PKLM: A flexible MCAR test using Classification
Published in Psychometrika, 2025
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Publications
A neat overview of my research can be found here
Published
Combining the MGHyp Distribution with Nonlinear Shrinkage in Modeling Financial Asset Returns
Published in Journal of Empirical Finance, 2024
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MMD-based Variable Importance for Distributional Random Forest
Published in AISTATS, 2024
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Confidence and Uncertainty Assessment for Distributional Random Forests
Published in Journal of Machine Learning Research, 2023
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R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage
Published in IEEE Transactions on Signal Processing, 2023
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Imputation Scores
Published in Annals of Applied Statistics, 2023
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Heterogeneous Tail Generalized Common Factor Modeling
Published in Digital Finance, 2023
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On the Use of Random Forest for Two-Sample Testing
Published in Computational Statistics and Data Analysis, 2022
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Distributional Random Forests: Heterogeneity Adjustment and Multivariate Distributional Regression
Published in Journal of Machine Learning Research, 2022
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The Role of Time-Varying Contextual Factors in Latent Attrition Models for Customer Base Analysis
Published in Marketing Science, 2021
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Heterogeneous tail generalized COMFORT modeling via Cholesky Decomposition
Published in Journal of Multivariate Analysis, 2019
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Preprint
Parametric MMD Estimation with Missing Values: Robustness to Missingness and Data Model Misspecification
Published in arXiv, 2025
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Customer Base Analysis in Non-Contractual Settings: A Model of Customer Attrition, Transactions, and Spending
Published in HAL, 2024
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What Is a Good Imputation Under MAR Missingness
Published in HAL, 2024
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High Probability Lower Bounds for the Total Variation Distance
Published in arXiv, 2020
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