Prof Dr Konstantin Pankrashkin

+49 (0)441 798-3215

W1 2-208



+49 (0)441 798-3004

Antje Hagen

+49 (0)441 798-3247

W1 1-115

Desislava German

+49 (0)441 798-3241

W1 1-120

Equal Opportunities Officer

Carolin Lena Danzer

+49 (0)441 798-3227

W1 1-104

Dr Birte Julia Specht

+49 (0)441 798-3607

W1 1-110

Dr Sandra Stein

+49 (0)441 798-3237

W1 2-214

Ombudsperson for issues of discrimination and sexual harassment

Antje Hagen

+49 (0)441 798-3247

W1 1-115


University of Oldenburg School V - School of Mathematics and Science Institute of Mathematics Ammerländer Heerstraße 114 - 118 26129 Oldenburg (Oldb)

How to find us



  • Generalised Pareto Processes and Fund Liquidity Risk.(with S. Desmettre, J. de Kock, F. Seyfried):to appear in Quantitative Finance; DOI: 10.1080/14697688.2017.1410214
  • Method for calculating guaranteed damages as a safe lower bound for total damages.(with J. Franke, C. Erlwein-Sayer, E. Massini). medstra. Journal for Medical Criminal Law 2, 67-79.
  • Statistical models for dynamics in extreme value processes. (with B. Spangl, S. Desmettre, P. Ruckdeschel).Proceedings of 30th International Workshop on Statistical Modelling,Johannes Kepler University Linz, July 6--10, 2015,Volume 1, H. Friedl, H. Wagner (Eds.), pp. 360--366, 2015.
  • Robust Worst-Case Optimal Investment. (with S. Desmettre, R. Korn, and F.T. Seifried). OR Spectrum, 37(3), 677--701, 2015
  • L_2 Differentiability of Generalised Linear Models. (with D. Pupashenko and M. Kohl). Statistics and Probability Letters. 97, 155--164, 2015
  • General Purpose Convolution Algorithm for Distributions in S4 Classes by Means of FFT. (with M. Kohl). Journal of Statistical Software. 59(4), 1--25, 2014
  • Robustification of an on-line EM algorithm for modelling asset prices within an HMM. (with C. Erlwein). In R. Mamon and R.J. Elliott (eds.): HMM in Finance. Vol 2: Further Developments and Applications. Chapter 1, pp. 1-31. Springer. DOI 10.1007/978-1-4899-7442-6_1, 2014
  • Robust Kalman tracking and smoothing with propagating and non-propagating outliers. (with B. Spangl and D. Pupashenko). Statistical Papers. 55(1), 93--123, 2014
  • Optimally-Robust Estimators in Generalised Pareto Models (with N. Horbenko ). Statistics 47(4), 762--791, 2013
  • Pricing American options in the Heston model: a close look at incorporating correlation (with T. Sayer and A. Szimayer). Journal of Derivatives 20(3), 9--29, 2013
  • Yet another breakdown point notion: EFSBP --illustrated at scale-shape models. (with N. Horbenko ). Metrika 75(8), 1025-1047, 2012
  • Bingo and stochastics: How many players win how often and how much in general bingo. (German) (with G. Kroisandt). Mathematical Semester Reports 59(2), 155-181, 2012
  • Robust Estimation of Operational Risk. (with N. Horbenko and T. Bae). Journal of Operational Risk 6(2), 3-30, 2011
  • Fisher Information of Scale. (with H. Rieder). Statistics and Probability Letters. 80, 1881--1885, 2010
  • Optimally Robust Kalman Filtering. Reports of the Fraunhofer ITWM No.185, Fraunhofer ITWM, 2010
  • Robustness Properties of Estimators in Generalised Pareto Models. (with N. Horbenko). Reports of the Fraunhofer ITWM No. 182, Fraunhofer ITWM, 2010
  • R package distrMod: Object-Oriented Implementation of Probability Models (with M. Kohl). Journal of Statistical Software 35(10), 1--27, 2010
  • Infinitesimally Robust Estimation in General Smoothly Parametrised Models (with M. Kohl and H. Rieder). Statistical Methods and Applications, 19, 333--354, 2010
  • Optimal robust influence functions in semiparametric regression (with R. Hable and H. Rieder). Journal of Statistical Planning and Inference, 140(1), 226--245, 2010
  • The costs of not knowing the radius (with H. Rieder and M. Kohl). Statistical Methods and Applications , 17(1), 13--40. Extended version, 2008
  • A motivation for 1/sqrt{n}-shrinking-neighbourhoods. Metrika, 63(3), 295--307, 2008
  • S4 Classes for Distributions (with M. Kohl, T. Stabla, and F. Camphausen). R News, 6(2), 2--6, 2008
  • Optimally One-Sided Bounded Influence Curves. Mathematical Methods in Statistics, 14(1), 105--131, 2005
  • Optimal influence curves for general loss functions (with H. Rieder). Statistics and Decisions, 22, 201--223, 2004
  • Approaches to the robustification of the Kalman filter. Bayreuther Mathematische Schriften, volume 64, Bayreuth, 2001
  • Short proofs on $L_r$--Differentiability (with H. Rieder). Statistics and Decisions, 19, 419--425, 2001Note(in German) on the difficulties in Theorem 1.193, Witting, H. (1985): Mathematical Statistics I, B.G. Teubner


Book contributions

  • Robust Kalman filtering. In W. Härdle, Z. Hlávka, and S. Klinke, (eds), XploRe. Application Guide. Chapter~18, pp 483--516. Springer, Berlin-Heidelberg-New York (2000)

Lecture notes from Bayreuth



Published (open source) software --- R packages on CRAN

  • startupmsg
  • SweaveListingUtils;Vignette: "How to work with SweaveListingUtils" link to current version.
  • distr (with M. Kohl, T. Stabla and F. Camphausen);Vignette: "How to generate new distributions in packages 'distr', 'distrEx'"; link to current version.
  • distrEx (with M. Kohl)
  • distrEllipse
  • distrSim (with M. Kohl, T. Stabla and F. Camphausen)
  • distrTEst (with M. Kohl, T. Stabla and F. Camphausen)
  • distrDoc (with M. Kohl, T. Stabla and F. Camphausen);Vignette: "S4 Classes for Distributions --- a manual for packages 'distr', 'distrEx', 'distrMod', 'distrSim', 'distrTEst', 'distrTeach', version <cur.ver>" link to current version.
  • distrTeach (with M. Kohl and M. Brandl)
  • RandVar (with M. Kohl)
  • distrMod (with M. Kohl)
  • RobAStBase (with M. Kohl)
  • ROptEst (with M. Kohl)
  • RobAStRDA (with M. Kohl, B. Spangl, G.Kroisandt, D. Pupashenko, M. Pupashenko)
  • RobExtremes (with M. Kohl, B. Spangl, N. Horbenko, G.Kroisandt, D. Pupashenko, M. Pupashenko)
  • robKalman (with B. Spangl, I. Ursachi, C. Chirila)


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