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2025
2024
- On the Lasso for Graphical Continuous Lyapunov Models. Proceedings of Machine Learning Research , 2024Third Conference on Causal Learning and Reasoning, 514-550 more… BibTeX
- Rational maximum likelihood estimators of Kronecker covariance matrices. Algebraic Statistics 15 (1), 2024, 145-164 more… BibTeX
- High-dimensional undirected graphical models for arbitrary mixed data. Electronic Journal of Statistics 18 (1), 2024, 2339–2404 more… BibTeX
- causalAssembly: Generating Realistic Production Data for Benchmarking Causal Discovery. Proceedings of Machine Learning Research, 2024Third Conference on Causal Learning and Reasoning, 609--642 more… BibTeX
- On Azadkia–Chatterjee’s conditional dependence coefficient. Bernoulli 30 (2), 2024, 851-877 more… BibTeX
- Dual Likelihood for Causal Inference under Structure Uncertainty. Proceedings of Machine Learning Research, 2024Third Conference on Causal Learning and Reasoning, 1-17 more… BibTeX
- Testing many constraints in possibly irregular models using incomplete U-statistics. Journal of the Royal Statistical Society Series B: Statistical Methodology, 2024, 1--26 more… BibTeX
- Interaction Models and Generalized Score Matching for Compositional Data. Proceedings of Machine Learning Research, 2024The 2nd Learning on Graphs Conference , 1-25 more… BibTeX
2023
- Third-order moment varieties of linear non-Gaussian graphical models. Information and Inference: A Journal of the IMA 12 (3), 2023, 1405–1436 more… BibTeX
- ESG, risk, and (tail) dependence. International Review of Financial Analysis 87, 2023, 102513 more… BibTeX
- Causal Structural Learning via Local Graphs. SIAM Journal on Mathematics of Data Science 5 (2), 2023, 280-305 more… BibTeX
- Identifiability in Continuous Lyapunov Models. SIAM Journal on Matrix Analysis and Applications 44 (4), 2023, 1799-1821 more… BibTeX
- Algebraic Structures in Statistical Methodology. Oberwolfach Reports 19 (4), 2023, 3121-3170 more… BibTeX
- Discussion of “A note on universal inference” by Timmy Tse and Anthony Davison. Stat 12 (1), 2023 more… BibTeX
- Rank-Based Causal Discovery for Post-Nonlinear Models. Proceedings of Machine Learning Research, MLResearchPress, 202326th International Conference on Artificial Intelligence and Statistics more… BibTeX
- Fine-grained Network Traffic Prediction from Coarse Data. Austrian Journal of Statistics 52 (3), 2023, 114-123 more… BibTeX
- The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology. Global Finance Journal 56, 2023, 100780 more… BibTeX
- Vine Copula based Portfolio Level Conditional Risk Measure Forecasting. Econometrics and Statistics, 2023 more… BibTeX
- Confidence in causal inference under structure uncertainty in linear causal models with equal variances. Journal of Causal Inference 11 (1), 2023 more… BibTeX
- Unpaired Multi-Domain Causal Representation Learning. Advances in Neural Information Processing Systems 36, 202337th Annual Conference on Neural Information Processing Systems (NeurIPS 2023) , 34465--34492 more… BibTeX
- Learning Linear Gaussian Polytree Models With Interventions. IEEE Journal on Selected Areas in Information Theory 4, 2023, 569-578 more… BibTeX
- Causal Discovery with Unobserved Confounding and Non-Gaussian Data. Journal of Machine Learning Research 24 (271), 2023, 1−61 more… BibTeX
- Partial Homoscedasticity in Causal Discovery with Linear Models. IEEE Journal on Selected Areas in Information Theory, 2023, 639 - 650 more… BibTeX
- Directed Graphical Models and Causal Discovery for Zero-Inflated Data. Proceedings of Machine Learning Research, ML Research Press, 2023Proceedings of the Second Conference on Causal Learning and Reasoning, 27-67 more… BibTeX
- Assessable and interpretable sensitivity analysis in the pattern graph framework for nonignorable missingness mechanisms. Statistics in Medicine 42 (29), 2023, 5419-5450 more… BibTeX
- Vine copula-based Bayesian classification for multivariate time series of electroencephalography eye states. Journal of the Royal Statistical Society Series C: Applied Statistics 72 (4), 2023, 992-1022 more… BibTeX
2022
- Conditional Independence in Max-linear Bayesian Networks. Ann. Appl. Probab. 32 (1), 2022, 1-45 more… BibTeX
- Half-trek criterion for identifiability of latent variable models. The Annals of Statistics 50 (6), 2022 more… BibTeX
- Dependent censoring based on parametric copulas. Biometrika 110 (3), 2022, 721-738 more… BibTeX
- Vine copula based dependence modeling in sustainable finance. The Journal of Finance and Data Science 8, 2022, 309-330 more… BibTeX
- Vine Copula Based Modeling. Annual Review of Statistics and Its Application 9 (1), 2022, 453-477 more… BibTeX
- Tail probabilities of random linear functions of regularly varying random vectors. Extremes - Statistical Theory and Applications in Science, Engineering and Economics 22, 2022 more… BibTeX
- Families of Polytopes with Rational Linear Precision in Higher Dimensions. Foundations of Computational Mathematics, 2022 more… BibTeX
- Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series. In: Mathematics Going Forward - Collected Mathematical Brushstrokes. Springer, 2022 more… BibTeX
- On the Observability of Gaussian Models using Discrete Density Approximations. 2022 25th International Conference on Information Fusion (FUSION), IEEE, 2022 more… BibTeX
- Evaluating and defining agronomically relevant detection limits for spectral reflectance-based assessment of N uptake in wheat. European Journal of Agronomy 140, 2022, 126609 more… BibTeX
- Max-linear models in random environment. Journal of Multivariate Analysis 190, 2022, 104999 more… BibTeX
- A Bayesian non‐linear state space copula model for air pollution in Beijing. Journal of the Royal Statistical Society: Series C (Applied Statistics), 2022 more… BibTeX
- Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter? Corporate Social Responsibility and Environmental Management 29 (5), 2022, 1782-1798 more… BibTeX
- Vine copula mixture models and clustering for non-Gaussian data. Econometrics and Statistics 22, 2022, 136-158 more… BibTeX
- Distribution-Free Consistent Independence Tests via Center-Outward Ranks and Signs. Journal of the American Statistical Association 117 (537), 2022, 395-410 more… BibTeX
- On the power of Chatterjee’s rank correlation. Biometrika 109 (2), 2022, 317-333 more… BibTeX
- On universally consistent and fully distribution-free rank tests of vector independence. The Annals of Statistics 50 (4), 2022, 1933-1959 more… BibTeX
- On the choice of the splitting ratio for the split likelihood ratio test. Electronic Journal of Statistics 16 (2), 2022, 6631-6650 more… BibTeX
- Nonparametric C- and D-vine-based quantile regression. Dependence Modeling 10 (1), 2022, 1-21 more… BibTeX
- Learning linear non-Gaussian polytree models. Proceedings of Machine Learning Research , MLResearchPress , 2022Proceedings of the 38th Conference on Uncertainty in Artificial Intelligence (UAI 2022), 1960-1969 more… BibTeX
- Two‐part D‐vine copula models for longitudinal insurance claim data. Scandinavian Journal of Statistics, 2022 more… BibTeX
- Generalized score matching for general domains. Information and Inference: A Journal of the IMA 11 (2), 2022, 739-780 more… BibTeX
- Graphical Representations for Algebraic Constraints of Linear Structural Equations Models. Proceedings of Machine Learning Research, MLResearchPress , 2022Proceedings of The 11th International Conference on Probabilistic Graphical Models, 409-420 more… BibTeX
2021
- Recursive max-linear models with propagating noise. Electronic Journal of Statistics 15 (2), 2021, 4770-4822 more… BibTeX
- Definite Non-Ancestral Relations and Structure Learning. 8th Causal Inference Workshop at UAI (causalUAI 2021), 2021 more… BibTeX
- Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates. Journal of Time Series Analysis 42, 2021, 653–684 more… BibTeX
- Existence and uniqueness of the Kronecker covariance MLE. The Annals of Statistics 49 (5), 2021, 2721-2754 more… BibTeX
- Identifiability and estimation of recursive max-linear models. Scandinavian Journal of Statistics 48 (1), 2021, 188-211 more… BibTeX
- Estimating an Extreme Bayesian Network via Scalings. Journal of Multivariate Analysis 181, 2021, 104672 more… BibTeX
- Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. Econometrics and Statistics 19, 2021, 130-150 more… BibTeX
- Confidence in causal discovery with linear causal models. Proceedings of the Thirty-Seventh Conference on Uncertainty in Artificial Intelligence, 2021, 1217-1226 more… BibTeX
- A cluster randomized trial to evaluate need-supportive teaching in physical education on physical activity of sixth-grade girls: A mixed method study. Psychology of Sport and Exercise 54, 2021, 101902 more… BibTeX
- CorDiffViz: an R package for visualizing multi-omics differential correlation networks. BMC Bioinformatics 22 (1), 2021, 1-12 more… BibTeX
2020
- Structure Learning for Cyclic Linear Causal Models. Proceedings of Machine Learning Research (PMLR) 124, 2020, 999-1008 more… BibTeX
- Multi-level validation of the German physical activity self-efficacy scale in a sample of female sixth-graders. BMC Public Health 20 (1), 2020 more… BibTeX
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series. Computational Statistics & Data Analysis 142 (142), 2020, t.b.a. more… BibTeX
- Ruin probabilities for risk processes in a bipartite network. Stochastic Models 36 (4), 2020, 548-573 more… BibTeX
- High-frequency analysis of parabolic stochastic PDEs. Annals of Statistics 48 (2), 2020, 1143-1167 more… BibTeX
- Normal approximation of the solution to the stochastic heat equation with Lévy noise. Stochastics and Partial Differential Equations: Analysis and Computations 8 (2), 2020, 362-401 more… BibTeX
- High-dimensional consistent independence testing with maxima of rank correlations. Annals of Statistics 48 (6), 2020, 3206-3227 more… BibTeX
- Nested covariance determinants and restricted trek separation in Gaussian graphical models. Bernoulli 26 (4), 2020, 2503-2540 more… BibTeX
