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Publikationen

Mathematische Statistik und Wahrscheinlichkeitstheorie

Publikationen der Arbeitsgruppe am Lehrstuhl (seit 2010)

2024

  1. Kern, P. und Pleschberger, L. (2024): Parabolic fractal geometry of stable Lévy processes with drift. J. Fractal Geom., 11 no. 3/4 343–371.
    https://doi.org/10.4171/jfg/152
  2. Bücher, A. und Jennessen T. (2024): Statistics for Heteroscedastic Time Series Extremes. Bernoulli, Vol. 30(1), 46-71.
    https://doi.org/10.3150/22-BEJ1560

2023

  1. Kern, P. und Lage, S. (2023): On self-similar Bernstein functions and corresponding generalized fractional derivatives. J. Theoret. Probab., 36 (2023), 348-371.
    https://doi.org/10.1007/s10959-022-01166-0
  2. Bücher, A. und Zanger, L. (2023): On the Disjoint and Sliding Block Maxima method for piecewise stationary time series. Annals of Statistics 51(2), 573-598.
    https://doi.org/10.1214/23-AOS2260
  3. Bücher, A., Dette, H. und Heinrichs, F. (2023): A Portmanteau-type test for detecting serial correlation in locally stationary functional time series. Statistical Inference for Stochastic Processes, Vol. 26, 255–278.
    https://doi.org/10.1007/s11203-022-09285-5
  4. Bücher, A., Genest, C., Lockhart, R., und Nešlehová, J. (2022): Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines. Extremes, Vol. 26, 101–138.
    https://doi.org/10.1007/s10687-022-00451-9

2022

  1. Lilienthal, J., Zanger, L., Bücher, A. und Fried, R. (2022): A note on statistical tests for homogeneities in multivariate extreme value models for block maxima. Environmetrics, e2746.
    https://doi.org/10.1002/env.2746
  2. Bücher, A. und Jennessen T. (2022): Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution. Stochastic Processes and their Applications, Vol. 149, 75-106.
    https://doi.org/10.1016/j.spa.2022.03.004
  3. Döbler, C. (2022): A short proof of Lévy's continuity theorem without using tightness. Statistics and Probability Letters, Vol. 18.
    https://arxiv.org/abs/2111.01603
  4. Döbler, C., Kasprzak, M. und Peccati, G. (2022): The multivariate functional de Jong CLT. Probab. Theory Relat. Fields 184, 367–399.
    https://doi.org/10.1007/s00440-022-01114-3
  5. Döbler, C., Kasprzak, M. und Peccati, G. (2022): Functional Convergence of U-Processes with Size-Dependent Kernels. Annals of Applied Probability, Vol. 32, No. 1, 551-601.
    https://arxiv.org/abs/1912.02705
  6. Kern, P. und Müller, C. (2022): A Closed Form Formula for the Stochastic Exponential of a Matrix-Valued Semimartingale. J. Stoch. Anal., 3(2), Article 3.
    https://digitalcommons.lsu.edu/josa/vol3/iss2/3

