List of publications
Theses
- Diploma: Über den Kolmogorov-Smirnov Test beim
Signalerkennungsproblem mit Gaußschem weißem Rauschen.
University of Dortmund.
- PhD: Refined estimation of the extreme value index. University
of Siegen.
- Habilitation: Estimating the Extreme Value
Index,
University of Cologne.
Papers
- Drees, H. and Milbrodt, H. (1991). Components of the two-sided
Kolmogorov-Smirnov test in signal detection problems with Gaussian
white noise. Journal of
Statistical Planning and Inference 29, 325-335.
- Drees, H. and Reiss, R.-D. (1992). Tail behavior in Wicksell's
corpuscle problem. In: Galambos, J. and Katai, I. (eds.): Probability
Theory and Applications. Kluwer Academic Publishers, Dordrecht,
205-220.
- Drees, H. and Milbrodt, H. (1994). The one-sided
Kolmogorov-Smirnov test in signal detection problems with Gaussian
white noise. Statistica Neerlandica 48, 103-116.
- Drees, H. and Kaufmann, E. (1994). Poisson approximation of
point processes of exceedances under von Mises conditions. In:
Galambos, J. et
al. (eds.): Extreme Value Theory and Applications, Vol. 3.,
95-102.
- Drees, H. and Milbrodt, H. (1995). Curbing the rising premiums
for older policy holders in German private health insurance
- a
simulation study (in German, English abstract). Blätter der
DGVM XXII, 393-418.
- Drees, H. (1995). Refined Pickands estimators of the extreme
value index. Annals of Statistics 23, 2059-2080.
- Drees, H. (1996). Refined Pickands estimator with bias
correction. Communications in Statistics 25, 837-851.
- Drees, H. and Reiss, R.-D. (1996). Residual life functionals at
great age. Communications in Statistics 25, 823-835.
- Drees, H., Maas, B. and Milbrodt, H. (1996). Curbing the rising
premiums for older policy holders in German private health insurance II
(in German, English abstract). Blätter der DGVM
XXIII, 581-590.
- Drees, H. (1998). On smooth statistical tail functionals. Scandinavian
Journal of Statististics 25, 187-210.
- Drees, H. (1998). A general class of estimators of the extreme
value index. Journal of Statistical Planning and Inference 66,
95-112.
- Drees, H. (1998). Optimal rates of convergence for estimates of
the extreme value index. Annals of Statistics 26,
434-448.
- Drees, H. and Huang, X. (1998). Best attainable rates of
convergence for estimators of the stable tail dependence function. Journal
of Multivariate Analysis 64, 25-47.
- Drees, H. and Kaufmann, E. (1998). Selecting the optimal sample
fraction in univariate extreme value statistics. Stochastic
Processes
and Their Applications 75, 149-172.
- Drees, H., Milbrodt, H. and Schlüter, V. (1998). Curbing
the rising premiums for older policy holders in German private health
insurance III. In: Transactions of the 26th International Congress
of Actuaries, Birmingham 1998, 85-99.
- Drees, H. (1999). On fixed-length confidence intervals for a
bounded normal mean. Statistics and Probability Letters 44,
399-404.
- Drees, H. and de Haan, L. (1999). Conditions for quantile
process approximations. Stochastic Models 15, 485-502.
- Drees, H., de Haan, L. and Resnick, S. (2000). How to make a
Hill plot. Annals of Statistics 28, 254-274.
- Drees, H. (2000). Weighted Approximations of Tail Processes for
ß-Mixing Random Variables. Annals of Applied Probability 10,
1274-1301.
- Drees, H. (2001). Minimax risk bounds in extreme value theory. Annals
of Statistics 29, 266-294.
- Drees, H. (2001). Exceedance over Threshold. In A.H.
El-Shaarawi und W.W. Piegorsch (Hrsg.): Encyclopedia of
Environmetrics Vol. 2, 715-728, Wiley, Chichester.
- Drees, H. (2001). Exceedance Probability. In A.H.
El-Shaarawi und W.W. Piegorsch (Hrsg.): Encyclopedia of
Environmetrics Vol. 2, 728-729, Wiley, Chichester.
