Nonparametric estimation for Markov Switching AR-ARCH models
(mit J.-P. Stockis und J. Tadjuidje)
submitted

Mixtures of nonparametric autoregressions
(mit J.-P. Stockis, J. Tadjuidje und W.K. Li)
Under revision: J. Nonparametric Statistics (2010)
Download: heart rate data

On geometric ergodicity of CHARME models
(mit J.-P. Stockis und J. Tadjuidje)
J. Time Ser. Analysis 31, 141-152 (2010)

A note on the identifiability of the conditional expectation for the mixtures of neural networks  (mit J.-P. Stockis, J. Tadjuidje)
Statistics and Probab. Letters 78, 739-742 (2008)

Sieve Estimates for Conditional Quantiles of Financial Time Series (mit J.-P. Stockis und J. Tadjuidje)
Oberwolfach Reports 15, 860-861 (2007)

Wild bootstrap tests for signals and images (mit S. Halim)
IEEE Signal Processing Magazine 24, no. 4, 31-37 (2007)

Estimation of Critical Streamflow Discharge Level using Quantile Regression Approach.
(mit P. Mwita)
In: Proceedings of the IASTED Conference on Modelling, Simulation and Optimization, ed. H. Nyongesa (2006)

On the consistency of the blocked neural network estimator in time series analysis (mit A. Sarishvili, C. Andersson, G. Kroisandt) 
Neural Computation 18, 2568 - 2581 (2006)

Bootstrap autoregressive order selection (with J.-P. Kreiß and M. Moser)
Statistics and Decisions 24, 305-325 (2006)

Estimating market risk with neural networks (with M. Diagne)
Statistics and Decisions 24, 1001-1021 (2006)

On the identification of large multilinear systems (with J. Löhr)
Computational Statistics 21, 415-429 (2006)

Direct Conditional Quantiles: Kernel Estimator and its Consistency (with P. Mwita, R. Odhiambo and A. Waititu)
African Journal of Science and Technology 6, 67-76 (2005)

Sequentielle Multihypothesentests zur Bestimmung von Gefährdungsstufen bei Schalenwildverbiss im Rahmen der Erstellung waldbaulicher Gutachten - ein neuer Verfahrensansatz (with U. Wunn, M. Bücking and A. Roeder)
Allgemeine Forst- und Jagdzeitung 175, 239-244 (2004)

Nonparametric value-at-risk estimates (with M. Diagne and P. Mwita)
Oberwolfach Reports 1, 133-134 (2004)

Bootstrapping nonparametric estimators of the volatility function (mit M. Neumann und J.-P. Stockis)
Journal of Econometrics 118, 189-218 (2004)

Nonparametric estimation in a stochastic volatility model (with W. Härdle and J.-P. Kreiß)
In: Recent Advances and Trends in Nonparametric Statistics. eds. M. Akritas and D. N. Politis, Elsevier, North Holland (2003)

Nonparametric changepoint detection for time series (with G. Kroisandt)
PAMM 2, 456-458 (2003)

Properties of the nonparametric autoregressive bootstrap. (with J-P. Kreiß, E. Mammen and M. Neumann)
Journal of Time Series Analysis 23, 555-585 (2002)

Bootstrap of kernel smoothing in nonlinear time series. (with J.-P. Kreiß and E. Mammen)
Bernoulli 8, 1-37 (2002).

Nonparametric stochastic regression with design-adapted wavelets. (with V. Delouille and R. von Sachs)
Sankhya Ser. A 63, 328-366 (2001)

Portfolio Management and Market Risk Quantification using Neural Networks. 
In: Statistics and Finance: An Interface, W.S. Chan, W.K. Li and H. Tong eds., Imperial College Press, London 2000

Bootstrapping neural networks. (with M. Neumann)
Neural Computation 12, 1929-1949 (2000)

Nonlinear and nonparametric methods for analyzing financial time series.
In OR ‘98, ed. P. Kall et al., Springer, Berlin-Heidelberg-New York 1999

Numerical methods of generating random points with prescribed dustributional properties in (non)rational Bezier surfaces. (with K. Han and Y. T. Feng)
Math. Comp. Modelling 23, 15-28 (1996).

General kriging for spatial-temporal processes with random ARX-regression parameters. (with B. Gründer)
In: Time Series Analysis - In memory of E.J. Hannan, ed. P.M. Robinson and M. Rosenblatt, Lecture Notes in Statistics 115, Springer, Berlin-Heidelberg-New York (1996)

Conditional maximum likelihood estimates for INAR(1)-models and their application to modelling epileptic seizure counts. (with Th Seligmann)
In: Developments in Time Series Analysis, ed. T. Subba Rao, Chapman & Hall (1993)

On bootstrapping kernel spectrum estimates. (with W. Härdle)
Ann. Statist. 20, 121-145 (1992)

Stochastic modelling for analyzing immission data in forests. (with B. Gründer)
In: Tagungsberichte der AG Biometrie in der Ökologie der deutschen Region der Biometrischen Gesellschaft, Heft 3 (1992)

Bootstrapping ARMA-models. (with J.-P. Kreiß)
J. Time Ser. Analysis 13, 297-317 (1992)

An improved version of Breiman's minimax filter.
Note Mat. 11, 157-175 (1991)

A bootstrap approach for nonlinear autoregressions - some preliminary results. (with M. Wendel)
In: Bootstrapping and Related Techniques, eds. K.-H. Jäckel, G. Rothe, W. Sendler, Lecture Notes in Economics and Mathematical Systems 376, Springer, Berlin-Heidelberg-New York (1990)

