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Statistics & Decisions

International Journal for Statistical Theory and Related Fields

Short Title: Stat. Decis.
Publisher: Oldenbourg Verlag, München
ISSN: 0721-2631
Online: http://www.degruyter.com/view/j/strm
Successor: Statistics & Risk Modeling
Comments: No longer indexed
Documents Indexed: 621 Publications (1982–2011)
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Authors

13 Rüschendorf, Ludger
10 Sen, Pranab Kumar
9 Rukhin, Andrew L.
8 Ghosh, Malay
7 Hušková, Marie
7 Sinha, Bimal Kumar
6 Aly, Emad-Eldin A. A.
6 DasGupta, Anirban
6 Dey, Dipak Kumar
6 Janssen, Arnold
6 Jurečková, Jana
6 Mukhopadhyay, Nitis
6 Prakasa Rao, B. L. S.
6 Schick, Anton
6 Strasser, Helmut
6 Walk, Harro
5 Eichenauer-Herrmann, Jürgen
5 Gupta, Shanti Swarup
5 Györfi, László
5 Horváth, Lajos
5 Kutoyants, Yury A.
5 Liang, TaChen
5 Luschgy, Harald
5 Pukelsheim, Friedrich
5 Schmid, Wolfgang
5 Steinebach, Josef G.
5 Valkeila, Esko
5 Wefelmeyer, Wolfgang
5 Yu, Qiqing
4 Cohen, Arthur
4 Gawronski, Wolfgang
4 Kushary, Debashis
4 Lehn, Jürgen
4 Leitner, Johannes
4 Mammitzsch, Volker
4 Marohn, Frank
4 Mishra, Mahendra Nath
4 Misra, Neeraj
4 Neuhaus, Georg
4 Pensky, Marianna
4 Purkayastha, Sumitra
4 Rieder, Helmut
4 Schaafsma, Willem
4 Susarla, V.
4 Theodorescu, Radu
4 Van der Vaart, Adrianus Willem
4 Zidek, James V.
3 Akahira, Masafumi
3 Berger, James Orvis
3 Bischoff, Wolfgang
3 Bose, Arup
3 Csörgő, Miklós
3 Datta, Gauri Sankar
3 Eichenauer, Jürgen
3 Ferger, Dietmar
3 Fieger, Werner
3 Gaffke, Norbert
3 Gapeev, Pavel V.
3 Granovsky, Boris L.
3 Gupta, Arjun Kumar
3 Hurt, Jan
3 Kallenberg, Wilbert C. M.
3 Kallsen, Jan
3 Karunamuni, Rohana J.
3 Koul, Hira Lal
3 Kreiss, Jens-Peter
3 Landers, Dieter
3 Macci, Claudio
3 Marchand, Eric
3 Milbrodt, Hartmut
3 Mukerjee, Rahul
3 Pal, Nabendu
3 Peng, Hanxiang
3 Rachev, Svetlozar T.
3 Rogge, Lothar
3 Saleh, A. K. Md. Ehsanes
3 Shiryaev, Al’bert Nikolaevich
3 Sriram, T. N.
3 Strawderman, William Edward
3 van Eeden, Constance
2 Arnold, Bernhard F.
2 Bagui, Subhash C.
2 Basu, Sanjib
2 Bednarski, Tadeusz
2 Birmiwal, Kailash
2 Burgert, Christian
2 Burke, Murray D.
2 Charras, Alec
2 Chung, Younshik
2 Cramer, Erhard
2 Datta, Somnath
2 de la Horra, Julián
2 Dhariyal, Ishwari Dutt
2 Dietz, Hans Michael
2 Droste, Wolfgang
2 Dudoit, Sandrine
2 Fabian, Václav
2 Falk, Michael
2 Finner, Helmut
2 Fourdrinier, Dominique
...and 526 more Authors

Publications by Year

Citations contained in zbMATH Open

421 Publications have been cited 1,935 times in 1,720 Documents Cited by Year
Convex risk measures and the dynamics of their penalty functions. Zbl 1186.91119
Föllmer, Hans; Penner, Irina
60
2006
Variational sums and power variation: A unifying approach to model selection and estimation in semimartingale models. Zbl 1046.62084
Woerner, Jeannette H. C.
32
2003
Inadmissibility of the best equivariant estimators of the variance- covariance matrix, the precision matrix, and the generalized variance under entropy loss. Zbl 0634.62050
Sinha, B. K.; Ghosh, M.
31
1987
Estimation of the density and the regression function under mixing conditions. Zbl 1179.62051
Liebscher, E.
31
2001
Estimating the error distribution function in semiparametric regression. Zbl 1137.62023
Müller, Ursula U.; Schick, Anton; Wefelmeyer, Wolfgang
31
2007
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
26
2006
Duality theory for optimal investments under model uncertainty. Zbl 1184.91195
Schied, Alexander; Wu, Ching-Tang
25
2005
On least squares estimates of an exponential tail coefficient. Zbl 0893.62023
Schultze, J.; Steinebach, J.