- Genetic and metabolomic architecture of variation in diet restriction-mediated lifespan extension in Drosophila. PLOS Genetics 16 (7), 2020, e1008835 more… BibTeX
- Modelling extremal dependence for operational risk by a bipartite graph. Journal of Banking & Finance 117, 2020, 105855 more… BibTeX
- Estimation of causal continuous‐time autoregressive moving average random fields. Scandinavian Journal of Statistics, 2020, 1-32 more… BibTeX
- Explicit results on conditional distributions of generalized exponential mixtures. Journal of Applied Probability 57 (3), 2020, 760-774 more… BibTeX
- Estimation of causal continuous‐time autoregressive moving average random fields. Scandinavian Journal of Statistics 48 (1), 2020, 132-163 more… BibTeX
- Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Journal of Computational and Graphical Statistics 29 (3), 2020, 523-534 more… BibTeX
- Statistical Significance in High-dimensional Linear Mixed Models. Proceedings of the 2020 ACM-IMS on Foundations of Data Science Conference, Association for Computing Machinery, 2020, 171-181 more… BibTeX
- The German Basic Psychological Needs Satisfaction in Physical Education Scale: Adaption and Multilevel Validation in a Sample of Sixth-Grade Girls. International Journal of Environmental Research and Public Health 17 (5), 2020, 1554 more… BibTeX
- Modeling of Stochastic Wind Based on Operational Flight Data Using Karhunen–Loève Expansion Method. Sensors 20 (16), 2020, 4634 more… BibTeX
- High-dimensional causal discovery under non-Gaussianity. Biometrika 107 (1), 2020, 41–59 more… BibTeX
2019
- Flexible dynamic vine copula models for multivariate time series data. Econometrics and Statistics 12 (12), 2019, 181-197 more… BibTeX
- Dependence modeling for recurrent event times subject to right‐censoring with D‐vine copulas. Biometrics 75 (2), 2019, 439-451 more… BibTeX
- Variable selection for the prediction of C[0,1]-valued AR processes using RKHS. Technometrics 61 (2), 2019, 139-153 more… BibTeX
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Extremes 22 (2), 2019, 223-269 more… BibTeX
- Semiparametric estimation for isotropic max-stable space-time processes. Bernoulli 25 (4A), 2019, 2508–2537 more… BibTeX
- On causal discovery with an equal-variance assumption. Biometrika 106 (4), 2019, 973-980 more… BibTeX
- Partial mean field limits in heterogeneous networks. Stochastic Processes and their Applications 129 (12), 2019, 4998-5036 more… BibTeX
- Intermittency for the stochastic heat equation with Lévy noise. Annals of Probability 47 (4), 2019, 1911-1948 more… BibTeX
- Analyzing Dependent Data with Vine Copulas – A Practical Guide With R. Volume 222. Springer International Publishing, 2019 more… BibTeX
- Modelling temporal dependence of realized variances with vines. Econometrics and Statistics 12, 2019, 198-216 more… BibTeX
- Indirect inference for Lévy-driven continuous-time GARCH models. Scandinavian Journal of Statistics 46 (3), 2019, 765-801 more… BibTeX
- The maximum likelihood threshold of a path diagram. The Annals of Statistics 47 (3), 2019, 1536-1553 more… BibTeX
- Computation of maximum likelihood estimates in cyclic structural equation models. The Annals of Statistics 47 (2), 2019, 663-690 more… BibTeX
- A statistical simulation method for joint time series of non-stationary hourly wave parameters. Coastal Engineering 146 (146), 2019, 14-31 more… BibTeX
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Finance and Stochastics 23 (4), 2019, 795-826 more… BibTeX
- Bayesian Networks for Max-linear Models. In: Network Science - An Aerial View . Springer International Publishing (1st Ed. . edn.), 2019, 79-97 more… BibTeX
- Graphical models for zero-inflated single cell gene expression. The Annals of Applied Statistics 13 (2), 2019, 848-873 more… BibTeX
- Selection of Sparse Vine Copulas in High Dimensions with the Lasso. Statistics and Computing 29 (2), 2019, 269-287 more… BibTeX
- Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso. Computational Statistics & Data Analysis 137, 2019, 211-232 more… BibTeX
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. Journal of Multivariate Analysis 172, 2019, 180-192 more… BibTeX
- Time series of functional data with application to yield curves. Applied Stochastic Models in Business and Industry 35 (4), 2019, 1028-1043 more… BibTeX
- Generalized Score Matching for Non-Negative Data. Journal of Machine Learning Research 20 (76), 2019, 1-70 more… BibTeX
2018
- Handbook of Graphical Models. CRC Press, 2018 more… BibTeX
- Handbook of Graphical Models – Handbooks of Modern Statistical Methods. Taylor & Francis Inc, 2018 more… BibTeX
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data. Computational Statistics & Data Analysis 117, 2018, 109-127 more… BibTeX
- Limit theory for the empirical extremogram of random fields. Stochastic Processes and their Applications 128 (6), 2018, 2060-2082 more… BibTeX
- Contagion in financial systems: A Bayesian network approach. SIAM Journal on Financial Mathematics 9 (1), 2018, 28-53 more… BibTeX
- Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Archive for Rational Mechanics and Analysis 228 (3), 2018, 891–922 more… BibTeX
- Algebraic problems in structural equation modeling. Advanced Studies in Pure Mathematics, Mathematical Society of Japan, 2018The 50th Anniversary of Gröbner Bases, 35-86 more… BibTeX
- Algebraic Statistics. Oberwolfach Reports 14 (2), 2018, 1207-1279 more… BibTeX
- Standardized drought indices: A novel uni- and multivariate approach. Journal of the Royal Statistical Society: Series C (Applied Statistics) 67 (3), 2018, 643-664 more… BibTeX
- Max-linear models on directed acyclic graphs. Bernoulli 24 (4A), 2018, 2693–2720 more… BibTeX
- Tail dependence of recursive max-linear models with regularly varying noise variables. Econometrics and Statistics 6, 2018, 149-167 more… BibTeX
- Bayesian Model Selection of Regular Vine Copulas. Bayesian Analysis 13 (4), 2018, 1111-1135 more… BibTeX
- Fractionally integrated COGARCH processes. Journal of Financial Econometrics 16 (4), 2018, 599–628 more… BibTeX
- Robust and sparse Gaussian graphical modelling under cell-wise contamination. Stat 7 (1), 2018, e181 more… BibTeX
- Bahadur-Kiefer Representations for Time Dependent Quantile Processes. Periodica Mathematica Hungarica 76 (1), 2018, 95-113 more… BibTeX
- AD‐vine copula‐based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Journal of The International Biometric Society, 2018 more… BibTeX
- Model distances for vine copulas in high dimensions. Statistics and Computing 28 (2), 2018, 323–341 more… BibTeX
- Conditional risk measures in a bipartite market structure. Scandinavian Actuarial Journal 2018 (4), 2018, 328-355 more… BibTeX
- Algebraic tests of general Gaussian latent tree models. Advances in Neural Information Processing Systems 31 31, 2018, 6301-6310 more… BibTeX
- Testing independence in high dimensions with sums of rank correlations. The Annals of Statistics 46 (1), 2018, 280-307 more… BibTeX
- Representing Sparse Gaussian DAGs as Sparse R-vines Allowing for Non-Gaussian Dependence. Journal of Computational and Graphical Statistics 27 (2), 2018, 334-344 more… BibTeX
- Selection of sparse vine copulas in high dimensions with the Lasso. Statistics and Computing 29 (2), 2018, 269-287 more… BibTeX
- Volterra-type Ornstein-Uhlenbeck processes in space and time. Stochastic Processes and their Applications 128 (9), 2018, 3082-3117 more… BibTeX
- Symmetric rank covariances: a generalized framework for nonparametric measures of dependence. Biometrika 105 (3), 2018, 547-562 more… BibTeX
- Determinantal Generalizations of Instrumental Variables. Journal of Causal Inference 6 (1), 2018 more… BibTeX
- Graphical Models for Non-Negative Data Using Generalized Score Matching. Proceedings of Machine Learning Research 84, 2018, 1781-1790 more… BibTeX
2017
- Estimating invertible functional time series. In: Functional Statistics and Related Fields.. Springer, 2017, 51-58 more… BibTeX
- A class of scale mixtures of gamma(k)-distributions that are generalized gamma convolutions. Bernoulli 23 (1), 2017, 773-787 more… BibTeX
- Tail probabilities of St. Petersburg sums, trimmed sums, and their limit. Journal of Theoretical Probability 30 (3), 2017, 1104–1129 more… BibTeX
- Combination of multi-mission altimetry data along the Mekong river with spatio temporal kriging. Journal of Geodesy 91 (5), 2017, 519–534 more… BibTeX
- Structure Learning in Graphical Modeling. Annual Review of Statistics and Its Application 4 (1), 2017, 365-393 more… BibTeX
- Marginal likelihood and model selection for Gaussian latent tree and forest models. Bernoulli 23 (2), 2017, 1202-1232 more… BibTeX
- A Bayesian information criterion for singular models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 79 (2), 2017, 323-380 more… BibTeX
- Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks 5 (3), 2017, 38-50 more… BibTeX
- Big data: progress in automating extreme risk analysis. In: Berechenbarkeit der Welt?. Springer VS, 2017, 171-189 more… BibTeX
- Testing for non-correlation between price and volatility jumps. Journal of Econometrics 197 (2), 2017, 284-297 more… BibTeX
- A simple non-parametric goodness-of-fit test for elliptical copulas. Dependence Modeling 5 (1), 2017, 330-353 more… BibTeX
- Covariate-adaptive clustering of exposures for air pollution epidemiology cohorts. The Annals of Applied Statistics 11 (1), 2017, 93-113 more… BibTeX
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes. Annals of the Institute of Statistical Mathematics, 2017 more… BibTeX
- Couplings and strong approximations to time dependent empirical processes based on i.i.d. fractional Brownian Motions. Journal of Theoretical Probability 30 (3), 2017, 729–770 more… BibTeX
- Examination and visualization of the simplifying assumption for vine copulas in three dimensions. Australian and New Zealand Journal of Statistics 59 (1), 2017, 95–117 more… BibTeX
- An Innovations Algorithm for the prediction of functional linear processes. Journal of Multivariate Analysis 155, 2017, 252–271 more… BibTeX
