| Publication | Date of Publication | Type |
|---|
Testing for parameter changes in linear state space models
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Monitoring the mean of multivariate financial time series
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Control charts for measurement error models
AStA. Advances in Statistical Analysis | 2024-02-21 | Paper |
Control charts for high-dimensional time series with estimated in-control parameters
Sequential Analysis | 2024-02-02 | Paper |
Multi-period power utility optimization under stock return predictability
Computational Management Science | 2023-12-14 | Paper |
Sequential monitoring of high‐dimensional time series
Scandinavian Journal of Statistics | 2023-10-11 | Paper |
Statistical Inference for the Expected Utility Portfolio in High Dimensions
IEEE Transactions on Signal Processing | 2022-09-23 | Paper |
Stochastic properties of spatial and spatiotemporal ARCH models
Statistical Papers | 2022-01-14 | Paper |
Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
Quantitative Finance | 2021-06-02 | Paper |
Mean-variance efficiency of optimal power and logarithmic utility portfolios
Mathematics and Financial Economics | 2021-05-03 | Paper |
Statistical Inference for the Expected Utility Portfolio in High Dimensions
IEEE Transactions on Signal Processing | 2021-01-01 | Paper |
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
Quantitative Finance | 2020-05-13 | Paper |
Bayesian inference of the multi-period optimal portfolio for an exponential utility
Journal of Multivariate Analysis | 2020-02-05 | Paper |
| scientific article; zbMATH DE number 7142728 (Why is no real title available?) | 2019-12-12 | Paper |
Bayesian estimation of the efficient frontier
Scandinavian Journal of Statistics | 2019-11-07 | Paper |
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
IEEE Transactions on Signal Processing | 2019-10-28 | Paper |
Surveillance of non-stationary processes
AStA. Advances in Statistical Analysis | 2019-09-11 | Paper |
Comparison of joint control schemes for multivariate normal i.i.d. output
AStA. Advances in Statistical Analysis | 2019-09-11 | Paper |
Correction to: ``Comparison of joint control schemes for multivariate normal i.i.d. output
AStA. Advances in Statistical Analysis | 2019-09-11 | Paper |
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
IEEE Transactions on Signal Processing | 2019-09-01 | Paper |
GARCH processes and the phenomenon of misleading and unambiguous signals
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Misleading signals in simultaneous schemes for the mean vector and covariance matrix of a bivariate process
Recent Developments in Modeling and Applications in Statistics | 2019-01-09 | Paper |
Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series
AStA. Advances in Statistical Analysis | 2018-11-09 | Paper |
Discussion of “Statistical methods for network surveillance” by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson
Applied Stochastic Models in Business and Industry | 2018-09-14 | Paper |
Behavior of EWMA type control charts for small smoothing parameters
Computational Statistics and Data Analysis | 2018-08-21 | Paper |
Estimation of the global minimum variance portfolio in high dimensions
European Journal of Operational Research | 2018-05-30 | Paper |
Estimation of the global minimum variance portfolio in high dimensions
European Journal of Operational Research | 2018-04-01 | Paper |
CUSUM control schemes for monitoring the covariance matrix of multivariate time series
Statistics | 2018-01-12 | Paper |
Monitoring means and covariances of multivariate non linear time series with heavy tails
Communications in Statistics: Theory and Methods | 2017-12-06 | Paper |
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
(available as arXiv preprint) | 2017-10-26 | Paper |
| Control charts for multivariate nonlinear time series | 2017-09-18 | Paper |
On the structure and estimation of hierarchical Archimedean copulas
Journal of Econometrics | 2017-05-12 | Paper |
Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models
Biometrical Journal | 2016-10-28 | Paper |
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
European Journal of Operational Research | 2016-10-06 | Paper |
Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
Communications in Statistics: Theory and Methods | 2016-07-15 | Paper |
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
Operations Research Proceedings | 2016-05-19 | Paper |
On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output
Statistical Papers | 2016-05-17 | Paper |
Distributional properties of portfolio weights
Journal of Econometrics | 2016-05-02 | Paper |
Multivariate CUSUM chart: properties and enhancements
AStA. Advances in Statistical Analysis | 2016-02-25 | Paper |
Variance charts for time series: a comparison study
Frontiers in Statistical Quality Control 11 | 2016-02-25 | Paper |
A test for the weights of the global minimum variance portfolio in an elliptical model
Metrika | 2015-10-14 | Paper |
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
Annals of Operations Research | 2015-08-21 | Paper |
Quality surveillance with EWMA control charts based on exact control limits
Statistical Papers | 2015-08-03 | Paper |
On the equivalence of quadratic optimization problems commonly used in portfolio theory
European Journal of Operational Research | 2015-07-28 | Paper |
| On the impact of falsely assuming i.i.d. output in the probability of misleading signals | 2015-06-12 | Paper |
New characteristics for portfolio surveillance
Statistics | 2014-03-12 | Paper |
On control charts for monitoring the variance of a time series
Journal of Statistical Planning and Inference | 2014-01-27 | Paper |
Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
Metrika | 2013-11-12 | Paper |
Stochastic Ordering in the Qualitative Assessment of the Performance of Simultaneous Schemes for Bivariate Processes
Sequential Analysis | 2013-05-30 | Paper |
Properties of hierarchical Archimedean copulas
Statistics & Risk Modeling | 2013-04-23 | Paper |
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
Statistics & Risk Modeling | 2012-12-03 | Paper |
On the exact distribution of the estimated expected utility portfolio weights: theory and applications
Statistics & Risk Modeling | 2011-12-23 | Paper |
Comparison of different estimation techniques for portfolio selection
AStA. Advances in Statistical Analysis | 2011-08-25 | Paper |
CUSUM control charts for monitoring optimal portfolio weights
Computational Statistics and Data Analysis | 2011-08-09 | Paper |
CUSUM charts for monitoring the mean of a multivariate Gaussian process
Journal of Statistical Planning and Inference | 2011-03-22 | Paper |
Misleading Signals in Simultaneous Residual Schemes for the Mean and Variance of a Stationary Process
Communications in Statistics: Theory and Methods | 2009-11-16 | Paper |
On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
AStA. Advances in Statistical Analysis | 2009-10-09 | Paper |
Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
Sequential Analysis | 2009-09-18 | Paper |
Statistical inference of the efficient frontier for dependent asset returns
Statistical Papers | 2009-09-14 | Paper |
Estimation of optimal portfolio compositions for Gaussian returns
Statistics & Decisions | 2009-05-12 | Paper |
Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
Sequential Analysis | 2008-12-04 | Paper |
Surveillance of the mean behavior of multivariate time series
Statistica Neerlandica | 2008-12-01 | Paper |
Statistical Process Control in Asset Management
Applied Quantitative Finance | 2008-12-01 | Paper |
Asset allocation with distorted beliefs and transaction costs
European Journal of Operational Research | 2008-11-20 | Paper |
EWMA Charts for Multivariate Output: Some Stochastic Ordering Results
Communications in Statistics: Theory and Methods | 2008-10-28 | Paper |
ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
| scientific article; zbMATH DE number 5302222 (Why is no real title available?) | 2008-07-21 | Paper |
| scientific article; zbMATH DE number 5302223 (Why is no real title available?) | 2008-07-21 | Paper |
| scientific article; zbMATH DE number 5302224 (Why is no real title available?) | 2008-07-21 | Paper |
Multivariate control charts based on a projection approach
AStA. Allgemeines Statistisches Archiv | 2008-03-06 | Paper |
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ
Statistics & Decisions | 2008-01-18 | Paper |