2021

  1. Bücher, A., Dette, H. und Heinrichs, F. (2021): Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators. Annals of Statistics, Vol. 49, No. 6, 3583-3617.
    http://dx.doi.org/10.1214/21-AOS2098
  2. Bücher A. Jaser, M. und Min, A. (2021): Detecting departures from meta-ellipticity for multivariate stationary time series. Dependence Modeling, Vol. 9, No. 1, 121-140.
    https://doi.org/10.1515/demo-2021-0105
  3. Bücher, A., El Ghouch, A. und Van Keilegom, I. (2021): Single-index quantile regression models for censored data. In: Daouia A., Ruiz-Gazen A. (eds) Advances in Contemporary Statistics and Econometrics. Springer, Cham, 177–196.
    https://link.springer.com/chapter/10.1007/978-3-030-73249-3_10
  4. Bücher, A. und Zhou, C. (2021): A horse race between the block maxima method and the peak-over-threshold approach. Statistical Science, Vol. 36, No. 3, 360-378.
    https://doi.org/10.1214/20-STS795
  5. Bücher, A., Fried, R., Kinsvater, P. und Lilienthal, J. (2021): Penalized Quasi-Maximum-Likelihood Estimation for Extreme Value Models with Application to Flood Frequency Analysis. Extremes, Vol. 24, 325–348.
    http://dx.doi.org/10.1007/s10687-020-00379-y
  6. Bücher, A., Volgushev, S. und Zou, N. (2021): Multiple block sizes and overlapping blocks for multivariate time series extremes. Annals of Statistics, Vol. 49, No. 1, 295-320.
    http://dx.doi.org/10.1214/20-AOS1957
  7. Döbler, C. und Kasprzak, M. (2021): Stein's method of exchangeable pairs in multivariate functional approximations. Electronic Journal of Probability, Vol. 26, 1-50.
    https://arxiv.org/abs/2005.12733
  8. Kern, P. und Lage, S. (2021): Space-time duality for semi-fractional diffusions. U. Freiberg et al. (Eds.) Fractal Geometry and Stochastics VI. Progress in Probability 76, Birkhäuser, Basel, 255-272.
    https://doi.org/10.1007/978-3-030-59649-1_11
  9. Kern, P. , Neugebauer D., Rothe J., Schilling R. L., Stoyan D. und Weishaupt R. (2021): Cutting a Cake Is Not Always a "Piece of Cake": A Closer Look at the Foundations of Cake-Cutting Through the Lens of Measure Theory. (unpublished manuscript)
    https://arxiv.org/abs/2111.05402
  10. Kutzker, T., Stark, F. und Wied, D. (2021): Testing for relevant dependence change in financial data: A CUSUM copula approach. Empirical Economics, Vol. 60, 1875–1894.
    https://link.springer.com/article/10.1007/s00181-019-01811-4

2020

  1. Bücher, A. und Jennessen T. (2020): Method of moments estimators for the extremal index of a stationary time series. Electronic Journal Of Statistics, Vol. 14, No. 2, 3103-3156.
    https://doi.org/10.1214/20-EJS1734
  2. Bücher, A., Dette, H. und Heinrichs, F. (2020): Detecting deviations from second-order stationarity in locally stationary functional time series. Annals of the Institute of Statistical Mathematics, Vol. 72(4), 1055-1094.
    https://doi.org/10.1007/s10463-019-00721-7
  3. Bücher, A., Posch, P. N. und Schmidtke, P. (2020): Using the Extremal Index for Value-at-Risk Backtesting. Journal of Financial Econometrics, Vol. 18 (3), 556–584.
    https://doi.org/10.1093/jjfinec/nbaa011

2019

  1. Bücher, A., Volgushev, S. und Zou, N. (2019): On second order conditions in the multivariate block maxima and peak over threshold method. Journal of Multivariate Analysis, Vol. 173, 604-619.
    https://doi.org/10.1016/j.jmva.2019.04.011
  2. Bücher, A., Fermanian, J.-D. und Kojadinovic, I. (2019): Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series. Journal of Time Series Analysis 40: 124-150.
    https://arxiv.org/abs/1709.02673
  3. Bücher, A. und Kojadinovic, I. (2019): A note on conditional versus joint unconditional weak convergence in bootstrap consistency results. Journal of Theoretical Probability, Vol. 32(3), 1145-1165.
    https://arxiv.org/abs/1706.01031
  4. Kern, P. und Sönmez, E. (2019): On the carrying dimension of occupation measures for self-affine random fields. Probab. Math. Statist. 39(2), 459-479.
    https://doi.org/10.19195/0208-4147.39.2.12
  5. Kern, P., Lage, S. und Meerschaert, M. M. (2019): Semi-fractional diffusion equations. Fract. Calc. Appl. Anal., 22 326-357.
    http://dx.doi.org/10.1515/fca-2019-0021
  6. Ditzhaus, M. und Janssen, A. (2019): Bootstrap and permutation rank tests for proportional hazards under right censoring. Lifetime Data Analysis.
    https://doi.org/10.1007/s10985-019-09487-9
  7. MacDonald, P. W., Liang, K. und Janssen, A. (2019): Dynamic adaptive procedures thatcontrol the false discovery rate. Electronic Journal of Statistics, 13 3009–3024.
  8. Ditzhaus, M. und Janssen, A. (2019): Variability and stability of the false discovery proportion. Electron. J. Statist., 13 882-910.
    https://doi.org/10.1214/19-EJS1544
  9. Ditzhaus, M. (2019): Signal detection via Phi-divergences for general mixtures. Bernoulli, Vol. 25, No 4A, 3041-3068.