23
1996
On the optimal risk allocation problem. Zbl 1186.91117
Burgert, Christian; Rüschendorf, Ludger
23
2006
Partitioning-estimates of a regression function under random censoring. Zbl 0814.62019
Carbonez, A.; Györfi, L.; van der Meulen, E. C.
22
1995
Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198
Bellini, Fabio; Rosazza Gianin, Emanuela
21
2008
Strongly consistent and asymptotically normal estimation of the covariance for almost periodically correlated processes. Zbl 0757.62045
Hurd, Harry L.; Leskow, Jacek
19
1992
On some aspects of ranked set sampling for estimation of normal and exponential parameters. Zbl 0854.62033
Sinha, Bimal K.; Sinha, Bikas K.; Purkayastha, Sumitra
19
1996
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
18
2003
Robust utility maximization in a stochastic factor model. Zbl 1186.91229
Hernández-Hernández, Daniel; Schied, Alexander
18
2006
A weak system of axioms for ”rational” behavior and the non-separability of utility from prior. Zbl 0616.62007
Rubin, Herman
17
1987
Estimating ordered location and scale parameters. Zbl 0676.62033
Kushary, D.; Cohen, A.
17
1989
On adaptive estimation in autoregressive models when there are nuisance functions. Zbl 0609.62123
Kreiss, Jens-Peter
17
1987
Parameter estimation for some non-recurrent solutions of SDE. Zbl 1046.62081
Dietz, Hans M.; Kutoyants, Yury A.
17
2003
Law invariant convex risk measures for portfolio vectors. Zbl 1186.91126
Rüschendorf, Ludger
17
2006
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
16
2006
Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026
Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
16
2004
Estimators and tests for change in variances. Zbl 0864.62030
Gombay, Edit; Horváth, Lajos; Hušková, Marie
14
1996
Estimating a binomial parameter: Is robust Bayes real Bayes? Zbl 0767.62003
Zen, Mei-Mei; DasGupta, A.
14
1993
Empirical Bayes subset estimation in regression models. Zbl 0674.62006
Ghosh, M.; Saleh, A. K. Md. Ehsanes; Sen, P. K.
14
1989
On the construction of efficient estimators in semiparametric models. Zbl 1040.62029
Forrester, Jeffrey S.; Hooper, William J.; Peng, Hanxiang; Schick, Anton
14
2003
Input-dependent estimation of generalization error under covariate shift. Zbl 1117.62069
Sugiyama, Masashi; Müller, Klaus-Robert
14
2005
Estimation of optimal portfolio compositions for Gaussian returns. Zbl 1159.62327
Bodnar, Taras; Schmid, Wolfgang
14
2008
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
14
2005
The cross-validated adaptive epsilon-net estimator. Zbl 1111.62003
van der Laan, Mark J.; Dudoit, Sandrine; van der Vaart, Aad W.
13
2006
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints. Zbl 1108.49021
Carlier, Guillaume; Dana, Rose-Anne
13
2006
On Bayesian robustness of contaminated classes of priors. Zbl 0749.62007
Gelfand, A. E.; Dey, D. K.
12
1991
The exact risk of a weighted average estimator of the OLS and Stein-rule estimators in regression under balanced loss. Zbl 0888.62069
Ohtani, Kazuhiro
12
1998
Some contributions to Chernoff-Savage theorems. Zbl 0568.62017
Denker, Manfred; Rösler, Uwe
12
1985
Oracle inequalities for multi-fold cross validation. Zbl 1117.62042
van der Vaart, Aad W.; Dudoit, Sandrine; van der Laan, Mark J.
12
2006
On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise. Zbl 1057.62033
Rohde, Angelika
12
2004
Dynamic utility-based good deal bounds. Zbl 1140.91396
Klöppel, Susanne; Schweizer, Martin
12
2007
On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312
Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko
12
2009
Test of fit with the Koziol-Green model for random censorship. Zbl 0746.62018
Herbst, Tomáš
11
1992
Frequentist validity of highest posterior density regions in the presence of nuisance parameters. Zbl 0820.62026
Ghosh, Jayanta K.; Mukerjee, Rahul
11
1995
Some results on posterior regret \(\Gamma\)-minimax estimation. Zbl 0843.62008
Ríos Insua, David; Ruggeri, Fabrizio; Vidakovic, Brani
11
1995
On the limiting distribution of and critical values for the Hoeffding, Blum, Kiefer, Rosenblatt independence criterion. Zbl 0569.62014
Cotterill, Derek S.; Csörgö, Miklós
11
1985
A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions. Zbl 1044.62062
Maruyama, Yuzo
11
2003
Weak and strong universal consistency of semi-recursive kernel and partitioning regression estimates. Zbl 0911.62032
Györfi, L.; Kohler, M.; Walk, H.
10
1998
Non-minimaxity of natural decision rules under heteroscedasticity. Zbl 0802.62025
Misra, Neeraj; Dhariyal, Ishwari D.