The distribution of the sample variance of the global minimum variance portfolio in elliptical models
Statistics | 2007-12-03 | Paper |
EWMA Control Charts for Monitoring Optimal Portfolio Weights
Sequential Analysis | 2007-06-07 | Paper |
Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich
Sequential Analysis | 2007-03-21 | Paper |
EWMA charts for monitoring the mean and the autocovariances of stationary processes
Statistical Papers | 2006-11-14 | Paper |
Surveillance of the covariance matrix of multivariate nonlinear time series
Statistics | 2005-09-21 | Paper |
Monitoring the cross-covariances of a multivariate time series
Metrika | 2005-05-17 | Paper |
Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
Sequential Analysis | 2005-01-18 | Paper |
Sequential control of non-stationary processes by nonparametric kernel control charts
AStA. Allgemeines Statistisches Archiv | 2004-09-22 | Paper |
Control charts for GARCH processes.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Monitoring the mean and the variance of a stationary process
Statistica Neerlandica | 2004-06-15 | Paper |
Tail behaviour of a general family of control charts
Statistics & Decisions | 2004-03-08 | Paper |
EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
Sequential Analysis | 2003-12-14 | Paper |
CUSUM control schemes for Gaussian processes
Statistical Papers | 2003-01-15 | Paper |
SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
Sequential Analysis | 2002-06-30 | Paper |
On the distributional properties of GARCH processes
Journal of Time Series Analysis | 2001-09-16 | Paper |
Robustness of the Standard Deviation and Other Measures of Dispersion
Biometrical Journal | 2001-05-17 | Paper |
The influence of parameter estimation on the ARL of Shewhart type charts for time series
Statistical Papers | 2000-11-16 | Paper |
On the joint distribution of a quadratic and a linear form in normal variables
Journal of Multivariate Analysis | 2000-07-19 | Paper |
| scientific article; zbMATH DE number 1449649 (Why is no real title available?) | 2000-05-21 | Paper |
| scientific article; zbMATH DE number 1107635 (Why is no real title available?) | 2000-04-25 | Paper |
A comparison of several procedures for identifying outliers in contaminated ARMA processes
Computational Statistics | 2000-03-02 | Paper |
On the run length of the EWMA scheme: A monotonicity result for normal variables
Journal of Statistical Planning and Inference | 1999-10-31 | Paper |
| scientific article; zbMATH DE number 1240623 (Why is no real title available?) | 1999-01-17 | Paper |
| scientific article; zbMATH DE number 1218902 (Why is no real title available?) | 1998-11-03 | Paper |
Some properties of the EWMA control chart in the presence of autocorrelation
The Annals of Statistics | 1998-09-28 | Paper |
Ewma charts for multivariate time series
Sequential Analysis | 1998-03-23 | Paper |
| scientific article; zbMATH DE number 954467 (Why is no real title available?) | 1997-04-13 | Paper |
AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR
Journal of Time Series Analysis | 1997-03-23 | Paper |
Control charts for time series
Nonlinear Analysis: Theory, Methods & Applications | 1997-01-01 | Paper |
An outlier test for linear processes. II: Large contamination
Metrika | 1996-09-22 | Paper |
On the run length of a Shewhart chart for correlated data
Statistical Papers | 1995-07-03 | Paper |
An outlier test for linear processes
Metrika | 1993-10-18 | Paper |
| scientific article; zbMATH DE number 97750 (Why is no real title available?) | 1993-01-17 | Paper |
| scientific article; zbMATH DE number 4169910 (Why is no real title available?) | 1990-01-01 | Paper |
Outliers in a multivariate autoregressive moving-average process
Stochastic Processes and their Applications | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4166618 (Why is no real title available?) | 1990-01-01 | Paper |
Identification of a Type I Outlier in an Autoregressive Model
Statistics | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4086823 (Why is no real title available?) | 1988-01-01 | Paper |
The Multiple Outlier Problem in Time Series Analysis
Australian Journal of Statistics | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3898062 (Why is no real title available?) | 1984-01-01 | Paper |
