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Publications
Publications
- 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
Preprints
- Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrisations(with C. Erlwein-Sayer, S. Grimm, T. Sayer, J. Saß)SSRN 2876807, 39 pages.
- Autocorrelation in the measurement of market price risks. (with B. Kübler). German. (12p)
- Fisher Information in Group-Type Models. ArXiv 1005.1027. (23p )
- Optimally (Distributionally-)Robust Kalman Filtering. ArXiv 1004.3393. (25p)
- OptimallyRobust Kalman Filtering at Work: AO-, IO-, and Simultaneously IO- and AO- Robust Filters. ArXiv 1004.3895. (16p)
- Higher order asymptotics for the MSE of the sample median on shrinking neighbourhoods. ArXiv 1006.0045. (25p)
- Higher Order Expansion for the MSE of M-estimators on shrinking neighbourhoods. ArXiv 1006.0037. (29p) extended version / including "Consequences of Higher... "
- R-scripts
- for calculating the numerically exact MSE: MSEexact.R
- for the calculation of optimal ICs according to Fraiman R., Yohai V.J. and Zamar R.H. (2001):Optimal robust M-estimates of location. Ann. Stat., 29(1): 194--223. FYZ.R
- for the asymptotic terms, cniper points etc. asMSE.R
- Additional figures:
- Extended/additional tables and figures
- MAPLE script mest-maple.txt
- Consequences of Higher Order Asymptotics for the MSE of M-estimators on Neighborhoods. ArXiv 1006.0123. (25p)
- R-script for risk acc. to Theorem 3.1 Thm31.R
- Additional figures:
- R-scripts
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
- Introduction and Advanced Course to R with M. Kohl, 2007
- Stochastics II with Prof. H. Rieder, 2004
Dissertation
- Approaches to the robustification of the Kalman filter, PhD Thesis, University of Bayreuth, 2001
- On the asymptotics and robustness of time series. Diploma Thesis, University of Bayreuth, 1996.
Selected lectures
- The coupon collector problem and why and in what respect the last missing Panini picture is the most "expensive". Kaiserslautern, Jun. 8, 2011.
- Higher order asymptotics uniformly on environments and their consequences for optimal-robust estimation methods. Kaiserslautern, May 4, 2011
- Robustness Issues in Kalman Filtering Revisited. Talk at ERCIM Meeting 2009, Limassol, Oct. 30, 2009.
- R package robKalman: R. Kalman's revenge or Robustness for Kalman Filtering revisited. (with B. Spangl) Talk at UseR! 2009, Rennes, Jul. 09, 2009.
- Nice to have: R. Talk at Hacker brunch ITWM, Oct. 1st, 2008.
- R Packages for Robust Asymptotic Statistics. (with M. Kohl). Talk UseR! 2008, Dortmund, Aug. 12, 2008.
- Higher Order Optimal Influence Curves. Talk at ICORS 2007, Buenos Aires, Sep. 19, 2007.
- Higher Order Asymptotics on Shrinking Neighbourhoods. Talk at Seminar at EPFL, Lausanne, Oct. 27, 2006.
- R-packages for infinitesimal robustness. (with M. Kohl). Talk at Seminar at EPFL, Lausanne, Oct. 20, 2006.
- k-step- and M-estimators - a comparison of MSE by uniform higher order asymptotics. Talk at ICORS 2006. Lisbon, Jul, 18, 2006.
- Optimally one-sided bounded influence curves. Talk at ICORS 2005. Jyväskylä, Jun. 13, 2005
- Robust Recursive Kalman Filtering. Talk at German Open Conference for Probability and Stochastics. Magdeburg, Mar. 20, 2002.
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)