| Publication | Date of Publication | Type |
|---|
| Estimating a common break point in means for long-range dependent panel data | 2024-12-27 | Paper |
| Asymptotic behavior of the maximum likelihood estimator for general Markov switching models | 2024-08-26 | Paper |
| Kullback-Leibler divergence and Akaike information criterion in general hidden Markov models | 2024-07-23 | Paper |
| Efficient exponential tilting with applications | 2024-04-30 | Paper |
| Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models | 2023-03-14 | Paper |
| Simulating false alarm probability in K-distributed sea clutter | 2022-10-18 | Paper |
| Credit Risk Propagation in Structural-Form Models | 2021-11-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5004779 | 2021-08-03 | Paper |
| Asymptotic behavior for Markovian iterated function systems | 2021-06-04 | Paper |
| Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models | 2021-02-22 | Paper |
| Computerized adaptive test using raw responses for item selection: theoretical results and applications for the up-and-down method | 2020-06-24 | Paper |
| Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068] | 2019-11-02 | Paper |
| Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models | 2019-01-18 | Paper |
| Buy-and-hold mean-variance portfolios with a random exit strategy | 2018-11-14 | Paper |
| On an automatic and optimal importance sampling approach with applications in finance | 2018-11-13 | Paper |
| Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models | 2018-08-22 | Paper |
| On spherical Monte Carlo simulations for multivariate normal probabilities | 2015-11-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5326970 | 2013-08-01 | Paper |
| Efficient likelihood estimation in state space models | 2012-09-03 | Paper |
| A self-normalized central limit theorem for Markov random walks | 2012-07-12 | Paper |
| Efficient simulation of value at risk with heavy-tailed risk factors | 2012-06-26 | Paper |
| The role of additional information in option pricing: estimation issues for the state space model | 2010-11-12 | Paper |
| On-line VWAP Trading Strategies | 2010-10-01 | Paper |
| Efficient likelihood estimation in state space models | 2010-03-24 | Paper |
| Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei | 2008-12-04 | Paper |
| Bayesian stochastic estimation of the maximum of a regression function | 2008-07-11 | Paper |
| Estimation in hidden Markov models via efficient importance sampling | 2008-01-09 | Paper |
| Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift | 2007-11-12 | Paper |
| Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk | 2007-10-22 | Paper |
| Optimal strategies for a class of sequential control problems with precedence relations | 2007-10-17 | Paper |
| Efficient importance sampling for events of moderate deviations with applications | 2006-01-24 | Paper |
| Asymptotic operating characteristics of an optimal change point detection in hidden Markov models | 2005-02-28 | Paper |
| Limit theorems for iterated random functions by regenerative methods. | 2005-02-25 | Paper |
| Corrigendum to ``Limit theorems for iterated random functions by regenerative methods | 2005-02-25 | Paper |
| Bootstrap and Bayesian bootstrap clones for censored Markov chains | 2005-02-09 | Paper |
| FUZZY CLUSTERING BASED ON INTUITIONISTIC FUZZY RELATIONS | 2004-11-05 | Paper |
| Uniform Markov renewal theory and ruin probabilities in Markov random walks. | 2004-09-15 | Paper |
| Poisson equation, moment inequalities and quick convergence for Markov random walks. | 2004-09-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4461336 | 2004-03-30 | Paper |
| SPRT and CUSUM in hidden Markov models | 2003-11-10 | Paper |
| Empirical Performance and Asset Pricing in Hidden Markov Models | 2003-11-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4433177 | 2003-10-29 | Paper |
| Random Perturbation in Games of Chance | 2002-12-11 | Paper |
| Asymptotically efficient strategies for a stochastic scheduling problem with order constraints. | 2002-11-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4544399 | 2002-08-04 | Paper |
| Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks | 2002-05-23 | Paper |
| Paley-type inequalities related to the central limit theorem for Markov chains | 2001-09-11 | Paper |
| Bootstrap methods for the up and down test on pyrotechnics sensitvity analysis | 2001-09-02 | Paper |
| Wald's equations, first passage times and moments of ladder variables in Markov random walks | 1999-04-26 | Paper |
| Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk | 1998-08-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4895978 | 1996-10-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4869548 | 1996-04-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839338 | 1995-07-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4293666 | 1994-07-07 | Paper |
| Bootstrapping Markov chains: Countable case | 1993-04-01 | Paper |
| Bootstrapping the autocorrelation coefficient of finite Markov chains | 1993-01-16 | Paper |
