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Selected publications

 

  • Stochastic inequalities for the run length of the EWMA chart for long-memory processes, REVSTAT, 2019 (with Y. Okhrin).
  • Correction to: Comparison of joint control schemes for multivariate normal i.i.d. output, AStA - Advances in Statistical Analysis, 2018, DOI: 10.1007/s10182-018-00344-y (with M. Morais, P. Ramos, A. Pacheco and I. Semeniuk).
  • Statistical Inferences for Realized Portfolio Weights,  Econometrics and Statistics, 2018, DOI: 10.1016/ j.ecosta.2018.08.003 (with V. Golosnoy, M. Seifert and T. Lazariv).
  • Surveillance of non-stationary processes, AStA - Advances in Statistical Analysis, 2018, DOI: 10.1007/s10182-018-00330-4 (with T. Lazariv).
  • Generalized spatial and spatiotemporal autoregressive conditional heteroscedasticity, Spatial Statistics, 26, 125-145, 2018 (with P. Otto and R. Garthoff).
  • A new high-dimensional time series approach for wind speed, wind direction and air pressure forecasting, Energy, 135, 833-850, 2017 (with D. Ambach).
  • CUSUM control schemes for monitoring the covariance matrix of multivariate time series, Statistics, 51, 722-744, 2017 (with O. Bodnar).
  • Detection of spatial change points in mean and covariances of multivariate processes, Biometrical Journal, 58, 1113-1137, 2016 (with P. Otto).
  • Control charts for multivariate nonlinear time series, REVSTAT, 131-144, 2015 (with R. Garthoff and I. Okhrin).
  • EWMA control charts for detecting changes in the mean of a long-memory process, Metrika, 79, 267-301, 2016 (with L. Rabyk).
  • On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output, Statistical Papers , 57, 471-498, 2016 (with P. Ramos, M. Morais and A. Pacheco).
  • Multivariate autoregressive extreme value process and its application for modeling the time series properties of the daily asset prices, appears in Communications in Statistics - Theory and Methods, 45,3421-3440, 2016 (with R. Bodnar and T. Bodnar).
  • Quality surveillance with EWMA control charts based on exact control limits, Statistical Papers, 56, 863-885, 2015 (with M. Morais and Y. Okhrin).
  • On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability, European Journal of Operational Research, 246, 528-542, 2015 (with T. Bodnar and N. Parolya).
  • A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, Annals of Operations Research, 229, 121-158, 2015 (with T. Bodnar and N. Parolya).
  • Periodic and Long Range Dependent Models for High Frequency Wind Speed Data, Energy, 82, 277-293, 2015 (with D. Ambach)
  • Discussion on "Recent advances in process monitoring: semi parametric and variable-selection methods for Phase I and Phase II" by Giovanna Capizzi, Quality Engineering, 27, 68-72, 2015.
  • On the impact of falsely assuming i.i.d output in the probability of misleading signals, REVSTAT, 12, 221-245, 2014. (with M. Morais, P. Ramos and A. Pacheco).
  • Effcient approximation of the spatial covariance function for large datasets - analysis of atmospheric CO2 concentrations, Journal of Environmental Statistics, 6, 2014 (with P. Vetter and R. Schwarze).
  • Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, ASTA - Advances in Statistical Analysis, 98, 225-255, 2014 (with R. Garthoff and I. Okhrin).
  • 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, 76, 1105-1134, 2013 (with T. Bodnar and T. Zabolotskyy).
  • On control charts for monitoring the variance of a time series, Journal of Statistical Planning and Inference, 143, 1512-1526, 2013 (with T. Lazariv and S. Zabolotska).
  • Stochastic ordering in the qualitative assesment of the performance of simultaneous schemes for bivariate processes, Sequential Analysis, 32, 214-229, 2013 (with P. Ramos, M .Morais and A. Pacheco).
  • On the structure and estimation of hierarchical Archimedian copulas, Journal of Econometrics, 173, 189-204, 2013 (with O. Okhrin and Y. Okhrin).
  • Minimum VaR and minimum CVaR optimal portfolios: estimators, confidence regions, and tests, Statistics & Risk Modeling, 29, 281-313, 2012 (with T. Bodnar and T. Zabolotskyy).
  • Limit properties of EWMA charts for stationary processes, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 69-83, 2012 (with M. Morais and Y. Okhrin).
  • Assessing the impact of autocorrelation in misleading signals in simultaneous residual schemes for the process mean and variance: a stochastic ordering approach, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 35-52, 2012 (with P. Ramos, M. Morais and A. Pacheco).
  • On the exact distribution of the estimated EU portfolio weights: theory and applications, Statistics & Risk Modeling, 28, 319-342, 2011 (with T. Bodnar).
  • Nonlinear locally weighted kriging prediction for spatio-temporal environmental processes, Environmetrics, 21, 365-381, 2010 (with O. Bodnar).
  • New characteristics for portfolio surveillance, Statistics, 44, 303-321 (with V. Golosnoy and I. Okhrin), 2010.
  • Discussion on "Optimal Sequential Surveillance for Finance, Public Health, and Other Areas" by M. Frisen, Sequential Analysis, 28, 375-380, 2009 (with O. Bodnar).
  • Misleading signals in simultaneous residual schemes for the mean and the variance of a stationary process, Communications in Statistics - Theory and Methods, 38, 2923-2943, 2009 (with S. Knoth, M. C. Morais and A. Pacheco).
  • Statistical inference of the efficient frontier for dependent asset returns, Statistical Papers, 50, 593-604, 2009 (with T. Bodnar and T. Zabolotskyy).
  • Estimation of optimal portfolio compositions for Gaussian returns, Statistics & Decisions, 26, 179-201, 2008 (with T. Bodnar).
  • Comparing air quality among Italy, Germany, and Poland using BC indexes, Atmospheric Environment, 42, 8412-8421, 2008 (with O. Bodnar, M. Cameletti and A. Fasso).
  • Discussion on "Is Average Run Length to False Alarm always an Informative Criterion?" by Y. Mei, Sequential Analysis, 27, 392-395, 2008 (with S. Knoth).
  • A test for the weights of the global minimum variance portfolio in an elliptical model,  Metrika, 67, 127-143, 2008 (with T. Bodnar).
  • Discussion on "Sequential Design and Estimation in Heteroscedastic Nonparametric Regression" by S. Efromovich, Sequential Analysis, 26, 53-55, 2007 (with Y. Okhrin).

