2023
- ESG, risk, and (tail) dependence. International Review of Financial Analysis 87, 2023, 102513 mehr… Volltext ( DOI )
- The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology. Global Finance Journal 56, 2023, 100780 mehr… Volltext ( DOI )
- Vine Copula based Portfolio Level Conditional Risk Measure Forecasting. Econometrics and Statistics, 2023 mehr… Volltext ( DOI )
- 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 mehr… Volltext ( DOI )
2022
- An Application of D-vine Regression for the Identification of Risky Flights in Runway Overrun. Preprint, 2022 mehr… Volltext ( DOI )
- Dependent censoring based on parametric copulas. Biometrika 110 (3), 2022, 721-738 mehr… Volltext ( DOI )
- Vine copula based dependence modeling in sustainable finance. The Journal of Finance and Data Science 8, 2022, 309-330 mehr… Volltext ( DOI )
- Vine Copula Based Modeling. Annual Review of Statistics and Its Application 9 (1), 2022, 453-477 mehr… Volltext ( DOI )
- On the Observability of Gaussian Models using Discrete Density Approximations. 2022 25th International Conference on Information Fusion (FUSION), IEEE, 2022 mehr… Volltext ( DOI )
- Statistical Dependence Analyses of Operational Flight Data Used for Landing Reconstruction Enhancement. Preprint, 2022 mehr… Volltext ( DOI )
- A Bayesian non‐linear state space copula model for air pollution in Beijing. Journal of the Royal Statistical Society: Series C (Applied Statistics), 2022 mehr… Volltext ( DOI )
- Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter? Corporate Social Responsibility and Environmental Management 29 (5), 2022, 1782-1798 mehr… Volltext ( DOI )
- The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology. SSRN Electronic Journal, 2022, 30 pages mehr… Volltext ( DOI )
- Vine copula mixture models and clustering for non-Gaussian data. Econometrics and Statistics 22, 2022, 136-158 mehr… Volltext ( DOI )
- High-dimensional sparse vine copula regression with application to genomic prediction. Preprint, 2022 mehr… Volltext ( DOI )
- Vine Copula based portfolio level conditional risk measure forecasting. Preprint, 2022 mehr… Volltext ( DOI )
- Bivariate vine copula based quantile regression. Preprint, 2022 mehr… Volltext ( DOI )
- Nonparametric C- and D-vine-based quantile regression. Dependence Modeling 10 (1), 2022, 1-21 mehr… Volltext ( DOI )
- Two‐part D‐vine copula models for longitudinal insurance claim data. Scandinavian Journal of Statistics, 2022 mehr… Volltext ( DOI )
2021
- ESG, Risk, and (Tail) Dependence. SSRN Electronic Journal, 2021, 29 Pages mehr… Volltext ( DOI )
- Dependent censoring based on copulas. Preprint, 2021, 33 pages mehr…
- Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. Econometrics and Statistics 19, 2021, 130-150 mehr… Volltext ( DOI )
- Vine copula mixture models and clustering for non-Gaussian data. Preprint, 2021 mehr…
- ESGM: ESG scores and the Missing pillar. SSRN Electronic Journal, 2021, 21 Pages mehr… Volltext ( DOI )
2020
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series. Computational Statistics & Data Analysis 142 (142), 2020, t.b.a. mehr… Volltext ( DOI )
- Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Journal of Computational and Graphical Statistics 29 (3), 2020, 523-534 mehr… Volltext ( DOI )
- Modeling of Stochastic Wind Based on Operational Flight Data Using Karhunen–Loève Expansion Method. Sensors 20 (16), 2020, 4634 mehr… Volltext ( DOI )
2019
- Flexible dynamic vine copula models for multivariate time series data. Econometrics and Statistics 12 (12), 2019, 181-197 mehr… Volltext ( DOI )
- Dependence modeling for recurrent event times subject to right‐censoring with D‐vine copulas. Biometrics 75 (2), 2019, 439-451 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- R-code for Chapter 01: Multivariate distributions and copulas. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 02: Dependence measures. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 03: Bivariate copula classes, their visualization and estimation. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 04: Pair copula decompositions and constructions. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 06: Simulating regular vine copulas and distributions. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 07: Parameter estimation in simplified regular vine copulas. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 08: Selection of regular vine copula models. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 09: Comparing regular vine copula models. 2019 mehr… Volltext (mediaTUM)