2018

  1. Berghaus, B. und Bücher, A. (2018): Weak Convergence of a Pseudo Maximum
    Likelihood Estimator for the Extremal Index. Annals of Statistics, Vol. 46(5), 2307-2335.
  2. Bücher, A. und Segers, J. (2018): On the maximum likelihood estimator for the
    Generalized Extreme-Value distribution. Extremes, Vol. 20(4), 839-872.
  3. Bücher, A. und Segers, J. (2018): Inference for heavy tailed stationary time series based
    on sliding blocks. Electronic Journal of Statistics, Vol. 12(1), 1098-1125.
  4. Bücher, A. und Segers, J. (2018): Maximum likelihood estimation for the Fréchet
    distribution based on block maxima extracted from a time series. Bernoulli Vol. 24(2), 1427-1462.
  5. Kern, P., Meerschaert, M. M. und Xiao, Y. (2018): Asymptotic behavior of semistable Lévy exponents and applications to fractal path properties. J. Theoret. Probab., 31 598-617
    http://dx.doi.org/10.1007/s10959-016-0720-6
  6. Ditzhaus, M. und Janssen, A. (2018): Detectability of nonparametric signals: higher criticism versus likelihood ratio. Electron. J. Statist., 12 4094-4137
    https://doi.org/10.1214/18-EJS1502
  7. Benditkis, J., Heesen, P. und Janssen, A. (2018): The false discovery rate (FDR) of multiple tests in a class room lecture. Statistics and Probability Letters, 134 29-35
  8. Rojas-Molina, C. (2018): Random Schrödinger Operators on discrete structures.
    arXiv:1710.02293.
  9. Ditzhaus, M. und Gaigall, D. (2018): A consistent goodness-of-fit test in separable Hilbert spaces. Journal of Nonparametric Statistics, Vol. 30, No. 4, 834-859.

2017

  1. Kern, P. und Wedrich, L. (2017): On exact Hausdorff measure functions of operator semistable Lévy processes. Stoch. Anal. Appl., 35 980-1006
    http://dx.doi.org/10.1080/07362994.2017.1344556
  2. Bhatti, T. und Kern, P. (2017): An integral representation of dilatively stable processes with independent increments. Stochastic Process. Appl., 127 209-227
    http://dx.doi.org/10.1016/j.spa.2016.06.006
  3. Benditkis, J. und Janssen, A. (2017): Finite sample bounds for expected number of false rejections under martingale dependence with applicatons to FDR. Electron. J. Stat., 11 1827-1857
    https://projecteuclid.org/euclid.ejs/1493345170
  4. Janssen, A. (2017): Der Martingalansatz zur Auswertung klinischer Studien im Rahmen der Survival Analysis. Mitteilungen der deutschen Mathematiker Vereinigung, 25 26-31

2016

  1. Barczy, M. und Kern, P. (2016): A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor. Séminaire de Probabilités, 48 179-188
    http://dx.doi.org/10.1007/978-3-319-44465-9_6
  2. Kern, P. (2016): A general multiparameter version of Gnedenko's transfer theorem. Theory Probab. Appl., 60 134-142
    http://dx.doi.org/10.1137/S0040585X97T987569
  3. Heesen, P. und Janssen, A. (2016): Dynamic adaptive multiple tests with finite sample FDR control. Statist. Plann. Inference, 168 38-51
    http://dx.doi.org/10.1016/j.jspi.2015.06.007
  4. Janssen, A. und Knoch, A. (2016): Information bounds for nonparametric estimators of L-functionals and survival functionals under censored data. Metrika, 79 195-220
    http://link.springer.com/article/10.1007/s00184-015-0551-y/fulltext.html

