Pubilkationen

  • Methode zur Berechnung eines Garantieschadens als sichere untere Schranke für den Gesamtschaden.
    (mit J. Franke, C. Erlwein-Sayer, E. Massini). Erscheint bei medstra.
    Zeitschrift für Medizinstrafrecht.
  • 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

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

 

 

Dissertation

Veröffentlichte (Open Source) Software --- R-Pakete auf CRAN