10
1994
The information metric for univariate linear elliptic models. Zbl 0674.62002
Burbea, J.; Oller, J. M.
10
1988
Parametric and semiparametric inference for shape: the role of the scale functional. Zbl 1111.62002
Hallin, Marc; Paindaveine, Davy
10
2006
Quantile hedging and its application to life insurance. Zbl 1127.62101
Melnikov, Alexander; Skornyakova, Victoria
10
2005
On distortion functionals. Zbl 1186.91125
Pflug, Georg Ch.
10
2006
On low dimensional case in the fundamental asset pricing theorem with transaction costs. Zbl 1138.91397
Grigoriev, Pavel G.
10
2005
Sensitivity of posterior mean to unimodality preserving contaminations. Zbl 0685.62003
Sivaganesan, S.
9
1989
Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183
Kallsen, Jan; Rheinländer, Thorsten
9
2011
Adaptive estimation in linear regression. Zbl 0574.62056
Koul, H. L.; Susarla, V.
9
1983
Estimating market risk with neural networks. Zbl 1136.62381
Franke, Jürgen; Diagne, Mabouba
9
2006
Optimal consumption strategies under model uncertainty. Zbl 1138.91422
Burgert, Christian; Rüschendorf, Ludger
9
2005
Frequentist behavior of robust Bayes estimates of normal means. Zbl 0685.62004
DasGupta, A.; Studden, W. J.
8
1989
Integral tests for suprema of Kiefer processes with application. Zbl 0887.62048
Csörgő, Miklós; Horváth, Lajos; Szyszkowicz, Barbara
8
1997
On smooth estimation of survival and density functions. Zbl 0849.62020
Chaubey, Yogendra P.; Sen, Pranab K.
8
1996
On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence. Zbl 1092.60012
Heinrich, Lothar; Pukelsheim, Friedrich; Schwingenschlögl, Udo
8
2005
On the distance between mixed Poisson and Poisson distributions. Zbl 0632.60011
Pfeifer, D.
8
1987
Limit behaviour of stochastic approximation processes. Zbl 0668.62058
Walk, H.
8
1988
On asymptotic deficiency of estimators in pooled samples in the presence of nuisance parameters. Zbl 0561.62023
Akahira, Masafumi; Takeuchi, Kei
8
1982
Estimation of linear parametric functions for several exponential samples. Zbl 0587.62014
Rukhin, A. L.; Zidek, J. V.
8
1985
Inference based on the empirical probability generating function for mixtures of Poisson distributions. Zbl 1179.62046
Rémillard, Bruno; Theodorescu, Radu
8
2000
Credit risk with infinite dimensional Lévy processes. Zbl 1125.60069
Özkan, Fehmi; Schmidt, Thorsten
8
2005
On nonparametric estimation of the regression function under random censorship model. Zbl 1159.62307
Guessoum, Zohra; Ould-Saïd, Elias
8
2008
Nonparametric nearest neighbor based empirical portfolio selection strategies. Zbl 1151.62080
Györfi, László; Udina, Frederic; Walk, Harro
8
2008
On order restricted location parameters of two exponential distributions. Zbl 0754.62013
Pal, N.; Kushary, D.
7
1992
On the admissibility of the linear estimators of the Poisson mean using Linex loss functions. Zbl 0716.62008
Kuo, L.; Dey, D. K.
7
1990
Minimax- and \(\Gamma\)-minimax estimation of a bounded normal mean under LINEX loss. Zbl 0832.62008
Bischoff, Wolfgang; Fieger, Werner; Wulfert, Stafanie
7
1995
New Bayesian methods for ill posed problems. Zbl 0952.62027
Gamboa, F.
7
1999
Decision theoretic estimation of the variance ratio. Zbl 0936.62007
Ghosh, M.; Kundu, S.
7
1996
Expansion of Bayes risk for entropy loss and reference prior in nonregular cases. Zbl 0902.62008
Ghosal, Subhashis; Samanta, Tapas
7
1997
On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion. Zbl 1202.62107
Höpfner, Reinhard; Kutoyants, Yury A.
7
2009
Some properties of weighted multivariate empirical processes. Zbl 0548.60023
Ruymgaart, F. H.; Wellner, J. A.
7
1984
Asymptotic behavior of M-estimators of location in nonregular cases. Zbl 0548.62025
Jurečková, Jana
7
1983
Global extrapolation of local efficiency. Zbl 0749.62032
Strasser, Helmut
7
1990
Non-parametric drift estimation for diffusions from noisy data. Zbl 1215.62087
Schmisser, Emeline
7
2011
A joint study of the Kolmogorov-Smirnov and the Eicker-Jaeschke statistics. Zbl 0567.62013
Révész, P.