2015

  1. Barczy, M., Kern, P. und Pap, G. (2015): Dilatively stable stochastic processes and aggregate similarity. Aequat. Math., 89 1485-1507
    http://dx.doi.org/10.1007/s00010-014-0318-y
  2. Barczy, M., Kern, P. und Krause, V. (2015): Operator scaled Wiener bridges. ESAIM: Probab. Statist., 19 100-114
    http://dx.doi.org/10.1051/ps/2014016
  3. Bücher, A. und Kojadinovic, I. (2015): An overview of nonparametric tests of extremevalue dependence. In: Dey, D. and Yan, J: Extreme Value Modeling and Risk Analysis: Methods and Applications. Crc Press Inc, 2015, 377–398.
    https://arxiv.org/abs/1410.6784
  4. Kern, P. und Wedrich, L. (2015): Dilatively semistable stochastic processes. Statist. Probab. Letters, 99 101-108
    http://dx.doi.org/10.1016/j.spl.2015.01.008
  5. Finner, H., Kern, P. und Scheer, M. (2015): On some compound distributions with Borel summands. Insurance Math. Econom., 62 234-244
    http://dx.doi.org/10.1016/j.insmatheco.2015.03.012
  6. Heesen, P. und Janssen, A. (2015): Inequalities for the false discovery rate (FDR) under dependence. Electronic Journal of Statistics, 9 679-716
    http://www.nature.com/nature/journal/vaop/ncurrent/full/nature13805.html
  7. Nelson-Sathi, S., Sousa, F. L., Roettger, M., Lozada-Chávez, N., Thiergart, T., Janssen, A., Bryant, D., Landan, G., Schönheit, P., Siebers, B., McInerney, J. O. und Martin, W. F. (2015): Origins of major archaeal clades correspond to gene acquisitions from bacteria. Nature 13805
    http://www.nature.com/nature/journal/vaop/ncurrent/full/nature13805.html

2014

  1. Kern, P. und Wedrich, L. (2014): Dimension results related to the St. Petersburg game. Probab. Math. Statist., 34 97-117
    http://www.math.uni.wroc.pl/~pms/files/34.1/Article/34.1.6.pdf
  2. Kern, P. und Wedrich, L. (2014) : The Hausdorff dimension of operator semistable Lévy processes. J. Theoret. Probab., 27 383-403
    http://dx.doi.org/10.1007/s10959-012-0422-7
  3. Barczy, M. und Kern, P. (2014): Gauss-Markov processes as space-time scaled stationary Ornstein-Uhlenbeck processes. (unpublished manuscript)
    http://arxiv.org/abs/1409.7253
  4. Bendel, J., Dobler, D. und Janssen, A. (2014): Exponent dependence measures of survival functions and correlated frailty models.
    arxiv:1409.6854
  5. Janssen, A. und Tietje, M. (2014): Statistical likelihood methods in finance.
    arXiv:1310.4400v2
  6. Brendel, M., Janssen, A., Mayer, C.-D. und Pauly, M. (2014): Weighted logrank permutation tests for randomly right censored life science data. Scand. J. Stat., 41 742 - 761
    http://onlinelibrary.wiley.com/doi/10.1111/sjos.12059/abstract
  7. Konietschke, F. und Pauly, M. (2014): Bootstrapping and Permuting paired t-test type statistics. Statistics and Computing, 24, 283 - 296
  8. Hmissi, M. und Janßen, K. (2014): On S-subordination and applications to entrance laws. Rev. Roumaine Math. Pures Appl., 59, 105-121

