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Mathematical statistics
Foundations of inference, estimation and limit theorems — the theoretical bedrock of rigorous data analysis.
Teacher-researcher — Statistics & Econometrics
Abdelkamel Alj
Teacher-researcher ·
- Mathematical statistics
- Time-series econometrics
- Actuarial science
- Quantitative finance
- Data science
Research and teaching in mathematical statistics, time-series econometrics, actuarial science and quantitative finance — between the Université Libre de Bruxelles and Moulay Ismail University in Meknès, for over fifteen years.
About
An academic path between Brussels and Meknès
Abdelkamel Alj is a teacher-researcher in statistics, econometrics and actuarial science at the Faculty of Legal, Economic and Social Sciences of Moulay Ismail University in Meknès. For over fifteen years he has delivered rigorous, structured university teaching, from undergraduate to doctoral level.
Holder of a Habilitation to Direct Research (HDR) in econometrics (2019) and a Doctorate in Science — mathematical statistics — from the Université Libre de Bruxelles (ULB), his research focuses on time-series modelling, in particular VARMA models with time-dependent coefficients, as well as actuarial science and mathematics applied to finance.
His work, published in peer-reviewed international journals, was carried out in close collaboration with ECARES (European Centre for Advanced Research in Economics and Statistics) in Brussels, where he completed several research visits.
- Habilitation to Direct Research (HDR), econometrics — 2019
- Doctorate in mathematical statistics — ULB, Brussels
- Over 15 years of higher education (Morocco & Europe)
- Research published in peer-reviewed international journals
At a glance
0+
years of teaching
0
degrees & habilitation
0
journal articles
0
universities (ULB · UMI)
Areas of expertise
Academic expertise
02
Time-series econometrics
Modelling economic and financial dynamics, including VARMA models with time-dependent coefficients — the core of his research.
03
Probability theory
Stochastic processes, martingales and central limit theorems for martingale difference arrays.
04
Actuarial science & risk management
Risk assessment and management, asset-liability management (ALM) and actuarial techniques for insurance and finance.
05
Quantitative finance
Stochastic finance and pricing, including valuation under stochastic-volatility models via numerical schemes.
06
Applied data science
Survey methods, data analysis and applied modelling, implemented in R, SAS, EViews and Matlab.
Tools & software
R SAS SPSS EViews Matlab LaTeX MS Office
Languages
- Arabic Native
- French Fluent
- English Fluent
- Dutch Professional
- German Basic
Career
Experience & education
- 2014 — … Experience
Teacher-researcher (Full higher-education professor)
Dept. of Economics and Management, FSJES — Moulay Ismail University, Meknès
- Bachelor: descriptive statistics, probability, algebra; sampling and estimation
- Master: actuarial science, survey techniques and data analysis
- Doctoral level: advanced econometric modelling
- 2019 Education
Habilitation to Direct Research (HDR) — Econometrics
Moulay Ismail University, Meknès
- 2018 — 2024 Experience
Adjunct teaching
USMBA Fès (WISD & MEA Masters) · ARM Meknès
- Modelling and simulation, financial econometrics, panel econometrics
- R / SAS / EViews applications; probability and statistics
- 2008 — 2014 Experience
Lecturer — Department of Mathematics
Faculty of Sciences, Université Libre de Bruxelles (ULB), Belgium
- General mathematics; probability and statistics; time series
- Master: experimental design, statistical software
- Engineering programme: probability and statistics
- 2012 Education
Doctorate in Science — Mathematical statistics
Université Libre de Bruxelles (ULB)
- Thesis: “Contribution to the estimation of VARMA models with time-dependent coefficients”
- Advisors: Guy Mélard and Siegfried Hörmann
- 2008 Education
Master in Mathematics — Statistics
Université Libre de Bruxelles (ULB)
- 2005 Education
Master in Actuarial Science
Université Libre de Bruxelles (ULB)
Professional experience
2010
Statistician
BARDS Department, Merck, Brussels
2 months
2007
Actuary — ALM & Risk Management
Generali, Brussels
6 months
2007
Business Analyst — Carrier Business & Wholesales
Mobistar, Brussels
3 months
Affiliations & learned societies
2017 — …
Société Marocaine des Mathématiques Appliquées (SM2A)
Active member
2015 — …
Groupe OMEGA — Outils Mathématiques en Économie, Gestion et Actuariat
LERES Laboratory, FSJES — Moulay Ismail University, Meknès
2007 — 2016
ECARES — European Centre for Advanced Research in Economics and Statistics
Research collaboration & scientific visits, ULB, Brussels
2007 — 2014
Département de mathématiques — Université Libre de Bruxelles (ULB)
Teaching and research in statistics and applied econometrics
Research
Publications
Journal articles
2024
General estimation results for tdVARMA array models
Alj A., Mélard G., Azrak R.