7
1982
Estimation from a length-biased distribution. Zbl 0567.62032
Horváth, Lajos
7
1985
On universal Bayesian adaptation. Zbl 1146.62017
Lember, Jüri; van der Vaart, Aad
7
2007
Non-standard behavior of density estimators for sums of squared observations. Zbl 1178.62029
Schick, Anton; Wefelmeyer, Wolfgang
7
2009
Nonparametric empirical Bayes estimation with \(O(n^{-1/2})\) rate of a truncation parameter. Zbl 0736.62031
Datta, Somnath
6
1991
An inadmissibility result for affine equivariant estimators. Zbl 0760.62007
Kumar, S.; Sharma, D.
6
1992
Statistical analysis of dependent competing risks. Zbl 0765.62050
Aras, Girish; Deshpande, Jayant V.
6
1992
Efficient estimation of functionals with censored data. Zbl 0686.62024
Schick, A.; Susarla, V.; Koul, H.
6
1988
On convergence rates of monotone empirical Bayes tests for the continuous one-parameter exponential family. Zbl 0820.62008
Karunamuni, Rohana J.; Yang, Hailiang
6
1995
Clustering and quantization by MSP-partitions. Zbl 1180.62093
Pötzelberger, Klaus; Strasser, Helmut
6
2001
Asymptotic tests for gradual changes. Zbl 0997.62017
Hušková, M.; Steinebach, J.
6
2002
Minimax estimation of a constrained binomial proportion. Zbl 0953.62010
Marchand, Éric; MacGibbon, Brenda
6
2000
A note on variance bounds for a function of a Pearson variate. Zbl 0798.60020
Johnson, Roger W.
6
1993
Robust Bayesian estimation in the one-dimensional normal model. Zbl 0802.62032
Boratyńska, Agata; Mȩczarski, Marek
6
1994
Tests and estimators for the change point problem based on \(M\)-statistics. Zbl 0864.62008
Hušková, Marie
6
1996
Empirical Bayes estimation of a location parameter. Zbl 0883.62006
Pensky, Marianna
6
1997
Jump-preserving monitoring of dependent time series using pilot estimators. Zbl 1041.62076
Steland, Ansgar
6
2003
Sainte-Laguë’s chi-square divergence for the rounding of probabilities and its convergence to a stable law. Zbl 1068.60029
Heinrich, Lothar; Pukelsheim, Friedrich; Schwingenschlögl, Udo
6
2004
Nonlinear wavelet density and hazard rate estimation for censored data under dependent observations. Zbl 1093.62043
Liang, Han-Ying; Mammitzsch, Volker; Steinebach, Josef
6
2005
Resampling in the frequency domain of time series to determine critical values for change-point tests. Zbl 1146.62032
Kirch, Claudia
6
2007
An explicit solution of information geodesic equations for the multivariate normal model. Zbl 0735.62003
Calvo, Miquel; Oller, J. M.
5
1991
Behaviour of the posterior distribution and inferences for a normal mean with \(t\) prior distributions. Zbl 0762.62010
Fan, Tsai-Hung; Berger, James O.
5
1992
Asymptotic utility-based pricing and hedging for exponential utility. Zbl 1217.91183
Kallsen, Jan; Rheinländer, Thorsten
9
2011
Non-parametric drift estimation for diffusions from noisy data. Zbl 1215.62087
Schmisser, Emeline
7
2011
A note on moment convergence of bootstrap M-estimators. Zbl 1208.62054
Kato, Kengo
3
2011
Comparison of Markov processes via infinitesimal generators. Zbl 1227.60022
Rüschendorf, Ludger; Wolf, Viktor
3
2011
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2
2011
Expansions for the risk of Stein type estimates for non-normal data. Zbl 1215.62057
Withers, Christopher S.; Nadarajah, Saralees
2
2011
Mean-risk tests of stochastic dominance. Zbl 1215.62047
Dentcheva, Darinka; Stock, Gregory J.; Rekeda, Ludmyla
2
2011
Abstentions in the German Bundesrat and ternary decision rules in weighted voting systems. Zbl 1208.91039
Birkmeier, Olga; Käufl, Andreas; Pukelsheim, Friedrich
1
2011
On the maximization of financial performance measures within mixture models. Zbl 1208.91068
Hentati, Rania; Prigent, Jean-Luc
1
2011
Method of moment estimation in time-changed Lévy models. Zbl 1215.62086
Kallsen, Jan; Muhle-Karbe, Johannes
1
2011
On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312
Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko
12
2009
On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion. Zbl 1202.62107
Höpfner, Reinhard; Kutoyants, Yury A.
7
2009
Non-standard behavior of density estimators for sums of squared observations. Zbl 1178.62029
Schick, Anton; Wefelmeyer, Wolfgang
7
2009
Option pricing in bilateral gamma stock models. Zbl 1201.91201
Küchler, Uwe; Tappe, Stefan
5
2009
Subgradients of law-invariant convex risk measures on \(L^{1}\). Zbl 1203.91116
Svindland, Gregor
5
2009
A maximal inequality for skew Brownian motion. Zbl 1201.60019
Zhitlukhin, Mikhail V.