- R-code for Chapter 10: Case study: Dependence among German DAX stocks. 2019 mehr… Volltext (mediaTUM)
- Analyzing Dependent Data with Vine Copulas – A Practical Guide With R. Band 222. Springer International Publishing, 2019 mehr… Volltext ( DOI )
- Modelling temporal dependence of realized variances with vines. Econometrics and Statistics 12, 2019, 198-216 mehr… Volltext ( DOI )
- A statistical simulation method for joint time series of non-stationary hourly wave parameters. Coastal Engineering 146 (146), 2019, 14-31 mehr… Volltext ( DOI )
- Bayesian inference for dynamic vine copulas in higher dimensions. Preprint, 2019 mehr… Volltext (mediaTUM)
- Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Preprint, 2019 mehr… Volltext (mediaTUM)
- Bayesian Multivariate Nonlinear State Space Copula Models. Preprint, 2019 mehr… Volltext (mediaTUM)
- Selection of Sparse Vine Copulas in High Dimensions with the Lasso. Statistics and Computing 29 (2), 2019, 269-287 mehr… Volltext ( DOI )
- Dependence modelling in ultra high dimensions with vine copulas and the Graphical Lasso. Computational Statistics & Data Analysis 137, 2019, 211-232 mehr… Volltext ( DOI )
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. Journal of Multivariate Analysis 172, 2019, 180-192 mehr… Volltext ( DOI )
2018
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data. Computational Statistics & Data Analysis 117, 2018, 109-127 mehr… Volltext ( DOI )
- Standardized drought indices: A novel uni- and multivariate approach. Journal of the Royal Statistical Society: Series C (Applied Statistics) 67 (3), 2018, 643-664 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Bayesian Model Selection of Regular Vine Copulas. Bayesian Analysis 13 (4), 2018, 1111-1135 mehr… Volltext ( DOI )
- A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters. Preprint, 2018 mehr…
- AD‐vine copula‐based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Journal of The International Biometric Society, 2018 mehr… Volltext ( DOI )
- Model distances for vine copulas in high dimensions. Statistics and Computing 28 (2), 2018, 323–341 mehr… Volltext (mediaTUM)
- Vine copula based post-processing of ensemble forecasts for temperature. Preprint, 2018 mehr…
- Representing Sparse Gaussian DAGs as Sparse R-vines Allowing for Non-Gaussian Dependence. Journal of Computational and Graphical Statistics 27 (2), 2018, 334-344 mehr… Volltext ( DOI )
- Selection of sparse vine copulas in high dimensions with the Lasso. Statistics and Computing 29 (2), 2018, 269-287 mehr… Volltext ( DOI )
2017
- Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks 5 (3), 2017, 38-50 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- A D-vine copula based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Preprint, 2017 mehr… Volltext (mediaTUM)
- Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas. Preprint, 2017 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Growing simplified vine copula trees: improving Dißmann's algorithm. Preprint, 2017 mehr… Volltext (mediaTUM)
- D-vine copula based quantile regression. Computational Statistics and Data Analysis 110, 2017, 1-18 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Heavy tailed spatial autocorrelation models. Preprint, 2017 mehr… Volltext (mediaTUM)
- Dependence Modeling in Ultra High Dimensions with Vine Copulas and the Graphical Lasso. Preprint, 2017 mehr… Volltext (mediaTUM)
- A periodic spatial vine copula model for multi-site streamflow simulation. Electric Power Systems Research 152, 2017, 9-17 mehr… Volltext ( DOI )
- D-vine quantile regression with discrete variables. Preprint, 2017 mehr… Volltext (mediaTUM)
2016
- Vine copula based inference of multivariate event time data. Preprint, 2016 mehr…
- Pair-copula Bayesian networks. Journal of Computational and Graphical Statistics 25 (4), 2016, 1248–1271 mehr… Volltext ( DOI )
- Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence. Preprint, 2016 mehr… Volltext ( DOI )
- Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. Journal of Multivariate Analysis 151 (C), 2016, 69-89 mehr… Volltext ( DOI )
2015
- Bayesian total loss estimation using shared random effects. Insurance: Mathematics and Economics 62, 2015, 194-201 mehr…
- COPAR - Multivariate time series modeling using the COPula AutoRegressive model. Applied Stochastic Models in Business and Industry 31 (4), 2015, 495-514 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Spatial composite likelihood inference using local C-vines. Journal of Multivariate Analysis 138, 2015, 74-88 mehr… Volltext ( DOI )
- R-vine models for spatial time series with an application to daily mean temperature. Biometrics 71 (2), 2015, 323-332 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Sequential Bayesian model selection of regular vine copulas. Bayesian Analysis 10 (4), 2015, 937-963 mehr… Volltext (mediaTUM)
- 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 mehr…
2014
- Flexible dependence modeling of operational risk losses and its impact on total capital requirements. Journal of Banking and Finance 40 (C), 2014, 271-285 mehr… Volltext (mediaTUM)
- Model selection of vine copulas with applications. Presentation at Fifth vine copula workshop "International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications", 2014 mehr… Volltext (mediaTUM)
- Nonnested model selection for spatial count regression models with application to health insurance. Statistical Papers 55 (2), 2014, 455-476 mehr… Volltext (mediaTUM)
- Bayesian model selection of regular vine copulas. In: The Contribution of Young Researchers to Bayesian Statistics. Springer, 2014 mehr…
- SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 mehr… Volltext ( DOI )
- Regime switches in the dependence structure of multidimensional financial data. Computational Statistics and Data Analysis 76, 2014, 672-686 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2013
- Multivariate option pricing using copulae. Applied Stochastic Models in Business and Industry 29 (5), 2013, 509–526 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics 53 (3), 2013, 722–732 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics (53), 2013, 722-732 mehr… Volltext (mediaTUM)
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50. Statistics and Risk Modeling 30 (4), 2013, 307–342 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Vine copulas and their applications to financial data. Presentation at AFMathConf 2013, 2013 mehr… Volltext (mediaTUM)
- Selection of Vine Copulas. In: Jaworski, Piotr, Durante, Fabrizio, Härdle, Wolfgang Karl: Copulae in Mathematical and Quantitative Finance. Springer, 2013, 17-37 mehr… Volltext (mediaTUM)
- Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 59, 2013, 52–69 mehr… Volltext (mediaTUM)
- Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 2013, 829–839 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2012
- Efficient Bayesian inference for stochastic time-varying copula models. Computational Statistics and Data Analysis 56 (6), 2012, 1511–1527 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Pair-copula Bayesian networks. Preprint , 2012 mehr… Volltext (mediaTUM)
- Pair-copula constructions for non-Gaussian DAG models. The Canadian Journal of Statistics 40 (1), 2012, 86 - 109 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Truncated regular vines in high dimensions with applications to financial data. Canadian Journal of Statistics 40 (1), 2012, 68-85 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4 (1.12), 2012, 278-305 mehr… Volltext (mediaTUM)
- Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229-255 mehr… Volltext (mediaTUM)
2011
- 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 mehr… Volltext (mediaTUM)
- The World of Vines. Presentation at the 4th Workshop on Vine Copula Distributions and Applications, 2011 mehr… Volltext (mediaTUM)
- Mathematische Statistik. Springer Verlag, 2011 mehr… Volltext (mediaTUM)
- Modeling individual migraine severity with autoregressive ordered probit models. Statistical Methods and Applications 20 (1), 2011, 101-121 mehr… Volltext (mediaTUM)
- Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196–1214 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Comparing point and interval estimates in the bivariate t-copula model with application to financial data. Statistical Papers 52 (3), 2011, 709-731 mehr… Volltext (mediaTUM)
- Bayesian model selection for D-vine pair-copula constructions. Canadian Journal of Statistics 39 (2), 2011, 239–258 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2010
- Pair-copula constructions of multivariate copulas. In: Workshop on Copula Theory and its Applications. Springer, 2010, 93-109 mehr… Volltext (mediaTUM)
- An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- 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 mehr…
- Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Bankruptcy prediction in Norway: a comparison study. Applied Economics Letters 17 (17), 2010, 1739-1746 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Locating multiple interacting quantitative trait loci with the zero-inflated generalized Poisson regression. Statistical Applications in Genetics and Molecular Biology 9 (1), 2010 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. INFORMS - Journal on Computing, 2010 mehr… Volltext (mediaTUM)
- Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models. Preprint, 2010 mehr… Volltext (mediaTUM)
- Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Model selection strategies for identifying most relevant covariates in homoscedastic linear models. Computational Statistics and Data Analysis 54, 2010, 3194-3211 mehr… Volltext (mediaTUM)
- Testing for zero-modification in count regression models. Statistica Sinica 20, 2010, 323-341 mehr… Volltext (mediaTUM)
- Modelling longitudinal data using a pair-copula decomposition of serial dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2009
- Pair-copula constructions of multiple dependence. Insurance Mathematics and Economics 44 (2), 2009, 182-198 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Predictive model assessment for count data. Biometrics 65 (4), 2009, 1254-1261 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Bayesian inference for D-vines: estimation and model selection. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Pair-copula constructions for modeling exchange rate dependence. Preprint, 2009 mehr… Volltext (mediaTUM)
- Nonnested model comparison of GLM and GAM count regression models for life insurance data. Preprint, 2009 mehr… Volltext (mediaTUM)
- Generalized estimating equations for longitudinal generalized Poisson count data with regression effects on the mean and dispersion level. Preprint, 2009 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Stochastic volatility models for ordinal valued time series with application to finance. Statistical Modelling 9 (1), 2009, 69-95 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- A mixed autoregressive probit model for ordinal longitudinal data. Biostatistics 11 (1), 2009, 127-138 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2008
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Modeling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects. Statistical Modelling 8 (4), 2008, 315-345 mehr… Volltext (mediaTUM)
- State space mixed models for longitudinal observations with binary and binomial responses. Statistical Papers 49 (4), 2008, 691-714 mehr… Volltext (mediaTUM)
- Modelling count data with overdispersion and spatial effects. Statistical Papers (49(3)), 2008, 531-552 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext (mediaTUM)
2007
- 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 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- 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 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext (mediaTUM)
- Spatial modelling of claim frequency and claim size in non-life insurance. Scandinavian Actuarial Journal 107, 2007, 202-225 mehr… Volltext (mediaTUM)
- An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2006
- Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors. Statistical Papers 47 (3), 2006, 419-442 mehr… Volltext (mediaTUM)
- Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 mehr… Volltext (mediaTUM)