- Prediction of functional ARMA processes with an application to traffic data. Econometrics and Statistics 1, 2017, 128–149 more… BibTeX
- D-vine copula based quantile regression. Computational Statistics and Data Analysis 110, 2017, 1-18 more… BibTeX
- A periodic spatial vine copula model for multi-site streamflow simulation. Electric Power Systems Research 152, 2017, 9-17 more… BibTeX
- Volterra-type Ornstein-Uhlenbeck processes in space and time. Stochastic Processes and their Applications, 2017 more… BibTeX
- Empirical likelihood for linear structural equation models with dependent errors. Stat 6 (1), 2017, 434-447 more… BibTeX
2016
- Maximum Likelihood Estimates for Gaussian Mixtures Are Transcendental. In: Mathematical Aspects of Computer and Information Sciences. Springer International Publishing, 2016, 579-590 more… BibTeX
- Laplace Approximation in High-Dimensional Bayesian Regression. In: Statistical Analysis for High-Dimensional Data. Springer International Publishing, 2016, 15-36 more… BibTeX
- Pair-copula Bayesian networks. Journal of Computational and Graphical Statistics 25 (4), 2016, 1248–1271 more… BibTeX
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Extremes 19 (4), 2016, 627-660 more… BibTeX
- Simulation of stochastic Volterra equations driven by space-time Lévy noise. In: The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Springer, 2016, 209-229 more… BibTeX
- Lévy-driven Volterra equations in space and time. Journal of Theoretical Probability, 2016 more… BibTeX
- Stochastic PDEs with heavy-tailed noise. Stochastic Processes and their Applications, 2016 more… BibTeX
- Passage time and fluctuation calculations for subexponential Lévy processes. Bernoulli 22 (3), 2016, 1491-1519 more… BibTeX
- Generic Identifiability of Linear Structural Equation Models by Ancestor Decomposition. Scandinavian Journal of Statistics 43 (4), 2016, 1035-1045 more… BibTeX
- Wald tests of singular hypotheses. Bernoulli 22 (1), 2016, 38-59 more… BibTeX
- A note on the Kesten-Grincevičius-Goldie theorem. Electronic Communications in Probability 21 (51), 2016, 1-12 more… BibTeX
- On the Breiman conjecture. Proceedings of the American Mathematical Society 144 (9), 2016, 4043-4053 more… BibTeX
- Bounds for randomly shared risk of heavy-tailed loss factors. Extremes 19 (4), 2016, 719–733 more… BibTeX
- Risk in a large claims insurance market with bipartite graph structure. Operations Research 64 (5), 2016, 1159-1176 more… BibTeX
- Time-consistency of risk measures with GARCH volatilities and their estimation. Statistics & Risk Modeling 32 (2), 2016, 103-124 more… BibTeX
- Order-invariant prior specification in Bayesian factor analysis. Statistics & Probability Letters 111, 2016, 60-66 more… BibTeX
- Identifiability of directed Gaussian graphical models with one latent source. Electronic Journal of Statistics 10 (1), 2016, 394-422 more… BibTeX
- Estimation of high-dimensional graphical models using regularized score matching. Electronic Journal of Statistics 10 (1), 2016, 806-854 more… BibTeX
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. Journal of Multivariate Analysis 151 (C), 2016, 69-89 more… BibTeX
- Large-sample theory for the Bergsma-Dassios sign covariance. Electronic Journal of Statistics 10 (2), 2016, 2287-2311 more… BibTeX
- Efficient computation of the Bergsma–Dassios sign covariance. Computational Statistics 31 (1), 2016, 315-328 more… BibTeX
2015
- High-dimensional Ising model selection with Bayesian information criteria. Electronic Journal of Statistics 9 (1), 2015, 567-607 more… BibTeX
- Bayesian total loss estimation using shared random effects. Insurance: Mathematics and Economics 62, 2015, 194-201 more… BibTeX
- Exponential functionals of Lévy processes with jumps. Latin American Journal of Probability and Mathematical Statistics 12, 2015, 375-397 more… BibTeX
- On exponential functionals of Lévy processes. Journal of Theoretical Probability 28 (2), 2015, 681-720 more… BibTeX
- Superposition of COGARCH processes. Stochastic Processes and their Applications 125 (4), 2015, 1426-1469 more… BibTeX
- A criterion for invariant measures of Itô processes based on the symbol. Bernoulli 21 (3), 2015, 1697-1718 more… BibTeX
- Conditional quantiles and tail dependence. Journal of Multivariate Analysis 138, 2015, 104-126 more… BibTeX
- COPAR - Multivariate time series modeling using the COPula AutoRegressive model. Applied Stochastic Models in Business and Industry 31 (4), 2015, 495-514 more… BibTeX
- Integrability conditions for space-time stochastic integrals: Theory and applications. Bernoulli 21 (4), 2015, 2190-2216 more… BibTeX
- Preface to the Special Issue on Statistics. Linear Algebra and its Applications 473, 2015, 1-2 more… BibTeX
- Time series models for credit default swap premiums. Journal of Credit Risk 11 (3), 2015, 21-44 more… BibTeX
- Spatial composite likelihood inference using local C-vines. Journal of Multivariate Analysis 138, 2015, 74-88 more… BibTeX
- R-vine models for spatial time series with an application to daily mean temperature. Biometrics 71 (2), 2015, 323-332 more… BibTeX
- On the causal interpretation of acyclic mixed graphs under multivariate normality. Linear Algebra and its Applications 473, 2015, 93-113 more… BibTeX
- Sequential Bayesian model selection of regular vine copulas. Bayesian Analysis 10 (4), 2015, 937-963 more… BibTeX
- Copula structure analysis based on extreme dependence. Statistics and Its Interface 8 (1), 2015, 93-107 more… BibTeX
- Block-Maxima of Vines. Extreme Value Modeling and Risk Analysis - Methods and Applications (Dipak K. Dey and Jun Yan) (nicht anwendbar - Kapitel 6), 2015 more… BibTeX
- Systemic risk through contagion in a core-periphery structured banking network. In: A. Palczewski and L. Stettner: Advances in Mathematics of Finance. Banach Center Publications, 2015 more… BibTeX
- Generalized fractional Lévy processes with fractional Brownian motion limit and applications to stochastic volatility models. Advances in Applied Probability 47 (4), 2015, 1108-1131 more… BibTeX
- Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik. Springer (5. edn.), 2015 more… BibTeX
- Adaptive rhythm sequencing: A method for dynamic rhythm classification during CPR. Resuscitation 91, 2015, 26-31 more… BibTeX
- Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses. Computational Statistics and Data Analysis 88, 2015, 28-39 more… BibTeX
- Clay mineral composition modifies decomposition and sequestration of organic carbon and nitrogen in fine soil fractions. Biology and Fertility of Soils 51, 2015, 427-442 more… BibTeX
2014
- Verwendung von Dummy-Variablen bei der statistischen Analyse von Talsperrenmessdaten. Wasserwirtschaft 4, 2014, 28-33 more… BibTeX
- Asymmetric COGARCH processes. Journal of Applied Probability 51A, 2014, 161-173 more… BibTeX
- Futures pricing in electricity markets based on stable CARMA spot models. Energy Economics 44, 2014, 392-406 more… BibTeX
- Prolonged summer droughts retard soil N processing and stabilization in organo-mineral fractions. Soil Biology & Biochemistry 68 (1), 2014, 241-251 more… BibTeX
- Decoupled carbon and nitrogen mineralization in soil particle size fractions of a forest topsoil. Soil Biology & Biochemistry 78 (4), 2014, 263-273 more… BibTeX
- Hierarchical Kendall copulas: properties and inference. Canadian Journal of Statistics 42 (1), 2014, 78-108 more… BibTeX
- Flexible dependence modeling of operational risk losses and its impact on total capital requirements. Journal of Banking and Finance 40 (C), 2014, 271-285 more… BibTeX
- Nonnested model selection for spatial count regression models with application to health insurance. Statistical Papers 55 (2), 2014, 455-476 more… BibTeX
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails. Stochastic Processes and their Applications 124 (1), 2014, 18-50 more… BibTeX
- Quantifying extreme risks. In: Risk - A Multidisciplinary Introduction . Springer, 2014, 151-181 more… BibTeX
- Large insurance losses distributions. In: Encyclopedia of Quantitative Risk Assessment. Wiley, 2014 more… BibTeX
- Robust Bayesian Graphical Modeling Using Dirichlet $t$ -Distributions. Bayesian Analysis 9 (3), 2014, 521-550 more… BibTeX
- Rejoinder. Bayesian Analysis 9 (3), 2014, 591-596 more… BibTeX
- Spatial risk measures: local specification and boundary risk. In: Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons. Springer International Publishing, 2014, 307-326 more… BibTeX
- Bayesian model selection of regular vine copulas. In: The Contribution of Young Researchers to Bayesian Statistics. Springer, 2014 more… BibTeX
- Low-dimensional partial integro-differential equations for high-dimensional Asian options. In: Inspired by Finance. Springer, 2014, 331-348 more… BibTeX
- Forward-backward systems for expected utility maximization. Stochastic Processes and their Applications 124 (5), 2014, 1813–1848 more… BibTeX
- Dealing with dependent risks. In: Risk - A Multidisciplinary Introduction. Springer, 2014, 241-277 more… BibTeX
- SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 more… BibTeX
- Derivatives and Fisher information of bivariate copulas. Statistical Papers 55 (2), 2014, 525-542 more… BibTeX
- Regime switches in the dependence structure of multidimensional financial data. Computational Statistics and Data Analysis 76, 2014, 672-686 more… BibTeX
- Quantification of incident probabilities using physical and statistical approaches. 6th International Conference on Research in Air Transportation. Istanbul, Turkey, 2014 more… BibTeX
2013
- The multivariate supOU stochastic volatility model. Mathematical Finance 23 (2), 2013, 275–296 more… BibTeX
- Multivariate option pricing using copulae. Applied Stochastic Models in Business and Industry 29 (5), 2013, 509–526 more… BibTeX
- A fractional credit model with long range dependent hazard rate. Stochastic Processes and their Applications 123 (4), 2013, 1319-1347 more… BibTeX
- CDVine: Modeling Dependence with C- and D-Vine Copulas in R. Journal of Statistical Software 52 (3), 2013, 1-27 more… BibTeX