4
2009
The face-lifting theorem for proportional transaction costs in multiasset models. Zbl 1201.91235
Blum, Benedikt
2
2009
Estimation of split-points in binary regression. Zbl 1281.62053
Ferger, Dietmar; Klotsche, Jens
2
2009
On the Bayesianity of maximum likelihood estimators of restricted location parameters under absolute value error loss. Zbl 1274.62169
Kucerovsky, Dan; Marchand, Eric; Najafabadi, Amir T. Payandeh; Strawderman, William E.
2
2009
Robust efficient hedging for American options: the existence of worst case probability measures. Zbl 1179.91238
Treviño-Aguilar, Erick
2
2009
A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets. Zbl 1203.91273
Irle, Albrecht; Prelle, Claas
1
2009
On the mean residual waiting time of records. Zbl 1196.62051
Bdair, Omar M.; Raqab, Mohammad Z.
1
2009
Shrinkage estimation in elliptically contoured distribution with restricted parameter space. Zbl 1178.62060
Tsukuma, Hisayuki
1
2009
The likelihood ratio test for non-standard hypotheses near the boundary of the null – with application to the assessment of non-inferiority. Zbl 1178.62061
Balabdaoui, Fadoua; Mielke, Matthias; Munk, Axel
1
2009
Optimal portfolios with Haezendonck risk measures. Zbl 1188.91198
Bellini, Fabio; Rosazza Gianin, Emanuela
21
2008
Estimation of optimal portfolio compositions for Gaussian returns. Zbl 1159.62327
Bodnar, Taras; Schmid, Wolfgang
14
2008
On nonparametric estimation of the regression function under random censorship model. Zbl 1159.62307
Guessoum, Zohra; Ould-Saïd, Elias
8
2008
Nonparametric nearest neighbor based empirical portfolio selection strategies. Zbl 1151.62080
Györfi, László; Udina, Frederic; Walk, Harro
8
2008
On a stochastic version of the trading rule “buy and hold”. Zbl 1274.62538
Shiryaev, Albert; Novikov, Alexander A.
5
2008
Characterization of optimal risk allocations for convex risk functionals. Zbl 1171.91351
Kiesel, Swen; Rüschendorf, Ludger
5
2008
A kernel-based classifier on a Riemannian manifold. Zbl 1418.62161
Loubes, Jean-Michel; Pelletier, Bruno
4
2008
Comparison results for path-dependent options. Zbl 1151.60308
Bergenthum, Jan; Rüschendorf, Ludger
2
2008
Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization. Zbl 1153.62065
Guigues, Vincent
2
2008
Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps. Zbl 1171.91341
Kohler, Michael; Krzyżak, Adam; Walk, Harro
1
2008
Goodness of fit testing using a specific density estimate. Zbl 1418.62188
Albers, Casper J.; Schaafsma, Willem
1
2008
Estimating the error distribution function in semiparametric regression. Zbl 1137.62023
Müller, Ursula U.; Schick, Anton; Wefelmeyer, Wolfgang
31
2007
Dynamic utility-based good deal bounds. Zbl 1140.91396
Klöppel, Susanne; Schweizer, Martin
12
2007
On universal Bayesian adaptation. Zbl 1146.62017
Lember, Jüri; van der Vaart, Aad
7
2007
Resampling in the frequency domain of time series to determine critical values for change-point tests. Zbl 1146.62032
Kirch, Claudia
6
2007
Large deviations for \(L\)-statistics. Zbl 1140.60013
Boistard, Hélène
4
2007
Importance sampling for simulations of moderate deviation probabilities of statistics. Zbl 1263.62012
Ermakov, Mikhail
4
2007
Pricing and hedging with globally and instantaneously vanishing risk. Zbl 1211.91223
Leitner, Johannes
4
2007
Most powerful conditional tests. Zbl 1130.62042
Jannsen, Arnold; Völker, Dominik
3
2007
An asymptotic analysis of the mean-variance portfolio selection. Zbl 1211.91226
Ottucsák, György; Vajda, István
3
2007
A limit theorem for recursively defined processes in \(L^{p}\). Zbl 1144.60017
Eickmeyer, Kord; Rüschendorf, Ludger
3
2007
Decision theoretic Bayesian hypothesis testing with the selectional goal. Zbl 1131.62003
Bansal, Naveen K.
1
2007
Optimal kernels. Zbl 1159.62020
Mammitzsch, Volker
1
2007
Convex risk measures and the dynamics of their penalty functions. Zbl 1186.91119
Föllmer, Hans; Penner, Irina
60
2006
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
26
2006
On the optimal risk allocation problem. Zbl 1186.91117
Burgert, Christian; Rüschendorf, Ludger
23
2006
Robust utility maximization in a stochastic factor model. Zbl 1186.91229
Hernández-Hernández, Daniel; Schied, Alexander
18
2006
Law invariant convex risk measures for portfolio vectors. Zbl 1186.91126
Rüschendorf, Ludger
17
2006
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings. Zbl 1135.60024
Feinberg, Eugene A.; Shirayaev, Albert N.