A recursive-in-order algorithm for estimating ARMA-parameters.
Statistics and Decisions, Suppl. Issue 2, 309-313 (1985)

ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses.
Adv. Appl. Prob. 17, 810-840 (1985)

A Levinson-Durbin recursion for autoregressive-moving average processes.
Biometrika 72, 573-581 (1985)

Fitting autoregressive processes to EEG time series: an empirical comparison of estimates of the order. (with Th. Gasser and H. Steinberg)
IEEE Trans. on Acoustics, Speech and Signal Processing 33, 143-150 (1985)

Minimax-robust prediction of discrete time series.
Z. Wahrscheinlichkeitstheorie verw. Gebiete 68, 337-364 (1985)

Minimax-robust filtering and finite-length robust predictors. (with V.H. Poor)
In: Robust and Nonlinear Time Series Analysis, eds. J. Franke, W. Härdle, R.D. Martin, Lecture Notes in Statistics 26, Springer, Berlin-Heidelberg-New York (1984)

On the robust prediction and interpolation of time series in the presence of correlated noise.
J. Time Ser. Analysis 5, 227-244 (1984)

Necessary conditions on optimal Markov controls for stochastic processes.
In: Stochastic Analysis and Applications, Advances in Probability, vol. 7, ed. M. Pinsky, Marcel Dekker, New York (1984)

The intuitive dynamic programming approach to optimal stochastic navigation.
Z. Wahrscheinlichkeitstheorie verw. Gebiete 60, 485-495 (1982)

Optimal navigation with random terminal time in the presence of phase constraints.
Z. Wahrscheinlichkeitstheorie verw. Gebiete 60, 453-484 (1982)

Technical reports

Maximum likelihood estimators for Markov switching autoregressive processes with ARCH component (with J. Tadjuidje)

Report in Wirtschaftsmathematik 124, University of Kaiserslautern, 2009

Resampling Methoden zur mse-Korrektur und Anwendungen in der Betriebsfestigkeit (mit S. Feth und M. Speckert) 
Berichte des Fraunhofer ITWM 116, 2007

Some asymptotics for local least-squares regression with regularization (mit S. Didas, J.Tadjuidje und J. Weickert) 
Report in Wirtschaftsmathematik 107, University of Kaiserslautern, 2007

Quantile Sieve Estimates for Time Series (mit J.-P. Stockis, J. Tadjuidje) 
Report in Wirtschaftsmathematik 105, University of Kaiserslautern, 2007

A bootstrap test for comparing images in surface inspection (with S. Halim)
DFG-SPP 1114 Preprint 150, 2006

A Bernstein inequality for spatial stochastic processes (with E. Valenzuela)
DFG-SPP 1114 Preprint 76, 2005 

Optimal Portfolio-Management using Neural Networks - a Case Study. (with M. Klein)
Report in Wirtschaftsmathematik 49, University of Kaiserslautern, 1999

Multivariate first-order integer-valued autoregressions. (with T. Subba Rao)
Report in Technomathematik 95, University of Kaiserslautern, 1993

Automatic generation of sleep profiles from the electroencephalogram - a pilot study. (with G. Gleichmann)
Preprint 376, SFB 123 Stochastische Mathematische Modelle, Heidelberg, 1986

On multivariate robust Wiener filters.
Preprint 363, SFB 123 Stochastische Mathematische Modelle, Heidelberg, 1986

Books and contributions to books

Nonparametric Modelling in Financial Time Series (with J. P. Kreiß und E. Mammen).
In: Handbook of Financial Time Series, eds. T.G. Andersen, R.A. Davis, J.P. Kreiß and T. Mikosch. Springer, Berlin-Heidelberg-New York (2009)

Structural Adaptive Smoothing Procedures (with numerous co-authors).
In: Mathematical Methods in Signal Processing and Digital Image Processing, eds. R. Dahlhaus, J. Kurths, P. Maaß and J. Timmer, pp. 183-229, Springer, Berlin-Heidelberg-New York (2008)

Time Series Analysis. In: Encyclopaedia of Actuarial Science, eds. B. Sundt und J. Teugels.  
Wiley, New York (2004)

Statistics of Financial Markets 
Springer,  Berlin-Heidelberg-New York (2004, 2007)
(with W. Härdle and Ch. Hafner)

Nonparametric estimation of ARMA- and GARCH-processes. (with H. Holzberger and M. Müller)
To appear in: XPloRe Finance Guide, W. Härdle, Th. Kleinow eds., Springer, 
Berlin-Heidelberg-New York (2002) 

Statistik der Finanzmärkte 
Springer,  Berlin-Heidelberg-New York (2001, 2003)
(with W. Härdle and Ch. Hafner)

Editorial activities

Robust and Nonlinear Time Series Analysis
Lecture Notes in Statistics 26, Springer, Berlin-Heidelberg-New York (1984)
(with W. Härdle and R.D. Martin)

Mathematical Modelling of Forest Ecosystems
J. D. Sauerländer's Verlag, Frankfurt (1992)
(with A. Roeder)

Measuring Risk in Complex Stochastic Systems
Lecture Notes in Statistics 47, Springer, Berlin-Heidelberg-New York (2000)
(with W. Härdle and G. Stahl)

Associate editor for Journal of Time Series Analysis, Computational Statistics, Statistics and Decisions 

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