Journal of Time Series Analysis (Wiley)
Generalises estimation results for time-dependent VARMA array models, a unified framework for the asymptotic inference of such processes.
DOI: 10.1111/jtsa.12761 2018
Pricing under the Beta Stochastic Volatility Model using ADI schemes
Alj A., Benjouad A.
Applied Mathematical Sciences — vol. 17, 825–840
Prices options under a Beta stochastic-volatility model, solved via alternating-direction-implicit (ADI) numerical schemes.
2017
Asymptotic properties of QML estimators for time-dependent VARMA models
Alj A., Mélard G., Ley C., Azrak R.
Scandinavian Journal of Statistics — vol. 44, 617–635
Establishes the consistency and asymptotic normality of quasi-maximum-likelihood estimators for VARMA models whose coefficients evolve over time.
DOI: 10.1111/sjos.12268 2016
The exact Gaussian likelihood estimation of time-dependent VARMA models
Alj A., Jónasson K., Mélard G.
Computational Statistics & Data Analysis — vol. 100, 633–644
Introduces an efficient algorithm, based on a block-band Cholesky decomposition, to evaluate exactly the Gaussian likelihood of time-varying VARMA processes.
DOI: 10.1016/j.csda.2014.07.006 2014
On conditions in central limit theorems for martingale difference arrays
Alj A., Mélard G., Azrak R.
Economics Letters — vol. 123, 305–307
Clarifies and refines the conditions of central limit theorems for martingale difference arrays, essential tools for time-series inference.
View on ScienceDirectOther contributions
2023
La durabilité de la chaîne d’approvisionnement en fruits et légumes à l’épreuve de la Covid-19 : cas de la ville de Meknès
Saidi A., Bouhid L., Napoleone C., El Hadad-Gauthier F., Moussalim S., Alj A.
Développement durable et territoires, vol. 13 (2)
2022
Good governance and digitalization in Morocco: state of the art
Bennis Nechba Z., Boujibar A., Alj A.
International Journal of Business and Technology Studies and Research, vol. 4 (1)
2017
Technical appendix to “Asymptotic properties of QML estimators for VARMA models with time-dependent coefficients”
Alj A., Mélard G., Ley C., Azrak R.
ECARES Working Paper 2016-42, ULB
Talks & conferences
- 2018
Some important results on time series with time-dependent coefficients
2nd National Colloquium on Decision-Making Economic Techniques (TED), FSJES Meknès
- 2015
QML estimators for VARMA models with time-dependent coefficients (Parts I & II)
SFdS Statistics Days (Lille) · Econometrics for Finance Days (Rabat)
- 2013
The exact Gaussian likelihood estimation of time-dependent VARMA models
6th International Conference of the ERCIM, University of London
- 2012
The exact Gaussian likelihood of time-dependent VARMA models with Matlab
International Statistical Analysis Days, Oujda
Research visits
2015 — 2016
Visiting professor
ECARES, ULB, Brussels (visits, with G. Mélard and C. Ley)
2007
Research assistant
ECARES, ULB, Brussels (with E. Cantillon)
Pedagogy
Teaching & pedagogical work
Courses by level
Bachelor
- Descriptive statistics
- Probability
- Algebra
- Sampling & estimation
- Time series
Master
- Actuarial science
- Survey techniques & data analysis
- Financial econometrics
- Panel econometrics
- Experimental design & statistical software
Doctoral level
- Advanced econometric modelling
- Modelling & simulation
Books & lecture notes
Thematic probability exam annals, with solutions
Éd. Sijilmassa · 2017 / 2018
Lecture notes: Sampling & Estimation — course and solved exercises
Éd. Sijilmassa · 2018 / 2019