- Sampling from hierarchical Kendall copulas. Journal de la Société Française de Statistique 154 (1), 2013, 192-209 more… BibTeX
- Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics 53 (3), 2013, 722–732 more… BibTeX
- Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics (53), 2013, 722-732 more… BibTeX
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50. Statistics and Risk Modeling 30 (4), 2013, 307–342 more… BibTeX
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations. Journal of Multivariate Analysis 115, 2013, 217–251 more… BibTeX
- High-frequency sampling and kernel estimation for continuous-time moving average processes. Journal of Time Series Analysis 34 (3), 2013, 385-404 more… BibTeX
- Density functional theory and and optimal transportation with Coulomb cost. Communications on Pure and Applied Mathematics 66 (4), 2013, 548-599 more… BibTeX
- Selection of Vine Copulas. In: Jaworski, Piotr, Durante, Fabrizio, Härdle, Wolfgang Karl: Copulae in Mathematical and Quantitative Finance. Springer, 2013, 17-37 more… BibTeX
- Evaluation of driving behavior and the efficacy of a predictive eco-driving assistance system for heavy commercial vehicles in a driving simulator experiment. 16th International IEEE Conference on Intelligent Transportation Systems (ITSC 2013), IEEE, 2013 more… BibTeX
- Statistical inference for max-stable processes in space and time. Journal of the Royal Statistical Society, Series B 75 (5), 2013, 791-819 more… BibTeX
- Max-stable processes for modelling extremes observed in space and time. Journal of the Korean Statistical Society 42 (3), 2013, 399-414 more… BibTeX
- Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 59, 2013, 52–69 more… BibTeX
- Two-step estimation of a multi-variate Lévy process. Journal of Time Series Analysis 34 (6), 2013, 668-690 more… BibTeX
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration. Journal of Econometrics 172 (2), 2013, 325-337 more… BibTeX
- Time series regression on integrated continuous-time processes with heavy and light tails. Econometric Theory 29 (1), 2013, 28-67 more… BibTeX
- Spectral Estimates for High-Frequency Sampled CARMA Processes. Journal of Time Series Analysis 34 (5), 2013, 532-551 more… BibTeX
- On the Limit Behavior of the Periodogram of High-Frequency Sampled Stable CARMA Processes. Stochastic Processes and their Applications 123 (1), 2013, 229-273 more… BibTeX
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums. Electronic Journal of Statistics 7, 2013, 533-561 more… BibTeX
- Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk. J. Appl. Probab. 4 (50), 2013, 983-1005 more… BibTeX
- Conditional characteristic functions of processes related to fractional Brownian motion. Journal of Applied Probability 50 (1), 2013, 166-183 more… BibTeX
- Nonparametric Reduced Rank Regression. Advances in Neural Information Processing Systems 25 25, 2013, 1628-1636 more… BibTeX
- N-density representability and the optimal transport limit of the Hohenberg-Kohn functional. The Journal of Chemical Physics 139 (164109), 2013, 12 pages more… BibTeX
- Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model. ESAIM: Probability and Statistics 17, 2013, 455-471 more… BibTeX
- Spectral representation of multivariate regularly varying Lévy and CARMA processes. Journal of Theoretical Probability 26 (2), 2013, 410-436 more… BibTeX
- Time use of the mobile and the immobile in time-use surveys and transport surveys – II. In: Joachim Schreiner, Hans-Heinrich Blotevogel, Susanne Frank, Christian Holz-Rau, Nina Schuster: Mobilitäten und Immobilitäten: Menschen - Ideen - Dinge - Kulturen - Kapital. Klartext, 2013, 121-138 more… BibTeX
- PC Algorithm for Nonparanormal Graphical Models. Journal of Machine Learning Research 14 (1), 2013, 3365-3383 more… BibTeX
- Pricing high-dimensional Bermudan options using variance-reduced Monte-Carlo methods. Journal of Computational Finance 16 (3), 2013, 99-126 more… BibTeX
- Outcrossings of safe regions by generalized hyperbolic processes. Statistics & Probability Letters 83 (10), 2013, 2197 - 2204 more… BibTeX
- Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 2013, 829–839 more… BibTeX
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes. Probability Theory and Related Fields 156 (1-2), 2013, 249-272 more… BibTeX
- The translation invariant massive Nelson model: II. The continuous spectrum below the two-boson threshold. Annales Henri Poincaré 14 (4), 2013, 793-852 more… BibTeX
- Extreme value analysis of multivariate high frequency wind speed data. Journal of Statistical Theory and Practice 7 (1), 2013, 73-94 more… BibTeX
- On non-parametric estimation of the Lévy kernel of Markov processes. Stochastic Processes and their Applications 123 (10), 2013, 3663–3709 more… BibTeX
2012
- Efficient Bayesian inference for stochastic time-varying copula models. Computational Statistics and Data Analysis 56 (6), 2012, 1511–1527 more… BibTeX
- Pair-copula constructions for non-Gaussian DAG models. The Canadian Journal of Statistics 40 (1), 2012, 86 - 109 more… BibTeX
- Truncated regular vines in high dimensions with applications to financial data. Canadian Journal of Statistics 40 (1), 2012, 68-85 more… BibTeX
- High-frequency sampling of a continuous-time ARMA processes. J. Time Series Analysis (33 (1)), 2012, 152-160 more… BibTeX
- Limit experiments of GARCH. Bernoulli 18 (1), 2012, 64-99 more… BibTeX
- Decay of covariances, uniqueness of ergodic component and scaling limit for a class of ∇ϕ systems with non-convex potential. Annales de l'Institut Henri Poincaré 48 (3), 2012, 819-853 more… BibTeX
- A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4 (1.12), 2012, 278-305 more… BibTeX
- Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229-255 more… BibTeX
- Wisdom of crowds for robust gene network inference. Nature Methods 9, 2012, 796-804 more… BibTeX
- Comments on: Sequences of regressions and their independencies. TEST 21 (2), 2012, 255-261 more… BibTeX
- Correction on Moments of minors of Wishart matrices. The Annals of Statistics 40 (2), 2012, 1283-1284 more… BibTeX
- Pareto Lévy measures and multivariate regular variation. Advances in Applied Probability 44 (1), 2012, 117-138 more… BibTeX
- Time-consistency of multi-period distortion measures. Statistics & Risk Modeling 29 (2), 2012, 133-153 more… BibTeX
- Half-trek criterion for generic identifiability of linear structural equation models. The Annals of Statistics 40 (3), 2012, 1682-1713 more… BibTeX
- Maximum likelihood degree of variance component models. Electronic Journal of Statistics 6, 2012, 993-1016 more… BibTeX
- Numerical hedging of electricity contracts using dimension reduction. International Journal of Theoretical and Applied Finance 15 (6), 2012, 1250042, 26 pp. more… BibTeX
- Hedging electricity swaptions using partial integro-differential equations. Stochastic Processes and their Applications 122 (2), 2012, 600-622 more… BibTeX
- Shrubs versus 'gullivers': Woody species coping with disturbance in grasslands. Plant Ecology 213 (11), 2012, 1757-1768 more… BibTeX
- Functional relationships between price and volatility jumps and its consequences for discretely observed data. Journal of Applied Probability 49 (4), 2012, 901-914 more… BibTeX
- SPIn: Model Selection for Phylogenetic Mixtures via Linear Invariants. Molecular Biology and Evolution 29 (3), 2012, 929-937 more… BibTeX
- Option pricing in multivariate stochastic volatility models of OU type. SIAM Journal on Financial Mathematics 3 (1), 2012, 66–94 more… BibTeX
- A Taylor-like expansion of a commutator with a function of self-adjoint, pairwise commuting operators. Mathematica Scandinavica 111 (1), 2012, 107-117 more… BibTeX
- Storage and balancing synergies in a fully or highly renewable pan-European power system. Energy Policy 51 (67), 2012, 642-651 more… BibTeX
- Limiting spectral distribution of a new random matrix model with depedence across rows and columns. Linear Algebra and its Applications 436 (9), 2012, 2966–2979 more… BibTeX
- Quasi maximum likelihood estimation for strongly mxing state space models and multivariate Lévy-driven CARMA processes. Electronic Journal of Statistics 6, 2012, 2185-2234 more… BibTeX
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes. Bernoulli 18 (1), 2012, 46-63 more… BibTeX
- Equities, credits and volatilities: a multivariate analysis of the european market during the sub-prime crisis. International Review of Financial Analysis 24, 2012, 57–65 more… BibTeX
- Addressing the identification problem in age-period-cohort analysis: a tutorial on the use of partial least squares and principal components analysis. Epidemiology 23 (4), 2012, 583 - 593 more… BibTeX
- Soil organic carbon stocks in southeast Germany as affected by land use, soil type and sampling depth. Global Change Biology 18 (7), 2012, 2233-2245 more… BibTeX
2011
- On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Journal of Applied Probability 48A, 2011, 15-28 more… BibTeX
- Multivariate supOU processes. Annals of Applied Probability 21 (1), 2011, 140-182 more… BibTeX
- Credit contagion in a long range dependent macroeconomic factor model. In: Di Nunno, Julia, Øksendal, Bernt: Advanced Mathematical Methods in Finance. Springer, 2011, 105-132 more… BibTeX
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models. Stochastic Processes and their Applications 121 (10), 2011, 2331-2360 more… BibTeX
- Quantifying geographical and macroeconomic effects on bank branch deposits using linear mixed models. International Journal of Statistics and Management Systems 6 (1-2), 2011, 22-46 more… BibTeX
- First order approximations to operational risk - dependence and consequences. In: Greg N. Gregoriou: Operational Risk Toward Basel III, Best Practices and Issues in Modeling, Management and Regulation. . Wiley, 2011, 219-245 more… BibTeX
- Mathematische Statistik. Springer Verlag, 2011 more… BibTeX
- Modeling individual migraine severity with autoregressive ordered probit models. Statistical Methods and Applications 20 (1), 2011, 101-121 more… BibTeX
- Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196–1214 more… BibTeX
- Comparing point and interval estimates in the bivariate t-copula model with application to financial data. Statistical Papers 52 (3), 2011, 709-731 more… BibTeX
- Corrigendum to Baltrunas, Daley and Klüppelberg: Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Stochastic Processes and their Applications 121 (9), 2011, 2186–2187 more… BibTeX
- Global identifiability of linear structural equation models. The Annals of Statistics 39 (2), 2011, 865-886 more… BibTeX
- Quantifying the failure of bootstrap likelihood ratio tests. Biometrika 98 (4), 2011, 919-934 more… BibTeX
- Parametric estimation of a bivariate stable Lévy process. Journal of Multivariate Analysis 102 (5), 2011, 918–930 more… BibTeX
- Modellieren und Quantifizieren von extremen Risiken. In: Wendland, Katrin, Werner, Annette: Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung.. Teubner Verlag, 2011, 67-88 more… BibTeX
- Robust graphical modeling of gene networks using classical and alternative t-distributions. The Annals of Applied Statistics 5 (2A), 2011, 1057-1080 more… BibTeX
- Fractional Lévy driven Ornstein-Uhlenbeck processes and stochastic differential equations. Bernoulli 17 (1), 2011, 484-506 more… BibTeX
- A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model. Journal of Economics and Finance 35 (2), 2011, 123-148 more… BibTeX
- Estimation of stable CARMA models with an application to electricity spot prices. Statistical Modelling 11 (5), 2011, 447-470 more… BibTeX
- Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society 40 (2), 2011, 125-139 more… BibTeX
- Multivariate ECOGARCH processes. Econometric Theory 27 (2), 2011, 344-371 more… BibTeX
- The COGARCH: a review, with news on option pricing and statistical inference. In: Surveys in Stochastic Processes. Proc. of the 33rd SPA Conference in Berlin. EMS Series of Congress Reports, EMS Publishing House, 2011, 29-58 more… BibTeX
- The degrees of freedom of partial least squares regression. Journal of the American Statistical Association 106 (494), 2011, 697-705 more… BibTeX
- On strong solutions for positive definite jump diffusions. Stochastic Processes and their Applications 121 (9), 2011, 2072–2086 more… BibTeX
- Bayesian model selection for D-vine pair-copula constructions. Canadian Journal of Statistics 39 (2), 2011, 239–258 more… BibTeX
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models. Advances in Applied Probability 43 (4), 2011, 1109-1135 more… BibTeX
- The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis. Journal of Empirical Finance 18 (2), 2011, 306-320 more… BibTeX
- Eigenvalue distribution of large sample covariance matrices of linear processes. Probability and Mathematical Statistics 31 (2), 2011, 313–329 more… BibTeX
- On the Markov transition kernels for first-passage percolation on the ladder. J. Appl. Probab. 48 (2), 2011 more… BibTeX
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Journal of Nonparametric Statistics 23 (4), 2011, 967-989 more… BibTeX
2010
- Heavy tails in insurance. In: Encyclopedia of Quantitative Finance. Wiley, 2010, 873-875 more… BibTeX
- Modelling, estimation and visualization of multivariate dependence for high-frequency data. In: Statistical Modelling and Regression Structures . Springer, 2010, 267-300 more… BibTeX
- Multivariate models for operational risk. Quantitative Finance 10 (8), 2010, 855–869 more… BibTeX
- Pair-copula constructions of multivariate copulas. In: Workshop on Copula Theory and its Applications. Springer, 2010, 93-109 more… BibTeX
- An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 more… BibTeX
- An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 more… BibTeX
- Analysis of australian electricity loads using joint bayesian inference of d-vines with autoregressive margins. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2010 more… BibTeX
- Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 more… BibTeX
- Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. In: Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures. Springer, 2010, 301-320 more… BibTeX
- Bankruptcy prediction in Norway: a comparison study. Applied Economics Letters 17 (17), 2010, 1739-1746 more… BibTeX
- A geometric interpretation of the characteristic polynomial of reflection arrangements. Proceedings of the American Mathematical Society 138 (08), 2010, 2873-2887 more… BibTeX
- Finiteness of small factor analysis models. Annals of the Institute of Statistical Mathematics 62 (4), 2010, 775-783 more… BibTeX
- Smoothness of Gaussian Conditional Independence Models. Algebraic Methods in Statistics and Probability II (Contemporary Mathematics) 516, 2010, 155-177 more… BibTeX
- On a Parametrization of Positive Semidefinite Matrices with Zeros. SIAM Journal on Matrix Analysis and Applications 31 (5), 2010, 2665-2680 more… BibTeX
- Maximize the sharpe ratio and minimize a VaR. Journal of Wealth Management 13 (1), 2010, 91-102 more… BibTeX
- Locating multiple interacting quantitative trait loci with the zero-inflated generalized Poisson regression. Statistical Applications in Genetics and Molecular Biology 9 (1), 2010 more… BibTeX
- A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. INFORMS - Journal on Computing, 2010 more… BibTeX
- Parameter estimation of a bivariate compound Poisson process. Insurance: Mathematics and Economics 47 (2), 2010, 224-233 more… BibTeX
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes. Bernoulli 16 (1), 2010, 51-79 more… BibTeX
- Modeling network traffic by a cluster Poisson input process with heavy and light-tailed file sizes. Queueing systems 66 (4), 2010, 313-350 more… BibTeX
- High-level dependence in time series models. Extremes 13 (1), 2010, 1-33 more… BibTeX
- Extended Bayesian Information Criteria for Gaussian Graphical Models. Advances in Neural Information Processing Systems 22 (NIPS 2010) 23, 2010, 2020-2028 more… BibTeX
- Bayesian estimation of Lévy copulas for multivariate operational risks. In: Böcker, K.: Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. II.. Risk Books, 2010, 439-463 more… BibTeX
- Option pricing in Hilbert space valued jump-diffusion models using partial integro-differential equations. SIAM Journal on Financial Mathematics 1 (1), 2010, 454-489 more… BibTeX
- Stochastic volatility models: extremal behavior. In: Cont, R.: Encyclopedia of Quantitative Finance. Wiley, 2010, 1741-1748 more… BibTeX
- Electricity spot price modelling with a view towards extreme spike risk. Quantitative Finance 10 (9), 2010, 963-974 more… BibTeX
- Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 more… BibTeX
- Model selection strategies for identifying most relevant covariates in homoscedastic linear models. Computational Statistics and Data Analysis 54, 2010, 3194-3211 more… BibTeX
- Testing for zero-modification in count regression models. Statistica Sinica 20, 2010, 323-341 more… BibTeX
- MCMC estimation of the COGARCH(1,1) model. Journal of Finanical Econometrics 8, 2010, 481-510 more… BibTeX
- Market Correlations in the Euro Changeover Period With a View to Portfolio Management. In: Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. I.. Risk Books, 2010, 107-125 more… BibTeX
- Modelling longitudinal data using a pair-copula decomposition of serial dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 more… BibTeX
- Multivariate COGARCH(1,1) Processes. Bernoulli 16 (1), 2010, 80-115 more… BibTeX
2009
- Pair-copula constructions of multiple dependence. Insurance Mathematics and Economics 44 (2), 2009, 182-198 more… BibTeX
- Extremes of autoregressive threshold processes. Adv. in Appl. Probab. 41 (2), 2009, 428-451 more… BibTeX
- Lévy-driven continuous-time ARMA processes. In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 457-480 more… BibTeX
- Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten. In: Schäfer, K.: Risikomanagement und kapitalmarktorientierte Finanzierung.. Fritz Knapp Verlag, 2009, 403-420 more… BibTeX
- A forward approach to numerical data assimilation. SIAM Journal on Scientific Computing 31 (4), 2009, 3090-3115 more… BibTeX
- On time until attraction for reinforced random walks. Annals of Applied Probability 19 (5), 2009, 1972-2007 more… BibTeX
- Strict convexity of the free energy for a class of non-convex gradient models. Communications in Mathematical Physics 286 (1), 2009, 359-376 more… BibTeX
- A percolating hard sphere model. Random Structures and Algorithms 34 (2), 2009, 285-299 more… BibTeX
- Predictive model assessment for count data. Biometrics 65 (4), 2009, 1254-1261 more… BibTeX
- Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 more… BibTeX
- Bayesian inference for D-vines: estimation and model selection. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 more… BibTeX
- Likelihood ratio tests and singularities. The Annals of Statistics 37 (2), 2009, 979-1012 more… BibTeX
- Discrete chain graph models. Bernoulli 15 (3), 2009, 736-753 more… BibTeX
- Computing Maximum Likelihood Estimates in Recursive Linear Models with Correlated Errors. Journal of Machine Learning Research 10, 2009, 2329-2348 more… BibTeX
- Lectures on Algebraic Statistics – Oberwolfach Seminars. Volume 39. Birkhäuser Basel, 2009 more… BibTeX
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- Lectures on Algebraic Statistics – Oberwolfach Seminars. Volume 39. Birkhäuser Basel, 2009 more… BibTeX
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- The first passage event for sums of dependent Lévy processes with applications to insurance risk. Ann. Appl. Probab. 19 (6), 2009, 2047-2079 more… BibTeX
- Sampling count variables with specified Pearson correlation - a comparison between a naive and a C-vine sampling approach. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae. World Scientific, 2009 more… BibTeX
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions. Extremes 12 (3), 2009, 265-296 more… BibTeX
- Extremes of continuous-time processes. In: Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 653-667 more… BibTeX
