-B. Cartiaux and J. Semiao, Testing the accuracy of BWIM systems, submitted, hal-01894264.
  • [P-1] A. Brouste, M. Soltane and E. Votsi, One-step estimation for the fractional Gaussian noise model at high-frequency, submitted, hal-01981056.
Document de travail
  • [D-1] A. Brouste, A. Matoussi, T. Röhmer, C. Dutang, V. Désert, E. Gales, P. Golhen, B. Milleville and W. Lekeufack, Solvency tuned premium for a composite loss distribution [article].
Mémoires scientifiques
  • A. Brouste (2014) Contributions à la statistique des processus fractionnaires, Mémoire d'Habilitation à Diriger des Recherches, Université du Maine [pdf].
  • A. Brouste (2006) Etude d'un processus bifractal et application statistique en géologie, Thèse de Doctorat, Université Joseph Fourier Grenoble 1 [pdf].
  • Chunhao Cai (2014) Analyse statistique de quelques modèles de processus de type fractionnaire, UNAM, en codirection avec Marina Kleptsyna [pdf]. Chunhao Cai est Associated Professor à School of mathematics, Shanghai University of Finance and Economics.
  • Marius Soltane (en cours) Statistique asymptotique de diffèrents processus discrets et continus.
Séminaires et Conférences