16
2006
The cross-validated adaptive epsilon-net estimator. Zbl 1111.62003
van der Laan, Mark J.; Dudoit, Sandrine; van der Vaart, Aad W.
13
2006
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints. Zbl 1108.49021
Carlier, Guillaume; Dana, Rose-Anne
13
2006
Oracle inequalities for multi-fold cross validation. Zbl 1117.62042
van der Vaart, Aad W.; Dudoit, Sandrine; van der Laan, Mark J.
12
2006
Parametric and semiparametric inference for shape: the role of the scale functional. Zbl 1111.62002
Hallin, Marc; Paindaveine, Davy
10
2006
On distortion functionals. Zbl 1186.91125
Pflug, Georg Ch.
10
2006
Estimating market risk with neural networks. Zbl 1136.62381
Franke, Jürgen; Diagne, Mabouba
9
2006
On local bootstrap bandwidth choice in kernel density estimation. Zbl 1136.62337
Ziegler, Klaus
3
2006
On utility-based derivative pricing with and without intermediate trades. Zbl 1151.91447
Kallsen, Jan; Kühn, Christoph
2
2006
Statistical inference on graphs. Zbl 1136.62348
Biau, Gérard; Bleakley, Kevin
2
2006
Bootstrap autoregressive order selection. Zbl 1111.62076
Franke, Jürgen; Kreiss, Jens-Peter; Moser, Martin
1
2006
Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals. Zbl 1186.91121
Grigoriev, Pavel G.; Leitner, Johannes
1
2006
Monetary utility over coherent risk ratios. Zbl 1186.91240
Leitner, Johannes
1
2006
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in \(\sigma\). Zbl 1128.62132
Morais, Manuel Cabral; Okhrin, Yarema; Pacheco, António; Schmid, Wolfgang
1
2006
On Markovian short rates in term structure models driven by jump-diffusion processes. Zbl 1152.60065
Gapeev, Pavel V.; Küchler, Uwe
1
2006
Duality theory for optimal investments under model uncertainty. Zbl 1184.91195
Schied, Alexander; Wu, Ching-Tang
25
2005
Input-dependent estimation of generalization error under covariate shift. Zbl 1117.62069
Sugiyama, Masashi; Müller, Klaus-Robert
14
2005
Perpetual convertible bonds in jump-diffusion models. Zbl 1076.60508
Gapeev, Pavel V.; Kühn, Christoph
14
2005
Quantile hedging and its application to life insurance. Zbl 1127.62101
Melnikov, Alexander; Skornyakova, Victoria
10
2005
On low dimensional case in the fundamental asset pricing theorem with transaction costs. Zbl 1138.91397
Grigoriev, Pavel G.
10
2005
Optimal consumption strategies under model uncertainty. Zbl 1138.91422
Burgert, Christian; Rüschendorf, Ludger
9
2005
On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence. Zbl 1092.60012
Heinrich, Lothar; Pukelsheim, Friedrich; Schwingenschlögl, Udo
8
2005
Credit risk with infinite dimensional Lévy processes. Zbl 1125.60069
Özkan, Fehmi; Schmidt, Thorsten
8
2005
Nonlinear wavelet density and hazard rate estimation for censored data under dependent observations. Zbl 1093.62043
Liang, Han-Ying; Mammitzsch, Volker; Steinebach, Josef
6
2005
Change in non-parametric regression with long memory errors. Zbl 1078.62037
Wang, Lihong
3
2005
Qualitative stability of stochastic programs with applications in asymptotic statistics. Zbl 1093.62032
Vogel, Silvia
2
2005
Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures. Zbl 1138.91458
Leitner, Johannes
2
2005
Absolutely continuous optimal martingale measures. Zbl 1125.91046
Acciaio, Beatrice
1
2005
Optimal choice of \(k_n\)-records in the extreme value index estimation. Zbl 1078.62053
El Arrouchi, Mohamed; Imlahi, Abdelouahid
1
2005
Recursive random variables with subgaussian distributions. Zbl 1092.60014
Neininger, Ralph
1
2005
Empirical Bayes estimation by wavelet series. Zbl 1093.62013
Pensky, Marianna; Alotaibi, Mohammed
1
2005
Approximations of empirical probability generating processes. Zbl 1071.62018
Szűcs, Gábor
1
2005
Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026
Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
16
2004
On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise. Zbl 1057.62033
Rohde, Angelika
12
2004
Sainte-Laguë’s chi-square divergence for the rounding of probabilities and its convergence to a stable law. Zbl 1068.60029
Heinrich, Lothar; Pukelsheim, Friedrich; Schwingenschlögl, Udo
6
2004
On second order minimax estimation of invariant density for ergodic diffusion. Zbl 1057.62066
Dalalyan, Arnak S.; Kutoyants, Yury A.
5
2004
A note on log-optimal portfolio in exponential Lévy markets. Zbl 1084.91014
Hurd, T. R.
