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From statistics to mathematical finance. Festschrift in honour of Winfried Stute. (English) Zbl 1383.62010
Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). xiii, 440 p. (2017).

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Publisher’s description: This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.
The articles of this volume will be reviewed individually.
Indexed articles:
Wang, Jane-Ling, An odyssey to incomplete data: Winfried Stute’s contribution to survival analysis, 3-23 [Zbl 1383.62008]
Gerds, Thomas A.; Beyersmann, Jan; Starkopf, Liis; Frank, Sandra; Van der Laan, Mark J.; Schumacher, Martin, The Kaplan-Meier integral in the presence of covariates: a review, 25-41 [Zbl 1383.62215]
Dikta, Gerhard, Semi-parametric random censorship models, 43-56 [Zbl 1383.62211]
De Uña-Álvarez, Jacobo, Nonparametric estimation of an event-free survival distribution under cross-sectional sampling, 57-67 [Zbl 1383.62225]
Delgado, Miguel A.; Escanciano, Juan Carlos, On the asymptotic efficiency of directional models checks for regression, 71-87 [Zbl 1383.62128]
González-Manteiga, Wenceslao; Zubelli, Jorge Passamani; Monsalve-Cobis, Abelardo; Febrero-Bande, Manuel, Goodness-of-fit test for stochastic volatility models, 89-104 [Zbl 1383.62241]
Guo, Xu; Zhu, Lixing, A review on dimension-reduction based tests for regressions, 105-125 [Zbl 1383.62130]
Ferger, Dietmar, Asymptotic tail bounds for the Dempfle-Stute estimator in general regression models, 129-156 [Zbl 1384.62136]
Haeusler, Erich, On empirical distribution functions under auxiliary information, 157-172 [Zbl 1383.62085]
Barbeito, Inés; Cao, Ricardo, A review and some new proposals for bandwidth selection in nonparametric density estimation for dependent data, 173-208 [Zbl 1383.62095]
Koul, Hira L.; Müller, Ursula U.; Schick, Anton, Estimating the error distribution in a single-index model, 209-233 [Zbl 1383.62086]
Kordzakhia, Nino; Novikov, Alexander, Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests, 235-250 [Zbl 1383.62131]
Bhattacharya, P. K.; Zhou, Hong, Nonparametric stopping rules for detecting small changes in location and scale families, 251-271 [Zbl 1383.62156]
Hlávka, Zdeněk; Hušková, Marie; Meintanis, Simos G., Change point detection with multivariate observations based on characteristic functions, 273-290 [Zbl 06854744]
Eichner, Gerrit, Kader – an R package for nonparametric kernel adjusted density estimation and regression, 291-315 [Zbl 1383.62009]
Bhattacharya, Debasis; Roussas, George G., Limiting experiments and asymptotic bounds on the performance of sequence of estimators, 317-342 [Zbl 1383.62022]
Rüschendorf, Ludger, Risk bounds and partial dependence information, 345-366 [Zbl 1383.62251]
Schmidt, Thorsten, Shot-noise processes in finance, 367-385 [Zbl 1383.62253]
Bäurer, Patrick; Eberlein, Ernst, A Lévy-driven asset price model with bankruptcy and liquidity risk, 387-416 [Zbl 1383.62232]
Overbeck, L.; Weckend, J., Effects of regime switching on pricing credit options in a shifted CIR model, 417-425 [Zbl 1383.62250]
Espinosa, María Paz; Ferreira, Eva, Hierarchical organizations and glass ceiling effects, 429-440 [Zbl 1383.62238]
62-06 Proceedings, conferences, collections, etc. pertaining to statistics
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
62Nxx Survival analysis and censored data
62Gxx Nonparametric inference
62P05 Applications of statistics to actuarial sciences and financial mathematics
00B30 Festschriften
00B15 Collections of articles of miscellaneous specific interest
Biographic References:
Stute, Winfried
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