- Validating linear restrictions in linear regression models with general error structure. Discussion Paper 478 beim SFB 386 "Diskrete Strukturen", 2006 mehr… Volltext (mediaTUM)
2005
- Bayesian poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36 (3), 2005, 260-284 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Modeling individual migraine severity with autoregressive ordered probit models. Discussion Paper 413 beim SFB 386 "Diskrete Strukturen". , 2005 mehr… Volltext (mediaTUM)
- Zero-inflated generalized Poisson regression: Asymptotic theory and applications. Discussion Paper 474 beim SFB 386 "Diskrete Strukturen". , 2005 mehr… Volltext (mediaTUM)
- 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 mehr… Volltext (mediaTUM)
- Calculation of LTC premiums based on direct estimates of transition probabilities. ASTIN Bulletin 35, 2005, 455-469 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Multiresolution Analysis of Long Time Series With Applications to Finance. Discussion Paper 497 beim SFB 386 "Diskrete Strukturen", 2005 mehr… Volltext (mediaTUM)
- An autoregressive ordered probit model with application to high frequency financial data. Journal of Computational and Graphical Statistics 14 (2), 2005, 320-338 mehr… Volltext (mediaTUM)
2004
- Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf Gesamtschadenmodelle. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik 26 (3), 2004, 331-350 mehr… Volltext (mediaTUM)
2003
- The inception selection effect of diagnosis in a German long term care portfolio. Discussion Paper 357 beim SFB 386 "Diskrete Strukturen", 2003 mehr… Volltext (mediaTUM)
- Theoretical foundations of autoregressive models for time series on acyclic directed graphs. Discussion Paper 326 beim SFB 386 "Diskrete Strukturen". , 2003 mehr… Volltext (mediaTUM)
- Regression models for ordinal valued time series: applications in high frequency finance and medicine. Discussion Paper 335 beim SFB 386 "Diskrete Strukturen". , 2003 mehr… Volltext (mediaTUM)
2002
- Application of survival analysis methods to long term care insurance. Insurance: Mathematics and Economics 31 (3), 2002, 395-413 mehr… Volltext ( DOI ) Volltext (mediaTUM)
2001
- Individual migraine risk management using binary state space mixed models. Preprint, 2001 mehr… Volltext (mediaTUM)
2000
- Multivariate regression analysis of panel data with binaryoutcomes applied to unemployment data. Statistical Papers 41 (3), 2000, 281-304 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Noncanonical links in generalized linear models - when is the effort justified. Journal of Statistical Planning and Inference 87 (2), 2000, 317-345 mehr… Volltext ( DOI ) Volltext (mediaTUM)
1998
- Assessing the similarity of distributions - finite sample performance of the empirical Mallow distance. Journal of Statistical Computation and Simulation 60 (4), 1998 mehr… Volltext ( DOI ) Volltext (mediaTUM)
- Nonparametric validation of similar distributions and assessment of goodness of fit. Journal of the Royal Statistical Society: Series B 60 (1), 1998, 223-241 mehr… Volltext ( DOI ) Volltext (mediaTUM)
1997
- On selecting parametric link transformation families in generalized linear models. Journal of Statistical Planning and Inference 61 (1), 1997, 125-139 mehr… Volltext ( DOI )
1996
- Bayesian Inference for semiparametric binary regression. Journal of the American Statistical Association 91 (433), 1996, 142-153 mehr… Volltext ( DOI )
1994
- Modeling overdispersion in binomial regression. Preprint, 1994 mehr…
- Parametric link modification of both tails in binary regression. Statistical Papers 35 (1), 1994, 189-201 mehr…
- Bayesian inference of binary regression models with parametric link. Journal of Statistical Planning and Inference 41 (2), 1994, 121-140 mehr…
1993
- Norm restricted maximum likelihood estimators for binary regression models with parametric link. Communications in Statistics, Theory and Methods 22 (8), 1993, 2259-2274 mehr… Volltext ( DOI ) Volltext (mediaTUM)
1985
- Reproducing kernel Hilbert space for some non-Gaussian processes. Probability in Banach Spaces/ Lecture Notes in Mathematics 1153, 1985, 128-140 mehr… Volltext ( DOI )
- A survey of functional laws of the iterated logarithm for self-similar processes. Stochastic Models 1 (1), 1985, 77-115 mehr… Volltext ( DOI )