- A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime. Adv. in Appl. Probab. 41 (2), 2009, 393-427 more… BibTeX
- Robust graphical modeling with t-distributions. UAI '09 (Proceedings of the Twenty-Fifth Conference on Uncertainty in Artificial Intelligence), 2009, 169–176 more… BibTeX
- A dynamic model and system-theoretic analysis of affect based on a piecewise linear system. Proceedings of the 18th IEEE International Symposium on Robot and Human Interactive Communication (Ro-Man), 2009 more… BibTeX
- Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. In: Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling. Walter de Gruyter, 2009, 245-273 more… BibTeX
- Copula structure analysis. J. Royal Stat. Soc., Series B 71 (3), 2009, 737 - 753. more… BibTeX
- Optimal consumption and investment with bounded downside risk for power utility functions. In: Delbaen, F., Rásonyi, M. and Stricker, C.: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, 2009, 133-169 more… BibTeX
- Continuity properties and infinite divisibility of stationary distributions of some generalised Ornstein-Uhlenbeck processes. Annals of Probability 37 (1), 2009, 250-274 more… BibTeX
- Stationarity, mixing, distributional properties and moments of GARCH(p;q)-processes. In: Mikosch, T.u.a.: Handbook of Financial Time Series. Springer, 2009, 43-69 more… BibTeX
- Continuous time approximations to GARCH and stochastic volatility models. In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 481-496 more… BibTeX
- Ornstein-Uhlenbeck Processes and Extensions. In: Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th.: Handbook of Financial Time Series.. Springer, 2009, 421-437 more… BibTeX
- Stochastic volatility models for ordinal valued time series with application to finance. Statistical Modelling 9 (1), 2009, 69-95 more… BibTeX
- Analysis of stock market volatility by continuous-time GARCH models. In: Gregoriou, G.N.: Stock Market Volatility. Chapman Hall/Taylor and Francis, 2009, 31-50 more… BibTeX
- On the definition, stationary distribution and second order structure of positive semi-definite Ornstein-Uhlenbeck type processes. Bernoulli 15 (3), 2009, 754-773 more… BibTeX
- First jump approximation of a multivariate Lévy driven SDE and an application to ECOGARCH processes. Stochastic Processes and Their Application 119 (6), 2009, 1932-1951 more… BibTeX
- On Markov-switching ARMA processes - stationarity, existence of moments and geometric ergodicity. Econometric Theory 25 (1), 2009, 43-62 more… BibTeX
- A mixed autoregressive probit model for ordinal longitudinal data. Biostatistics 11 (1), 2009, 127-138 more… BibTeX
2008
- Estimating high quantiles for electricity prices by stable linear models. Journal of Energy Markets 1 (1), 2008, 3-19 more… BibTeX
- On continuity properties of integrals of Lévy processes. In: Donati-Martin, C., Émery, M., Rouault, A. und Stricker, C.: Séminaire de Probabilités . Springer, 2008, 137-159 more… BibTeX
- Extreme value theory in finance. In: Everitt, B. and Melnick, E.: Encyclopedia of Quantitative Risk Analysis and Assessment.. Wiley, Chichester, 2008 more… BibTeX
- On the distribution tail of an integrated risk model: a numerical approach. Insurance: Math. and Econ. 42 (1), 2008, 101-106 more… BibTeX
- Modelling and measuring business risk. In: Pillar II in the New Basel Accord. Risk Books, 2008 more… BibTeX
- Modelling and measuring multivariate operational risk with Lévy copulas. J. Operational Risk 3 (2), 2008, 3-27 more… BibTeX
- Economic capital modelling and Basel II compliance in the banking industry. In: Jäger, W. and Krebs, H.-J.: Mathematics . Springer, 2008, 295-317 more… BibTeX
- Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio. Applied Stochastic Models in Business and Industry 24 (3), 2008, 237-259 more… BibTeX
- Modeling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects. Statistical Modelling 8 (4), 2008, 315-345 more… BibTeX
- State space mixed models for longitudinal observations with binary and binomial responses. Statistical Papers 49 (4), 2008, 691-714 more… BibTeX
- Optimal investment and consumption in a Black-Scholes market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process. Annals of Applied Probabability 18 (3), 2008, 879-908 more… BibTeX
- Multiple solutions to the likelihood equations in the Behrens–Fisher problem. Statistics & Probability Letters 78 (18), 2008, 3288-3293 more… BibTeX
- Iterative Conditional Fitting for Discrete Chain Graph Models. In: COMPSTAT 2008. Physica-Verlag HD, 2008, 93-104 more… BibTeX
- Moments of minors of Wishart matrices. The Annals of Statistics 36 (5), 2008, 2261-2283 more… BibTeX
- A SINful approach to Gaussian graphical model selection. Journal of Statistical Planning and Inference 138 (4), 2008, 1179-1200 more… BibTeX
- Binary models for marginal independence. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 70 (2), 2008, 287-309 more… BibTeX
- Graphical Methods for Efficient Likelihood Inference in Gaussian Covariance Models. Journal of Machine Learning Research 9, 2008, 893-914 more… BibTeX
- The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes. Statistics & Probability Letters 78 (14), 2008, 2265-2272 more… BibTeX
- Modelling count data with overdispersion and spatial effects. Statistical Papers (49(3)), 2008, 531-552 more… BibTeX
- Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? Computational Statistics and Data Analysis 52 (9), 2008, 4184-4202 more… BibTeX
- Integrated insurance risk models with exponential Lévy investment. Insurance: Math & Economics 42 (2), 2008, 560-577 more… BibTeX
- Semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case. Scand. J. Stat. 35 (4), 2008, 701-718 more… BibTeX
- The Pareto Copula, aggregation of risks and the Emperor's socks. Journal of Applied Probability 45 (1), 2008, 67-84 more… BibTeX
- GARCH modelling in continuous time for irregularly spaced time series data. Bernoulli 14 (2), 2008, 519-542 more… BibTeX
- On the relation between the vec and BEKK multivariate GARCH models. Econometric Theory 24 (4), 2008, 1131-1136 more… BibTeX
- Multivariate Markov-switching ARMA processes with regularly varying noise. Journal of Multivariate Analysis, 99 (6), 2008, 1177-1190 more… BibTeX
2007
- Positive-definite matrix processes of finite variation. Probability and Mathematical Statistics 27 (1), 2007, 3-43 more… BibTeX
- Extremal behavior of models with multivariate random recurrence representation. Stoch. Proc. Appl 117 (4), 2007, 432-456 more… BibTeX
- Lévy copulas: dynamics and transforms of Upsilon-type. Scan. J. Statistics 34, 2007, 298-316 more… BibTeX
- A mutagenetic tree hidden Markov model for longitudinal clonal HIV sequence data. Biostatistics 8 (1), 2007, 53-71 more… BibTeX
- Stochastic calculus for convoluted Lévy processes. Bernoulli 14 (2), 2007, 499-518 more… BibTeX
- Estimation for non-negative Lévy driven Ornstein-Uhlenbeck processes. J. Appl. Probab. 44 (4), 2007, 977-989 more… BibTeX
- Continuous-time Gaussian autoregression. Statistica Sinica 17, 2007, 63-80 more… BibTeX
- A continuous time approximation of an evolutionary stock market model. Int. J. Theor. Appl. Finance. 10 (7), 2007, 1229-1253 more… BibTeX
- Asymptotic theory of least square estimators for nearly unstable processes under strong dependence. Ann. Appl. Probab 35 (5), 2007, 2001-2017 more… BibTeX
- Multivariate operational risk: dependence modelling with Lévy copulas. 2007 ERM Symposium , Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries. , 2007 more… BibTeX
- Estimation of a covariance matrix with zeros. Biometrika 94 (1), 2007, 199-216 more… BibTeX
- Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered and operator stable processes. Bernoulli 13, 2007, 195-210 more… BibTeX
- Model-based quantification of the volatility of options at transaction level with extended count regression models. Applied Stochastic Models in Business and Industry 23 (1), 2007, 1-21 more… BibTeX
- Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 more… BibTeX
- Algebraic statistical models. Statistica Sinica 17 (4), 2007, 1273-1297 more… BibTeX
- Multiple Testing and Error Control in Gaussian Graphical Model Selection. Statistical Science 22 (3), 2007, 430-449 more… BibTeX
- Extremes of supOU processes. In: Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications. Springer, 2007, 340-359 more… BibTeX
- A nonparametric test for similarity of marginals - with applications to the assessment of population bioequivalence. Journal of Statistical Planning and Inference 137 (3), 2007, 697-711 more… BibTeX
- Spatial modelling of claim frequency and claim size in non-life insurance. Scandinavian Actuarial Journal 107, 2007, 202-225 more… BibTeX
- An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 more… BibTeX
- An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 more… BibTeX
- Method of moment estimation in the COGARCH(1,1) model. The Econometrics Journal 10 (2), 2007, 320-341 more… BibTeX
- Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 2007, 229–251 more… BibTeX
- Optimal investment for insurers, when the stock price follows an exponential Lévy process. Insurance: Math. and Econ. 41 (2), 2007, 250-263 more… BibTeX
- Multivariate fractionally integrated CARMA processes. Journal of Mult. Anal. 98 (9), 2007, 1705 - 1725 more… BibTeX
- Multivariate CARMA Processes. Stochastic Processes and their Applications 117 (1), 2007, 96-120 more… BibTeX
- Tempering stable processes. Stochastic Processes and Their Applications, 117 (6), 2007, 677-707 more… BibTeX
2006
- Continuous-time GARCH processes. The Annals of Applied Probability 16 (2), 2006, 790–826 more… BibTeX
- Fractional integral equations and state space transforms. Bernoulli 12 (3), 2006, 431-456 more… BibTeX
- Operational VAR: meaningful means. RISK, 2006, 96-98 more… BibTeX
- Density results for frames of exponentials. In: Heil, C.: Harmonic Analysis and Applications. Birkhäuser, 2006, 359-369 more… BibTeX
- Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors. Statistical Papers 47 (3), 2006, 419-442 more… BibTeX