  • Control charts for time series: a review, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.210-236, 2004 (with S. Knoth).

  • Simultaneous Shewhart-type charts for the mean and the variance of a time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.61-79, 2001 (with S. Knoth and A. Schöne).

  • The influence of parameter estimation on the ARL of Shewhart-type charts for time series, Statistical Papers, 41, p.173-196, 2000 (with H. Kramer).

  • On the robustness of Shewhart type charts, Economic Quality Control, 13, p.107-115, 1998 (with H. Kramer).

  • Statistical process control and its application in finance, Contributions to Economics: Risk Measurement, Econometrics and Neural Networks, Physica-Verlag, Hei, p.83-104, 1998 (with T. Severin).

  • On the average delay of control schemes, Advances in Stochastic Models for Reliability, Quality and Safety, E. von Collani, J. Franz, U. Jens, p.341-360, 1998 (with H. Kramer).

  • The effects of autocorrelation on the R-chart and the S²-chart, Sankhyã, Ser. B, 59, p.229-255, 1997 (with R. Amin).

  • Zur Anwendung der Statistischen Prozesskontrolle in der Wertpapieranalyse, Solutions, 1, p.71-81, 1997 (with T. Severin).

  • Some properties of the EWMA control chart in the presence of data correlation, Annals of Statistics, 25, p.1277-1283, 1997 (with A. Schöne).

  • On EWMA charts for time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-T. Wilrich (Eds.), Physica-Verlag, Heidelb, p.115-137, 1997.

  • A comparison of several procedures for identifying outliers in contaminated ARMA processes, Computational Statistics, 11, p.175-195, 1996 (with T. Flak and R. Sigmund).

  • Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors, Finanzmarkt und Portfolio Management, 10, p.45-52, 1996 (with F. Herrmann and R. Zagst).

  • An outlier test for linear processes - II. Large contamination, Metrika, 43, p.31-42, 1996 (with T. Flak).

  • Extreme sums of strictly stationary sequences of m-dependent variables, Sankhyã, Ser. A, 57, p.186-201, 1995 (with T. Flak).

  • Robustness of the standard deviation and other measures of dispersion, Biometrical Journal, 36, p.411-427, 1994 (with W. Gaus and J. Högel).

  • An outlier test for linear processes, Metrika, 40, p.299-318, 1993 (with T. Flak).

  • An optimal decision rule for identifying outliers in time series, Österreichische Zeitschrift für Statistik und Informatik, 22, p.119-133, 1992.

  • How to locate outliers in a time series if a starting-block is present, Sankhyã, Ser. B, 53, p.359-383, 1991.

  • Identification of a type I outlier in an autoregressive model, Statistics, 20, p.531-545, 1989.

  • Asymptotical behaviour of a test of discordancy for an increasing number of outliers, Statistics & Decisions, 6, p.245-260, 1988.

  • The multiple outlier problem in time series analysis, Australian Journal of Statistics, 28, p.400-413, 1986.

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Stiftung Europa-Universität Viadrina
Lehrstuhl für Quantitative Methoden,
insbesondere Statistik
Große Scharrnstraße 59
D-15230 Frankfurt (Oder)

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