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Publikationen
Pubilkationen
- Generalized Pareto Processes and Fund Liquidity Risk.
(mit S. Desmettre, J. de Kock, F. Seyfried):
erscheint bei Quantitative Finance; DOI: 10.1080/14697688.2017.1410214 - Methode zur Berechnung eines Garantieschadens als sichere untere Schranke für den Gesamtschaden.
(mit J. Franke, C. Erlwein-Sayer, E. Massini). medstra. Zeitschrift für Medizinstrafrecht 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 (Hrsg.), 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 Generalized 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 Generalized 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 und Stochastik: Wieviele Spieler wie häufig und wieviel im allgemeinen Bingo gewinnen. (German) (with G. Kroisandt). Mathematische Semesterberichte 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. Berichte des Fraunhofer ITWM Nr.185, Fraunhofer ITWM, 2010
- Robustness Properties of Estimators in Generalized Pareto Models. (with N. Horbenko). Berichte des Fraunhofer ITWM Nr.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 Parametrized 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-neighborhoods. 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
- Ansätze zur Robustifizierung des Kalman--Filters. Bayreuther Mathematische Schriften, volume 64, Bayreuth, 2001
- Short proofs on $L_r$--Differentiability (with H. Rieder). Statistics and Decisions, 19, 419--425, 2001
Note (in German) on the the difficulties in Satz 1.193, Witting, H. (1985): Mathematische Statistik I, B.G. Teubner
Preprints
- Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations
(mit C. Erlwein-Sayer, S. Grimm, T. Sayer, J. Saß)
SSRN 2876807, 39 Seiten. - Autokorrelation bei der Messung von Marktpreisrisiken. (with B. Kübler). German. (12p)
- Fisher Information in Group-Type Models. ArXiv 1005.1027. (23p)
- Optimally (Distributional-)Robust Kalman Filtering. ArXiv 1004.3393. (25p)
- Optimally Robust 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 neighborhoods. ArXiv 1006.0045. (25p)
- Higher Order Expansion for the MSE of M-estimators on shrinking neighborhoods. 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
Buchbeiträge
- 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)
Vorlesungsskripte aus Bayreuth
- Introduction and Advanced Course to R with M. Kohl, 2007
- Stochastics II with Prof. H. Rieder, 2004
Dissertation
- Ansätze zur Robustifizierung des Kalman--Filters, PhD Thesis, University of Bayreuth, 2001
- Zur Asymptotik und Robustheit von Zeitreihen. Diploma Thesis, University of Bayreuth, 1996.
Ausgewählte Vorträge
- Das Coupon-Collector-Problem und warum und in welcher Hinsicht das letzte fehlende Panini-Bild am "teuersten" ist. Kaiserslautern, Jun. 8, 2011.
- Höhere Ordnungsasymptotik gleichmäßig auf Umgebungen und deren Konsequenzen für optimal-robuste Schätzverfahren. 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 Neighborhoods. 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.
Veröffentlichte (Open Source) Software --- R-Pakete auf 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)