2013

  1. Barczyk, A. und Kern, P. (2013): Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes. Stochastic Process. Appl., 123 796-812
    http://dx.doi.org/10.1016/j.spa.2012.10.013
  2. Barczy, M. und Kern, P. (2013): Representations of multidimensional linear process bridges. Random Oper. Stoch. Equ., 21 159-189
    http://dx.doi.org/10.1515/rose-2013-0009
  3. Barczy, M. und Kern, P. (2013): Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges. Brazilian J. Probab. Statist., 27 437-466
    http://dx.doi.org/10.1214/11-BJPS175
  4. Janssen, A. und Ostrovski, V. (2013): The Convolution Theorem of Hajek and Le Cam - Revisited.
    arXiv:1309.4984
  5. del Barrio, E., Janssen, A. und Pauly, M. (2013): The m(n) out of k(n) bootstrap for partial sums of St. Petersburg type games. Electron. Commun. Probab., 18 1-10
  6. Janssen, A. und Pauly, M. (2013): The influence of sequential extremal processes on the partial sum process. Extremes, 16 39-54
  7. Beyersmann, J., di Termini, S. und Pauly, M. (2013): The wild bootstrap for the Aalen-Johansen estimator of the cumulative incidence function of a competing risk. Scandinavian Journal of Statistics, 40, 387-402.

2012

  1. Nelson-Sathi, S., Dagan, T., Landan, G., Janssen, A., Steel, M., McInerney, J., Deppenmeier, U. und Martin, W. F. (2012): A methanogen acquired a thousand eubacterial genes at the origin of Haloarchaea. Proceedings of the National Academy of Sciences, 109 20537-20542
  2. Janssen, A. und Tietje, M. (2012): Applications of the Likelihood Theory in Finance: Modelling and Pricing. International Statistical Review, 81 107-133
    http://onlinelibrary.wiley.com/doi/10.1111/j.1751-5823.2012.00197.x/abstract
  3. Bücher, A., Dette, H. und Volgushev, S. (2012): A test for Archimedeanity in bivariate copula models. Journal of Multivariate Analysis, Vol. 110, 121–132.
  4. Jurlewicz, A., Kern, P., Meerschaert, M. M. und Scheffler, H.-P. (2012): Fractional governing equations for coupled random walks. Comp. Math. Appl., 64 3021-3036
    http://dx.doi.org/10.1016/j.camwa.2011.10.010
  5. Kern, P., Meerschaert, M. M. und Scheffler, H.-P.: Correction (2012): Limit theorems for coupled continuous time random walks. Ann. Probab., 40 890-891
    http://dx.doi.org/10.1214/10-AOP635
  6. Omelka, M. und Pauly, M. (2012): Testing equality of correlation coefficients in an potentially unbalanced two-sample problem via permutation methods. J. Stat. Plan. Inf., 142 1396 - 1406.
  7. Konietschke, F. und Pauly, M. (2012): A studentized permutation test for the non-parametric Behrens-Fisher problem in paired data. Electron. J. Stat., 6, 1358 - 1372.
  8. Jentsch, C. und Pauly, M. (2012): A note on using periodogram-based distances for comparing spectral densities. Stat. Prob. Lett., 82, 158 - 164.

2011

  1. Barczy, M. und Kern, P. (2011): General alpha-Wiener bridges. Commun. Stoch. Anal., 5 585-608
    https://www.math.lsu.edu/cosa/5-3-08[277].pdf
  2. Barczyk, A., Janssen, A. und Pauly, M. (2011): The asymptotics of L-statistics for non I.I.D. variables with heavy tails. Probab. Math. Statist., 31 285-299
  3. Pauly, M. (2011): Discussion about the quality of F-ratio resampling tests for comparing variances. TEST, 20, 163 - 179.

2010

  1. Janssen, A. und Wellek, S. (2010): Exact linear rank tests for two-sample equivalence problems with continuous data. Stat. Neerl., 64 482-504
    http://dx.doi.org/10.1111/j.1467-9574.2010.00466.x