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Publikationsliste Herr Prof. Dr. Axel Bücher

Zur Veröffentlichung eingereicht:

  1. Bücher, A. und Pakzad, C. (2022+): Testing for independence in high dimensions based on empirical copulas.
    URL: https://arxiv.org/abs/2204.01803
  2. Bücher, A. und Zanger, L. (2021+): On the Disjoint and Sliding Block Maxima method for piecewise stationary time series.
    URL: https://arxiv.org/abs/2110.15576
  3. Bücher, A., Dette, H. und Heinrichs, F. (2020+): A Portmanteau-type test for detecting serial correlation in locally stationary functional time series.
    URL: https://arxiv.org/abs/2009.07312

In referierten Zeitschriften:

  1. Bücher, A. und Jennessen T. (2022+): Statistics for Heteroscedastic Time Series Extremes. Erscheint in: Bernoulli.
  2. 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. Erscheint in: Extremes.
  3. 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.
    URL: https://doi.org/10.1002/env.2746
  4. Bücher, A. und Rosenstock, A. (2022+): Micro-level Prediction of Outstanding Claim Counts using Neural Networks. Erscheint in: European Actuarial Journal.
    URL: https://doi.org/10.1007/s13385-022-00314-4
  5. 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.
    URL: https://doi.org/10.1016/j.spa.2022.03.004
  6. 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.
    URL: http://dx.doi.org/10.1214/21-AOS2098
  7. 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.
    URL: https://doi.org/10.1515/demo-2021-0105
  8. 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.
    URL: https://doi.org/10.1214/20-STS795
  9. 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.
    URL: http://dx.doi.org/10.1007/s10687-020-00379-y
  10. 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.
    URL: http://dx.doi.org/10.1214/20-AOS1957
  11. 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.
    URL: https://doi.org/10.1214/20-EJS1734
  12. 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.
    URL: https://doi.org/10.1007/s10463-019-00721-7
  13. 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.
    URL: https://doi.org/10.1093/jjfinec/nbaa011
  14. 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.
    URL: https://doi.org/10.1016/j.jmva.2019.04.011
  15. 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.
    URL: https://arxiv.org/abs/1709.02673
  16. 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.
    URL: https://arxiv.org/abs/1706.01031
  17. 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.
    URL: https://arxiv.org/abs/1608.01903
  18. Bücher, A. und Segers, J. (2018): On the maximum likelihood estimator for the Generalized Extreme-Value distribution. Extremes, Vol. 20(4), 839–872.
    URL: https://doi.org/10.1007/s10687-017-0292-6
  19. 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.
    URL: https://arxiv.org/abs/1706.01968
  20. 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–
    URL: https://arxiv.org/abs/1511.07613
  21. Bücher, A., Irresberger, F. und Weiß, G. (2017): Testing Asymmetry in Dependence with Copula-Coskewness. North American Actuarial Journal, Vol. 21, 267–280.
    URL: https://doi.org/10.1080/10920277.2017.1282876
  22. Bücher, A., Kinsvater, P. und Kojadinovic, I. (2017): Detecting breaks in the dependence of multivariate extreme-value distributions. Extremes, Vol. 20(1), 53-89.
    URL: https://arxiv.org/abs/1505.00954
  23. Berghaus, B. und Bücher, A. (2017): Goodness-of-fit tests for multivariate copula-based time series models. Econometric Theory, Vol. 33(2), 292–330.
    URL: https://doi.org/10.1017/S0266466615000419
  24. Berghaus, B., Bücher, A. und Volgushev, S. (2017): Weak convergence of the empirical copula process with respect to weighted metrics. Bernoulli, Vol. 23(1), 743–772.
    URL: https://arxiv.org/abs/1411.5888
  25. Bücher, A., Hoffmann, M., Vetter, M. und Dette, H. (2017): Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process. Bernoulli, Vol. 23(2), 1335–1364.
    URL: https://arxiv.org/abs/1412.5376
  26. Bücher, A. und Kojadinovic, I. (2016): A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing. Bernoulli, Vol. 22(2), 927–968.