5
2004
Maximum likelihood estimator in a two-phase nonlinear random regression model. Zbl 1063.62026
Ciuperca, Gabriela
5
2004
CWLS and ML estimates in a heteroscedastic RCA(1) model. Zbl 1057.62071
Janečková, Hana; Prášková, Zuzana
4
2004
Confidence estimation of the covariance function of stationary and locally stationary processes. Zbl 1063.62118
Giurcanu, Mihai; Spokoiny, Vladimir
4
2004
Estimation of linear functionals of bivariate distributions with parametric marginals. Zbl 1064.62040
Peng, Hanxiang; Schick, Anton
3
2004
A remark on the quickest detection problems. Zbl 1067.62084
Shiryaev, Albert N.
3
2004
Optimal influence curves for general loss functions. Zbl 1057.62024
Ruckdeschel, Peter; Rieder, Helmut
3
2004
Markov chain algorithms for Eulerian orientations and 3-colourings of 2-dimensional Cartesian grids. Zbl 1133.65005
Fehrenbach, Johannes; Rüschendorf, Ludger
1
2004
Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336
Guasoni, Paolo; Schachermayer, Walter
1
2004
Efficient estimation of a linear functional of a bivariate distribution of equal, but unknown, marginals: the minimum chi-square approach. Zbl 1063.62040
Peng, Hanxiang; Schick, Anton
1
2004
Variational sums and power variation: A unifying approach to model selection and estimation in semimartingale models. Zbl 1046.62084
Woerner, Jeannette H. C.
32
2003
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
18
2003
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Cited by 1,964 Authors