- Algebraic Techniques for Gaussian Models. Proceedings of Prague Stochastics 2006, 2006, 91-90 more… BibTeX
- Computing all roots of the likelihood equations of seemingly unrelated regressions. Journal of Symbolic Computation 41 (2), 2006, 245-254 more… BibTeX
- Conditional independence models for seemingly unrelated regressions with incomplete data. Journal of Multivariate Analysis 97 (2), 2006, 385-411 more… BibTeX
- Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property. Scandinavian Journal of Statistics 33 (2), 2006, 247-257 more… BibTeX
- Algebraic factor analysis: tetrads, pentads and beyond. Probability Theory and Related Fields 138 (3-4), 2006, 463-493 more… BibTeX
- Extremes of subexponential Lévy driven moving average processes. Stochastic Process. Appl. 116 (7), 2006, 1066-1087 more… BibTeX
- Extremal behavior of stochastic volatility models. In: Stochastic Finance. Springer, 2006, 107-155 more… BibTeX
- Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 more… BibTeX
- Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 more… BibTeX
- A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 more… BibTeX
- Validating linear restrictions in linear regression models with general error structure. Discussion Paper 478 beim SFB 386 "Diskrete Strukturen", 2006 more… BibTeX
- On extreme ruinous behaviour of Lévy Insurance risk processes. J. Appl. Probab. 43 (2), 2006, 594-598 more… BibTeX
- Bivariate extreme value distributions based on polynomial dependence functions. Mathematical Methods in the Applied Sciences 29 (12), 2006, 1467–1480 more… BibTeX
- Introduction to the copula discussion: some background. Extremes 7 (1), 2006, 1-2 more… BibTeX
- Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. In: Kabanov, Yu., Liptser, R., Stoyanov, J.: The Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance. Springer, 2006, 393-419 more… BibTeX
- Asymptotic bounds for infinitely divisible sequences. Stochastic Processes and Their Applications 116 (11), 2006, 1622-1635 more… BibTeX
- Fractional Lévy processes with an application to long memory moving average processes. Bernoulli 12 (6), 2006, 1009-1126 more… BibTeX
- Ruin probability in the presence of risky investments. Stoch. Proc. Appl. 116 (2), 2006, 267-278 more… BibTeX
- Seat excess variances of apportionment methods for proportional representation. Statistics & Probability Letters 76 (16), 2006, 1723-1730 more… BibTeX
2005
- Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes. Scandinavian Journal of Statistics 32 (4), 2005, 617-637 more… BibTeX
- Mutagenetic Tree Models – 14. In: Algebraic Statistics for Computational Biology. Cambridge University Press, 2005, 278-290 more… BibTeX
- Ruin estimation in multivariate models with Clayton dependence structure. Scand. Act. J. 2005 (6), 2005, 462-480 more… BibTeX
- Modified burg algorithms for multivariate subset autoregression. Statistica Sinica 01/2005 (15), 2005, 197-213 more… BibTeX
- Lévy-driven and fractionally integrated ARMA processes with continuous time parameter. Statistica Sinica 15 (2), 2005, 477-494 more… BibTeX
- Maxima of stochastic processes driven by fractional Brownian motion. Adv. Appl. Probab. 37 (3), 2005, 743-764 more… BibTeX
- Operational VaR: a closed-form approximation. Risk, 2005, 90-93 more… BibTeX
- Frames and the Feichtinger conjecture. Proc. Amer. Math. Soc. 133 (4), 2005, 1025-1033. more… BibTeX
- Bayesian poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36 (3), 2005, 260-284 more… BibTeX
- Modeling individual migraine severity with autoregressive ordered probit models. Discussion Paper 413 beim SFB 386 "Diskrete Strukturen". , 2005 more… BibTeX
- Zero-inflated generalized Poisson regression: Asymptotic theory and applications. Discussion Paper 474 beim SFB 386 "Diskrete Strukturen". , 2005 more… BibTeX
- Räumliche Logit-Modelle der individuellen Verkehrsmittelwahl mit Berücksichtigung von Clustereffekten. In: Deutsche Verkehrswissenschaftliche Gesellschaft (Hrsg.): 12. Seminar für Statistik und Verkehr - Mikroökonometrische Methoden in der Verkehrsforschung. . Schriftenreihe der Deutschen Verkehrswissenschaftlichen Gesellschaft e.V. DVWG, B 280 , 2005 more… BibTeX
- Ultra-Conserved Elements in Vertebrate and Fly Genomes – 22. In: Algebraic Statistics for Computational Biology. Cambridge University Press, 2005, 387-402 more… BibTeX
- Asymptotic seat bias formulas. Metrika 62 (1), 2005, 23-31 more… BibTeX
- Extremes of regularly varying Lévy driven mixed moving average processes. Adv. in Appl. Probab 37 (4), 2005, 993-1014 more… BibTeX
- Calculation of LTC premiums based on direct estimates of transition probabilities. ASTIN Bulletin 35, 2005, 455-469 more… BibTeX
- Multiresolution Analysis of Long Time Series With Applications to Finance. Discussion Paper 497 beim SFB 386 "Diskrete Strukturen", 2005 more… BibTeX
- Extreme value theory for moving avarage processes with light-tailed innovations. Bernoulli 11 (3), 2005, 381-410 more… BibTeX
- Tail approximation for credit risk portfolios with heavy-tailed risk factors. Journal of Risk 8 (2), 2005, 81-107 more… BibTeX
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes. Stoch. Proc. Appl. 115 (10), 2005, 1701-1722 more… BibTeX
- An autoregressive ordered probit model with application to high frequency financial data. Journal of Computational and Graphical Statistics 14 (2), 2005, 320-338 more… BibTeX
2004
- Tail behaviour of the busy period of GI/G/1 queue with subexponential service times. Stoch. Proc. Appl. 111 (2), 2004, 237-258 more… BibTeX
- Subexponential distributions - large deviations with applications to insurance and queueing models. Austr.N.Z.J.Stat 46 (1), 2004, 141-150 more… BibTeX
- Representations of continuous-time ARMA processes. J. Appl. Probab. 41, 2004, 375-382 more… BibTeX
- Decompounding Poisson random sums: recursively truncated estimates in the discrete case. Ann. Inst. Statist. Math. 56 (4), 2004, 743-756 more… BibTeX
- Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf Gesamtschadenmodelle. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik 26 (3), 2004, 331-350 more… BibTeX
- Multimodality of the likelihood in the bivariate seemingly unrelated regressions model. Biometrika 91 (2), 2004, 383-392 more… BibTeX
- Model selection for Gaussian concentration graphs. Biometrika 91 (3), 2004, 591-602 more… BibTeX
- Iterative conditional fitting for Gaussian ancestral graph models. Proceedings of the 20th conference on Uncertainty in artificial intelligence (UAI-04), 2004, 130–137 more… BibTeX
- Surface volumes of rounding polytopes. Linear Algebra and its Applications 378, 2004, 71-91 more… BibTeX
- Optimal portfolios when stock prices follow an exponential Lévy process. Finance & Stochastics 8 (1), 2004, 17-44 more… BibTeX
- Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 more… BibTeX
- Modelling, estimation and visualization of multivariate dependence for risk management. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, more… BibTeX
- Dependence estimation and visualization in multivariate extremes with applications to financial data. Extremes 7 (2), 2004, 99-121. more… BibTeX
- Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. J. Multiv. Anal. 88 (2), 2004, 252-273 more… BibTeX
- A geometric approach to portfolio optimization in models with transaction costs. Finance & Stochastics 8 (2), 2004, 207-227 more… BibTeX
- Pricing derivatives of American and game type in incomplete markets. Finance & Stochastics 8 (2), 2004, 261-284 more… BibTeX
- Risk management with extreme value theory. In: Finkenstädt, B. and Rootzén, H.: Extreme Values in Finance, Telecommunication and the Environment.. Chapman and Hall/CRC, Boca Raton, 2004, 101-168 more… BibTeX
- Subexponential distributions. In: Sundt, B. and Teugels, J.: Encyclopedia of Actuarial Science. Wiley, Chichester, 2004, 1626-1633 more… BibTeX
- Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14 (4), 2004, 1766-1801 more… BibTeX
- Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. Stoch. Proc. Appl. 113 (2), 2004, 333-351 more… BibTeX
- A continuous time GARCH process driven by a Lévy process: stationarity and second order behaviour. J. Appl. Prob. 41 (3), 2004, 601-622 more… BibTeX
- The tail of the stationary distribution of a random coefficient AR(q) model. Ann. Appl. Probab. 14 (2), 2004, 971-1005 more… BibTeX
- Game contingent claims in complete and incomplete markets. Journal of Mathematical Economics 40 (8), 2004, 889-902 more… BibTeX
- Seat allocation distributions and seat biases of stationary apportionment methods for proportional representation. Metrika 60 (2), 2004, 191-202 more… BibTeX
- Simulation of Aphasic Naming Performance in Non-Brain-Damaged Adults. Journal of Speech, Language, and Hearing Research 47 (3), 2004, 610-623 more… BibTeX
2003
- Domains of attraction for exponential families. Stoch. Proc. Appl. 107 (1), 2003, 83-103 more… BibTeX
- Decompounding: an estimation problem for Poisson random sums. Ann. Statist. 31 (4), 2003, 1054-1074 more… BibTeX
- The inception selection effect of diagnosis in a German long term care portfolio. Discussion Paper 357 beim SFB 386 "Diskrete Strukturen", 2003 more… BibTeX
- A Markov Chain Model of Tornadic Activity. Monthly Weather Review 131 (12), 2003, 2941-2953 more… BibTeX
- A New Algorithm for Maximum Likelihood Estimation in Gaussian Graphical Models for Marginal Independence. Proceedings of the 19th Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-03), 2003, 184-191 more… BibTeX
- Theoretical foundations of autoregressive models for time series on acyclic directed graphs. Discussion Paper 326 beim SFB 386 "Diskrete Strukturen". , 2003 more… BibTeX
- Regular variation in the mean and stable limits for Poisson shot noise. Bernoulli 9 (3), 2003, 467-496 more… BibTeX
- Renewal theory for functionals of a Markov chain with compact state space. Ann. Probab. 31 (4), 2003, 2270-2300 more… BibTeX
- Regression models for ordinal valued time series: applications in high frequency finance and medicine. Discussion Paper 335 beim SFB 386 "Diskrete Strukturen". , 2003 more… BibTeX