    URL: https://arxiv.org/abs/1306.3930
  27. Bücher, A., Jaschke, S. und Wied, D. (2015): Nonparametric tests for constant tail dependence with an application to energy and finance. Journal of Econometrics, Vol. 187(1), 154–168.
    URL: https://doi.org/10.1016/j.jeconom.2015.02.002
  28. Bücher, A. (2015): A note on weak convergence of the sequential multivariate empirical process under strong mixing. Journal of Theoretical Probability, Vol. 28(3), 1028–1037.
    URL: https://arxiv.org/abs/1304.5113
  29. Bücher, A. und Kojadinovic, I. (2015): Dependent multiplier bootstraps for nondegenerate U-statistics under mixing conditions with applications. Journal of Statistical Planning
    and Inference
    , Vol. 170, 83–105.
    URL: https://doi.org/10.1016/j.jspi.2015.09.006
  30. Bücher, A., Segers, J. und Volgushev, S. (2014): When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs.
    Annals of Statistics, Vol. 42, 1598–1634.
    URL: https://arxiv.org/abs/1305.6408
  31. Bücher, A. und Segers, J. (2014): Extreme value copula estimation based on block maxima of a multivariate stationary time series. Extremes, Vol. 13, 495–528.
    URL: https://arxiv.org/abs/1311.3060
  32. Bücher, A. (2014): A note on nonparametric estimation of bivariate tail dependence. Statistics & Risk Modeling, Vol. 31, 151–162.
    URL: https://doi.org/10.1515/strm-2013-1143
  33. Bücher, A., Kojadinovic, I., Rohmer, T. und Segers, J. (2014): Detecting changes in cross-sectional dependence in multivariate time series. Journal of Multivariate Analysis, Vol. 132, 111–128.
    URL: https://doi.org/10.1016/j.jmva.2014.07.012
  34. Berghaus, B. und Bücher, A. (2014): Nonparametric tests for tail monotonicity. Journal of Econometrics, Vol. 180(2), 117–126.
    URL: https://doi.org/10.1016/j.jeconom.2014.03.005
  35. Bücher, A. und Vetter, M. (2013): Nonparametric Inference on Lévy measures and copulas. Annals of Statistics, Vol. 41, 1485–1515.
    URL: https://arxiv.org/abs/1205.0417
  36. Bücher, A. und Dette, H. (2013): Multiplier bootstrap of tail copulas – with applications. Bernoulli, Vol. 5(A), 1655–1687.
    URL: https://arxiv.org/abs/1102.0110
  37. Bücher, A. und Ruppert, M. (2013): Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique. Journal of Multivariate Analysis, Vol. 116, 208–229.
    URL: https://doi.org/10.1016/j.jmva.2012.12.002
  38. Bücher, A. und Volgushev, S. (2013): Empirical and sequential empirical copula processes under serial dependence. Journal of Multivariate Analysis, Vol. 119, 61–70.
    URL: https://doi.org/10.1016/j.jmva.2013.04.003
  39. Berghaus, B., Bücher, A. und Dette H. (2013): Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence.
    Journal de la Societé Francaise de Statistique, Vol. 154, 116– 137.
    URL: http://journal-sfds.fr/article/view/158
  40. Bücher, A., Dette, H. und Volgushev, S. (2012): A test for Archimedeanity in bivariate copula models. Journal of Multivariate Analysis, Vol. 110, 121–132.
    URL: http://dx.doi.org/10.17877/DE290R-2916
  41. Bücher, A., Dette, H. und Volgushev, S. (2011): New estimators of the Pickands dependence function and a test for extreme-value dependence. Annals of Statistics, Vol. 39, No. 4, 1963–2006.
    URL: https://arxiv.org/abs/1102.0405
  42. Bücher, A., Dette, H. und Wieczorek, G. (2011): Testing model assumptions in functional regression models. Journal of Multivariate Analysis, Vol. 102, 1472– 1488.
    URL: https://doi.org/10.1016/j.jmva.2011.05.014
  43. Bücher, A. und Dette, H. (2010): A note on bootstrap approximations for the empirical copula process. Statistics and Probability Letters, Vol. 80, 1925–1932.
    URL: https://doi.org/10.1016/j.spl.2010.08.021
  44. Bücher, A. und Dette, H. (2010): Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances. Journal of Multivariate Analysis, Vol. 101, 749–763.
    URL: https://doi.org/10.1016/j.jmva.2009.09.014

Referierte Buchkapitel:

  1. 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.
    URL: https://link.springer.com/chapter/10.1007/978-3-030-73249-3_10
  2. 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.
    URL: https://arxiv.org/abs/1410.6784