28 Schick, Anton
22 Wefelmeyer, Wolfgang
17 Rüschendorf, Ludger
17 Strawderman, William Edward
15 Liang, Hanying
15 Müller, Ursula U.
15 Walk, Harro
13 Bodnar, Taras
12 Horváth, Lajos
12 Kubokawa, Tatsuya
12 Pagès, Gilles
12 Parsian, Ahmad
11 de Uña-Álvarez, Jacobo
11 Kohler, Michael
11 Marchand, Eric
10 Berger, James Orvis
10 Karunamuni, Rohana J.
10 Kourouklis, Stavros
10 Kozubowski, Tomasz J.
10 Misra, Neeraj
10 Neumeyer, Natalie
10 Polunchenko, Aleksey S.
9 Fourdrinier, Dominique
9 Kumar, Somesh
9 Luschgy, Harald
9 Ould-Saïd, Elias
9 Schmid, Wolfgang
9 Sen, Pranab Kumar
9 Sugiyama, Masashi
8 Dehay, Dominique
8 Falk, Michael
8 Hallin, Marc
8 Kang, Sang Gil
8 Lee, Woo Dong
8 Leśkow, Jacek
8 Meintanis, Simos G.
8 Paindaveine, Davy
8 Peng, Liang
8 Svindland, Gregor
8 Wei, Laisheng
7 Bouzebda, Salim
7 Chen, Zhiping
7 Iliopoulos, George
7 Kirch, Claudia
7 Liang, TaChen
7 Oller, Josep M.
7 Peng, Hanxiang
7 Ruszczyński, Andrzej
7 Van der Laan, Mark Johannes
7 Viitasaari, Lauri
7 Woerner, Jeannette H. C.
6 Aly, Emad-Eldin A. A.
6 Bayraktar, Erhan
6 Bobotas, Panayiotis
6 Dudek, Anna E.
6 Figueroa-López, José E.
6 Gapeev, Pavel V.
6 Ghosh, Malay
6 Höpfner, Reinhard
6 Hwang, J. T. Gene
6 Jafari Jozani, Mohammad
6 Karimnezhad, Ali
6 Koul, Hira Lal
6 Kupper, Michael
6 Laeven, Roger J. A.
6 Mukhopadhyay, Nitis
6 Pergamenshchikov, Sergeĭ Markovich
6 Pichler, Alois
6 Pukelsheim, Friedrich
6 Rosazza Gianin, Emanuela
6 Ruckdeschel, Peter
6 Rukhin, Andrew L.
6 Steland, Ansgar
6 Sun, Dongchu
6 Sun, Xiaoqian
6 Suzuki, Taiji
6 Todorov, Viktor
6 Tsukuma, Hisayuki
6 Vajda, Igor
6 Van Keilegom, Ingrid
6 Viallon, Vivian
6 Wells, Martin T.
5 Arnold, Bernhard F.
5 Arshad, Mohd Rizal
5 Bischoff, Wolfgang
5 Brito, Margarida
5 Chaubey, Yogendra P.
5 Dette, Holger
5 Eichenauer-Herrmann, Jürgen
5 Gardes, Laurent
5 Girard, Stéphane
5 Gomez Villegas, Miguel Angel
5 Gupta, Arjun Kumar
5 Gupta, Shanti Swarup
5 Janssen, Arnold
5 Kallsen, Jan
5 Kanamori, Takafumi
5 Kreiss, Jens-Peter
5 Krzyżak, Adam
5 Kutoyants, Yury A.
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Cited in 238 Journals

195 Journal of Statistical Planning and Inference
157 Statistics & Probability Letters
103 Journal of Multivariate Analysis
68 The Annals of Statistics
55 Annals of the Institute of Statistical Mathematics
46 Insurance Mathematics & Economics
39 Stochastic Processes and their Applications
37 Metrika
34 Statistical Papers
32 Computational Statistics and Data Analysis
28 Test
28 Finance and Stochastics
27 Electronic Journal of Statistics
23 Journal of Nonparametric Statistics
22 The Canadian Journal of Statistics
21 Bernoulli
21 Mathematical Finance
20 Journal of Econometrics
20 Mathematical Methods of Statistics
19 Kybernetika
19 The Annals of Applied Probability
18 Communications in Statistics. Theory and Methods
17 Mathematics and Financial Economics
16 Statistical Inference for Stochastic Processes
15 Journal of Computational and Applied Mathematics
14 International Journal of Theoretical and Applied Finance
14 Quantitative Finance
13 Journal of Theoretical Probability
12 Journal of Time Series Analysis
11 Journal of Applied Probability
11 Mathematics of Operations Research
11 Statistical Science
11 Annals of Operations Research
11 Statistical Methodology
11 Journal of the Korean Statistical Society
11 SIAM Journal on Financial Mathematics
10 Statistics
10 International Journal of Approximate Reasoning
10 European Journal of Operational Research
10 Journal of Statistical Computation and Simulation
9 Scandinavian Journal of Statistics
9 Sequential Analysis
9 Stochastics
8 Applied Mathematics and Computation
8 Probability Theory and Related Fields
8 Mathematical and Computer Modelling
8 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Journal of Mathematical Analysis and Applications
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Extremes
7 Journal of Statistical Theory and Practice
6 Lithuanian Mathematical Journal
6 Stochastic Analysis and Applications
6 Mathematical Methods of Operations Research
6 ASTIN Bulletin
6 AStA. Advances in Statistical Analysis
5 Advances in Applied Probability
5 Theory of Probability and its Applications
5 Journal of Mathematical Economics
5 Neural Networks
5 Computational Statistics
5 Linear Algebra and its Applications
5 Journal of Mathematical Sciences (New York)
5 Applied Mathematical Finance
5 Methodology and Computing in Applied Probability
5 Statistical Methods and Applications
5 Journal of Probability and Statistics
5 Annals of Finance
5 Statistics & Risk Modeling
4 Moscow University Mathematics Bulletin
4 The Annals of Probability
4 Applied Mathematics and Optimization
4 Biometrical Journal
4 Biometrics
4 Machine Learning
4 Communications in Statistics. Simulation and Computation
4 Statistische Hefte
4 Mathematical Programming. Series A. Series B
4 Scandinavian Actuarial Journal
4 Stochastic Models
3 Journal of the American Statistical Association
3 Journal of Economic Theory
3 Statistica Neerlandica
3 Mathematical Social Sciences
3 Acta Applicandae Mathematicae
3 Acta Mathematicae Applicatae Sinica. English Series
3 Journal of Economics
3 Science in China. Series A
3 Proceedings of the Indian Academy of Sciences. Mathematical Sciences
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Lifetime Data Analysis
3 Mathematical Problems in Engineering
3 Australian & New Zealand Journal of Statistics
3 Journal of the Royal Statistical Society. Series B. Statistical Methodology
3 Econometric Theory
3 Brazilian Journal of Probability and Statistics
3 The Annals of Applied Statistics
3 Science China. Mathematics
3 Dependence Modeling
2 Mathematical Biosciences
...and 138 more Journals
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Cited in 45 Fields

1,266 Statistics (62-XX)
501 Probability theory and stochastic processes (60-XX)
377 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
113 Numerical analysis (65-XX)
55 Operations research, mathematical programming (90-XX)
36 Computer science (68-XX)
36 Systems theory; control (93-XX)
33 Functional analysis (46-XX)
20 Calculus of variations and optimal control; optimization (49-XX)
20 Information and communication theory, circuits (94-XX)
12 Partial differential equations (35-XX)
11 Measure and integration (28-XX)
11 Harmonic analysis on Euclidean spaces (42-XX)
11 Biology and other natural sciences (92-XX)
9 Real functions (26-XX)
9 Ordinary differential equations (34-XX)
9 Operator theory (47-XX)
8 Approximations and expansions (41-XX)
6 Differential geometry (53-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Special functions (33-XX)
4 Mathematical logic and foundations (03-XX)
4 Statistical mechanics, structure of matter (82-XX)
3 History and biography (01-XX)
3 Convex and discrete geometry (52-XX)
2 General and overarching topics; collections (00-XX)
2 Combinatorics (05-XX)
2 Number theory (11-XX)
2 Functions of a complex variable (30-XX)
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2 Astronomy and astrophysics (85-XX)
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1 Integral equations (45-XX)
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1 Mechanics of deformable solids (74-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)
1 Geophysics (86-XX)

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