- Seat biases of apportionment methods for proportional representation. Electoral Studies 22 (4), 2003, 651-676 more… BibTeX
- Unbiasedness in least quantile regression. In: Dutter, R., Filzmoser, P.,Gather,U., Rousseeuw, P.J.: Developments in Robust Statistics. Physica-Verlag, Heidelberg, New York, 2003, 377-386 more… BibTeX
- Allocation of risk capital to insurance portfolios. Blätter der DGVFM 26 (2), 2003, 389-406 more… BibTeX
2002
- A local limit theorem for random walk maxima with heavy tails. Statistics & Probability Letters 56 (4), 2002, 399-404 more… BibTeX
- A single channel on/off model with top-like control. Stochastic Models 18 (3), 2002 more… BibTeX
- On Riesz Fischer sequences and lower frame bounds. Z. Anal. Anwend. 21 (2), 2002, 305-314 more… BibTeX
- Decomposition of Riesz frames and wavelets into a finite union of linearly independent sets. Lin. Alg. Appl. 355 (1-3), 2002, 147-159 more… BibTeX
- Application of survival analysis methods to long term care insurance. Insurance: Mathematics and Economics 31 (3), 2002, 395-413 more… BibTeX
- Testing for reduction to random walk in autoregressive conditional heteroscedasticity models. The Econometrics Journal 5 (2), 2002, 387-416 more… BibTeX
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. Insurance: Mathematics & Economics 31 (2), 2002, 215-233. more… BibTeX
- Growth estimates for sine-type-functions and applications to Riesz bases of exponentials. Aprox. Theory Appl. (N.S.) 18 (3), 2002, 26-41 more… BibTeX
- Randbereiche von Verteilungen. fat Tails. Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Schriftenreihe Angewandte Versicherungsmathematik 31, 2002 more… BibTeX
2001
- Stability for multivariate exponential families. J. Math. Sci. 106 (2), 2001, 2777-2791 more… BibTeX
- Complex stochastic systems. Chapman and Hall / CRC, Boca Raton, 2001 more… BibTeX
- Asymptotic behavior of the sample autocovariance and autocorrelation function of the AR(1) process with ARCH(1) errors. Bernoulli 7 (6), 2001, 847-872 more… BibTeX
- The tail of the stationary distribution of an autoregressive process with ARCH(1) errors. Ann. Applied Probab 11 (4), 2001, 1220-1241 more… BibTeX
- Bootstrap methods for the nonparametric assessment of population bioequivalence and similarity of distributions. Journal of Statistical Computation and Simulation 68 (3), 2001, 243 -280 more… BibTeX
- Frames containing a Riesz basis and approximation of the inverse frame operator. In: Hausmann, W., Jetter, K. und Reimer, M.: Recent Progress in Multivariate Approximations. Birkhäuser, 2001, 89-100 more… BibTeX
- Frames of exponentials: lower frame bounds for finite subfamilies and approximation of the inverse frame operator. Lin. Alg. Appl. 323 (1-3), 2001, 117-130 more… BibTeX
- Lower bounds for finite Gabor and wavelet systems. Approx. Theory Appl. (N.S.) 17 (1), 2001, 18-29 more… BibTeX
- Optimal portfolios with bounded Capital-at-Risk. Mathematical Finance 11 (4), 2001, 365-384 more… BibTeX
- Fluid queue models for observed long range dependence in telecommunication data. In: Greiner, M.,Jobmann, M.: Stochastic Modeling of High-Speed Networks: Workshop Proceedings. CS Press, 2001 more… BibTeX
- Developments in insurance mathematics. In: Engquist, B., Schmid, W.: Mathematics Unlimited - 2001 and Beyond. Springer, 2001, 703-722 more… BibTeX
- An estimator of the number of change points based on a weak invariance principle. Statistics and Probability Letters 51 (2), 2001, 189-196 more… BibTeX
2000
- Extremal behavior of the autoregressive processwith ARCH(1) errors. Stochastic Processes and their Applications 85, 2000, 189-207 more… BibTeX
- Extremwerttheorie für Finanzzeitreihen - ein unverzichtbares Werkzeug im Risikomanagement219-241. In: Handbuch Risikomanagement. Uhlenbruch , 2000, 219-241 more… BibTeX
- Multivariate regression analysis of panel data with binaryoutcomes applied to unemployment data. Statistical Papers 41 (3), 2000, 281-304 more… BibTeX
- Noncanonical links in generalized linear models - when is the effort justified. Journal of Statistical Planning and Inference 87 (2), 2000, 317-345 more… BibTeX
- A universal constant for exponential Riesz sequences. Zeitschrift für Analysis und ihre Anwendungen 19 (2), 2000, 553-559 more… BibTeX
1999
- Limit laws for exponential families. Bernoulli 5 (6), 1999, 951-968 more… BibTeX
- Tail exactness of multivariate saddlepoint approximations. Scandinavian Journal of Statistics 26 (2), 1999 more… BibTeX
- Telecommunication traffic, queueing models and subexponential distributions. Queueing Systems 33 (1-3), 1999 more… BibTeX
- Optimale Portfolios mit beschränktem Value-at-Risk. Solutions 3 (2), 1999, 23-32 more… BibTeX
- On lower bounds of exponential frames. Journal of Fourier Analysis and Applications 5 (2-3), 1999, 185-192 more… BibTeX
- A single number can't hedge against economic catastrophes. AMBIO: A Journal of the Human Environment 28 (6), 1999 more… BibTeX
1998
- Sampling at subexponential times, with queueing applications. Stochastic Processes and their Applications 79 (2), 1998, 265-286 more… BibTeX
- Extremal behaviour of diffusion models in finance. Extremes 1 (1), 1998, 47-80 more… BibTeX
- Assessing the similarity of distributions - finite sample performance of the empirical Mallow distance. Journal of Statistical Computation and Simulation 60 (4), 1998 more… BibTeX
- Nonparametric validation of similar distributions and assessment of goodness of fit. Journal of the Royal Statistical Society: Series B 60 (1), 1998, 223-241 more… BibTeX
- VaR - ein Maß für das extreme Risiko. Solutions 2, 1998, 53-63 more… BibTeX
- Subexponential distributions. In: A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy Tailed Distributions. Birkhäuser, 1998, 435-459 more… BibTeX
- Risikomanagement in der Finanzmathematik. DMV-Mitteilungen 6 (3), 1998, 62-67 more… BibTeX
- Ruin probabilities in the presence of heavy tails and interest rates. Scandinavian Actuarial Journal 1998 (1), 1998, 49-58 more… BibTeX
1997
- Stationary M/G/1 excursions in the presence of heavy tails. Journal of Applied Probability 34 (1), 1997, 208-212 more… BibTeX
- On selecting parametric link transformation families in generalized linear models. Journal of Statistical Planning and Inference 61 (1), 1997, 125-139 more… BibTeX
- Large deviations of heavy-tailed random sums with applications in insurance and finance. Journal of Applied Probability 34 (2), 1997, 293-308 more… BibTeX
1996
- Large deviations results in the presence of heavy tails, with applications to insurance risk. Stochastic Processes and their Applications 64 (1), 1996, 103-125 more… BibTeX
- Bayesian Inference for semiparametric binary regression. Journal of the American Statistical Association 91 (433), 1996, 142-153 more… BibTeX
- Self-normalised and randomly centred spectral estimates. In: Proceedings of the Athens International Conference on Applied Probability and Time Series. Springer, 1996, 259-271 more… BibTeX
- Gaussian limit fields for the integrated periodogram. Annals of Applied Probability 6 (3), 1996, 969-991 more… BibTeX
- Parameter estimation for a misspecified ARMA model with infinite variance innovations. Journal of Mathematical Sciences 78 (1), 1996, 60-65 more… BibTeX
- The integrated periodogram for stable processes. Annals of Statistics 24 (5), 1996, 1855-1879 more… BibTeX
1995
- Tauberian results for densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1995, 383-400 more… BibTeX
- Explosive Poisson shot noise processes with applications to risk reserves. Bernoulli 1 (1-2), 1995, 125-147 more… BibTeX
- Delay in claim settlement and ruin probability approximations. Scandinavian Actuarial Journal 1995 (2), 1995, 154-168 more… BibTeX
- On strong consistency of estimators for infinite variance time series. Theory of Probability and Mathematical Statístics 53, 1995, 127-136 more… BibTeX
- Parameter estimation for ARMA models with infinite variance innovations. Annals of Statistics 23 (1), 1995, 305-326 more… BibTeX
1994
- Large claims approximations for risk processes in a Markovian environment. Stoch. Proc. Appl. 54 (1), 1994, 29-43 more… BibTeX
- Parametric link modification of both tails in binary regression. Statistical Papers 35 (1), 1994, 189-201 more… BibTeX
- Bayesian inference of binary regression models with parametric link. Journal of Statistical Planning and Inference 41 (2), 1994, 121-140 more… BibTeX
- Katastrophen - Modellierung und Vorhersage. Antrittsvorlesung, 1. Dezember 1993, ETH-Zürich. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker (1), 1994, 29-49 more… BibTeX
- Some limit theory for the self-normalised periodogram of stable processes. Scand. J. Stat. 21 (4), 1994, 485-491 more… BibTeX
1993
- Densities with Gaussian tails. Journal of the London Mathematical Society 51 (3), 1993, 568-588 more… BibTeX
- Approximation methods for the total claimsize distribution - an algorithmic and graphical presentation. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker 2, 1993, 187-227 more… BibTeX
- Norm restricted maximum likelihood estimators for binary regression models with parametric link. Communications in Statistics, Theory and Methods 22 (8), 1993, 2259-2274 more… BibTeX
- Some aspects of insurance mathematics. Theory of Probability and its Applications 38 (2), 1993, 262-295 more… BibTeX
- Asymptotic ordering of risks and ruin probabilities. Insurance: Mathematics and Economics 12 (3), 1993, 259-264 more… BibTeX
- Spectral estimates and stable processes. Stochastic Processes and their Applications 47 (2), 1993, 323-344 more… BibTeX
- Estimation of distribution tails - a semiparametric approach. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 21 (2), 1993, 213-235 more… BibTeX
1992
1991
- Statistical estimation of large claims distributions. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1991, 203-216 more… BibTeX
- The full solution of the convolution closure problem for convolution- equivalent distributions. J. Math. Anal. Appl. 160 (1), 1991, 79-92 more… BibTeX