Fabienne Comte is a French statistician known for her research on topics including

statistical finance Statistical finance, is the application of econophysics to financial markets. Instead of the normative roots of finance, it uses a positivist framework. It includes exemplars from statistical physics with an emphasis on emergent or collective p ...

stochastic volatility In statistics, stochastic volatility models are those in which the variance of a stochastic process is itself randomly distributed. They are used in the field of mathematical finance to evaluate derivative securities, such as options. The name ...

autoregressive conditional heteroskedasticity In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time ...

, and

deconvolution In mathematics, deconvolution is the operation inverse to convolution. Both operations are used in signal processing and image processing. For example, it may be possible to recover the original signal after a filter (convolution) by using a de ...

. She is a professor in the unit for mathematics and computer science at the

University of Paris The University of Paris (french: link=no, Université de Paris), Metonymy, metonymically known as the Sorbonne (), was the leading university in Paris, France, active from 1150 to 1970, with the exception between 1793 and 1806 under the French Revo ...

Education and career

Comte studied mathematics at ENS Cachan and

Paris-Sud University Paris-Sud University (French: ''Université Paris-Sud''), also known as University of Paris — XI (or as Université d'Orsay before 1971), was a French research university distributed among several campuses in the southern suburbs of Paris, i ...

, earning a licentiate in 1988, a master's degree in 1989, and an

agrégation In France, the ''agrégation'' () is a competitive examination for civil service in the French public education system. Candidates for the examination, or ''agrégatifs'', become ''agrégés'' once they are admitted to the position of ''profess ...

in 1990, with a specialty in probability. She earned a

diplôme d'études approfondies A Master of Advanced Studies or Master of Advanced Study (MAS, M.A.S., or MASt) is a postgraduate degree awarded in various countries. Master of Advanced Studies programs may be non-consecutive programs tailored for "specific groups of working pro ...

in 1991, through a cooperative program with

Paris 1 Panthéon-Sorbonne University University of Paris 1 Panthéon-Sorbonne (french: Université Paris 1 Panthéon-Sorbonne, links=yes), also known as Paris 1 or Panthéon-Sorbonne University, is a public research university located in Paris, France. It was created in 1971 from ...

, the

École Polytechnique École may refer to: * an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée) * École (river), a tributary of the Seine The Seine ( , ) is a river in northern Franc ...

, and

ENSAE ParisTech ENSAE Paris (officially École nationale de la statistique et de l'administration économique Paris) is a university in France, known as Grandes Ecoles and a member of IP Paris ( Institut Polytechnique de Paris). ENSAE Paris is known as the spe ...

, and completed her doctorate in applied mathematics in 1994 through Paris 1 with the thesis ''Causalité, Cointégration, Mémoire Longue : Modélisation Stochastique en temps continu, estimation et simulation'', supervised by mathematical economist Eric Renault. She worked as maître de conférences at

Pierre and Marie Curie University Pierre and Marie Curie University (french: link=no, Université Pierre-et-Marie-Curie, UPMC), also known as Paris 6, was a public research university in Paris, France, from 1971 to 2017. The university was located on the Jussieu Campus in the ...

from 1995 until 2001, earning a

habilitation Habilitation is the highest university degree, or the procedure by which it is achieved, in many European countries. The candidate fulfills a university's set criteria of excellence in research, teaching and further education, usually including ...

there in 2000. In 2001 became professor at

Paris Descartes University Paris Descartes University (french: Université Paris 5 René Descartes, links=no), also known as Paris V, was a French public university located in Paris. It was one of the inheritors of the historic University of Paris, which was split into 13 ...

, which merged into the University of Paris in 2019.

Book

Comte is the author of the book ''Estimation non-paramétrique'' 'Nonparametric estimation'' published in 2015.

References

External links

Home page
* {{DEFAULTSORT:Comte, Fabienne Year of birth missing (living people) Living people French statisticians Women statisticians