Discussion papers SFB 823 in 2013
- 51/13: Adrian Wilk, Joachim Kunert
Optimal crossover designs in a model with self and mixed carryover effects with correlated errors
- 50/13: Philip Preuß, Kemal Sen, Holger Dette
Detecting long-range dependence in non-stationary time series
- 49/13: Alexander Aue, Christopher Dienes, Stefan Fremdt, Josef G. Steinebach
Reaction times of monitoring schemes for ARMA time series
- 48/13: Stefan Fremdt, Lajos Horvath, Piotr Kokoszka, Josef G. Steinebach
Functional data analysis with increasing number of projections
- 47/13: Stefan Fremdt
Page's sequential procedure for change-point detection in time series regression
- 46/13: Efstathios Paparoditis, Philip Preuß
Estimation of the bispectrum for locally stationary processes
- 45/13: Axel Bücher, Johan Segers
Extreme value copula estimation based on block maxima of a multivariate stationary time series
- 44/13: Karl Friedrich Siburg, Katharina Stehling, Pavel A. Stoimenov, Jeannette H. C. Woerner
An order for asymmetry in copulas, and implications for risk management
- 43/13: Ludger Linnemann, Andreas Schabert
Liquidity premia and interest rate parity
- 42/13: Manuel Frondel, Colin Vance
For efficiency, tax energy
- 41/13: Ina Burghaus, Holger Dette
Optimal designs for nonlinear regression models with respect to non-informative priors
- 40/13: Manuel Frondel, Christoph M. Schmidt
A measure of a Nation's Physical Energy Supply Risk
- 39/13: Holger Dette, Ria Van Hecke, Stanislav Volgushev
Misspecification in copula-based regression
- 38/13: Michael Vogt, Holger Dette
Detecting smooth changes in locally stationary processes
- 37/13: Nicolai Bissantz, Holger Dette, Thimo Hildebrandt
Smooth backfitting in additive inverse regression
- 36/13: Denefa Bostandzic, Gregor N.F. Weiß
Why do U.S. banks contribute more to global systemic risk?
- 35/13: Harald Tauchmann
Lee's treatment effect bounds for non-random sample selection - an implementation in Stata
- 34/13: Marc Hallin, Ramon van den Akker, Bas J.M. Werker
On quadratic expansions of log-likelihoods and a general asymptotic linearity result
- 33/13: Philip Preuß, Ruprecht Puchstein, Holger Dette
Detection of multiple structural breaks in multivariate time series
- 32/13: Rose Keller, Colin Vance
Landscape pattern and car use: Linking household data with satellite imagery
- 31/13: Sven Glaser
A law of large numbers for the power variation of fractional Levy processes
- 30/13: Gregor N.F. Weiß, Denefa Bostandzic, Felix Irresberger
Catastrophe bonds and systemic risk
- 29/13: Daniel Ziggel, Tobias Berens, Gregor N.F. Weiß, Dominik Wied
A new set of improved value-at-risk backtests
- 28/13: Axel Bücher, Stefan Jäschke, Dominik Wied
Nonparametric tests for constant tail dependence with an application to energy and finance
- 27/13: Philip Messow
Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing
- 26/13: Gregor N.F. Weiß, Janina Mühlnickel
Why do some insurers become systemically relevant?
- 25/13: Axel Bücher, Ivan Kojadinovic
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- 24/13: Christian Meine, Hendrik Supper, Gregor N.F. Weiß
Is tail risk priced in credit default swap premia?
- 23/13: Hamza Polattimur
Housing, collateral constraints, and fiscal policy
- 22/13: Carsten Drinkuth, Matthias Arnold
Asymptotics of improved generalized moments estimators for spatial autoregressive error models
- 21/13: Tobias Berens, Gregor N.F. Weiß, Dominik Wied
Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
- 20/13: Markus Bibinger, Mathias Vetter
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- 19/13: Tobias Berens, Dominik Wied, Daniel Ziggel
A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks
- 18/13: Thilo A. Schmitt, Rudi Schäfer, Dominik Wied, Thomas Guhr
Spatial dependence in stock returns - Local normalization and VaR forecasts
- 17/13: Axel Bücher
A note on weak convergence of the sequential multivariate empirical process under strong mixing
- 16/13: Mathias Vetter
Inference on the Levy measure in case of noisy observations
- 15/13: Herold Dehling, Roland Fried, Isabel Garcia, Martin Wendler
Change-point detection under dependence based on two-sample U-Statistics
- 14/13: Marc Hallin, Chintan Mehta
R-estimation for asymmetric independent component analysis
- 13/13: Efstathios Paparoditis, Philip Preuß
On local power properties of frequency domain based tests for stationarity
- 12/13: Marc Hallin, Davy Paindaveine, Thomas Verdebout
Efficient R-estimation of principal and common principal components
- 11/13: Marc Hallin, Yvik Swan, Thomas Verdebout
A serial version of Hodges and Lehmann's 6/p result
- 10/13: Marc Hallin, Marco Lippi
Factor models in high-dimensional time series - A time-domain approach
- 09/13: Kemal Sen, Philip Preuß, Holger Dette
Measuring stationarity in long-memory processes
- 08/13: Thimo Hildebrandt, Nicolai Bissantz, Holger Dette
Additive inverse regression models with convolution-type operators
- 07/13: Betina Berghaus, Axel Bücher
Nonparametric tests for tail monotonicity
- 06/13: Herold Dehling, Aeneas Rooch, Murad S. Taqqu
Power of change-point tests for long-range dependent data
- 05/13: Holger Dette, Laura Hoyden, Sonja Kuhnt, Kirsten Schorning
Optimal designs for additional day effects in generalized linear models with gamma distributed response
- 04/13: Nikolaus Rudak, Sonja Kuhnt, Eva Riccomagno
Numerical algebraic fan of a design for statistical model building
- 03/13: Tobias Liboschik, Pascal Kerschke, Konstantinos Fokianos, Roland Fried
Modelling interventions in INGARCH processes
- 02/13: Matthias Borowski, Nikolaus Rudak, Birger Hussong, Dominik Wied, Sonja Kuhnt, Wolfgang Tillmann
On- and offline detection of structural breaks in thermal spraying processes
- 01/13: Marc Hallin, Marcelo J. Moreira, Alexei Onatski
Group invariance, likelihood ratio tests, and the incidental parameter problem in a high-dimensional linear model