- Drees, H. (2001). Threshold Models. In A.H. El-Shaarawi
und W.W. Piegorsch (Hrsg.): Encyclopedia of Environmetrics
Vol. 4, 2181-2187, Wiley, Chichester.
- Drees, H. (2002). Tail empirical processes under mixing
conditions. In: H.G. Dehling, T. Mikosch and M. Sorensen (eds.), Empirical
Process Techniques for Dependent Data, 325-342. Birkhäuser,
Boston
- Drees, H. (2003). Extreme Quantile Estimation for Dependent Data
with Applications to Finance. Bernoulli 9,
617-657. preprint version: zipped
ps-file, pdf-file
- Drees, H., de Haan, L. and Li, D. (2003). On large
deviations for extremes. Statistics & Probability Letters 64,
51-62. preprint version: zipped ps-file,
pdf-file
- Draisma, G, Drees, H., Ferreira, A. and de Haan, L. (2004).
Bivariate tail estimation: dependence in asymptotic independence.
Bernoulli 10, 251-280.
preprint version: zipped
ps-file, pdf-file
- Drees, H., Ferreira, A. and de Haan, L. (2004). On the maximum
likelihood estimation of the extreme value index. Annals
of Applied Probability 14,
1179-1201. preprint version: zipped
ps-file, pdf-file
- Drees, H., de Haan, L.. and Li, D. (2006). Approximations to the
tail empirical distribution function
with application to testing extreme value conditions. Journal of
Statistical Planning and Inference 136,
3498-3538. preprint version: zipped ps-file,
pdf-file
- Drees, H. (2008). Some aspects of extreme value statistics under serial dependence. Extremes
11, 35-53. arxiv version: pdf-file
- Drees, H., and Müller, P. (2008). Fitting and validation of a bivariate model for large claims.
Insurance: Mathematics and Economics 42,
638-650. preprint version: pdf-file
- Drees, H., and Rootzén, H. (2010). Limit Theorems for Empirical Processes of Cluster Functionals.
Annals of Statistics 38(4), 2145-2186.
arxiv version.
(correction note)
- Drees, H. (2012). Extreme value analysis of actuarial risks: estimation and model validation.
AStA: Advances in Statistical Analysis 96(2), 225-264.
arxiv version.
- Drees, H., and de Haan, L. (2015). Estimating failure probabilities.
Bernoulli 21(2), 957-1001.
arxiv version.
- Drees, H., Segers, J., and Warchoł, M. (2015). Statistics for Tail Processes of Markov Chains.
Extremes 18(3), 369-402.
arxiv version.
- Janßen, A., and Drees, H. (2016). A stochastic volatility model with flexible extremal dependence structure.
Bernoulli 22(3), 1448-1490.
arxiv version
- Drees, H., and Janßen, A. (2016). Conditional extreme value models: fallacies and pitfalls.
Extremes 20, 777-805.
arxiv version.
- Drees, H., and Janßen, A. (2018). Joint exceedances of random products.
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54, 437-465.
arxiv version
- Davis, R., Drees, H., Segers, J., and Warchoł, M. (2018). Inference on the tail process with application to financial time series modelling.
The Journal of Econometrics, 205(2), 508-525.
arxiv version.
- Drees, H., de Haan, L., and Turkman, F. (2018). Extreme Value Estimation for Discretely Sampled Continuous Processes.
Extremes, 21(4), 533-550.
arxiv version.
- Drees, H., Neumeyer, N., and Selk, L. (2019). Estimation and hypotheses testing in boundary regression models.
Bernoulli, 25(1), 424-463.
arxiv version.
- Drees, H., Janßen, A. Resnick, S.I., and Wang, T. (2020). On a minimum distance procedure for threshold selection in tail analysis.
SIAM Journal on Mathematics of Data Science, 2(1), 75–102.
arxiv version.
- Drees, H., and Knezevic, M. (2020). Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds.
Extremes, to appear.
arxiv version.
Further preprints may be available at
the preprint
server
of the Mathematical Department of the University of Saarland or
the preprint
server
of the Center for Mathematical Statistics and Stochastic Processes,
Mathematical Department of the University of Hamburg, or on arXiv.org
See also
Back to Holger Drees' homepage
Last modified: July 15, 2010