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Mathias Trabs ― Research


  1. Sparse covariance matrix estimation in high-dimensional deconvolution 
    arXiv: 1710.10870 (with Denis Belomestny and Alexandre B. Tsybakov) 

  2. Volatility estimation for stochastic PDEs using high-frequency observations 
    arXiv: 1710.03519 (with M. Bibinger) 

  3. Profiting from correlations: Adjusted estimators for discrete probability distributions 
    arXiv: 1609.06339 (with T. Niebuhr) 


You may download preprint versions (arXiv), for the final versions please consult the journals.

  1. Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes 
    Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, to appear, 2017 (with D. Belomestny) 

  2. Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
    ESAIM: Probability and Statistics, 20, 432–462, 2016 (with J. Söhl).

  3. Spectral estimation for diffusions with random sampling times 
    Stochastic Processes and their Applications, 126 (10), 2976–3008, 2016 (with J. Chorowski). 

  4. Rough differential equations driven by signals in Besov spaces 
    Journal of Differential Equations, 260 (6), 5202–5249, 2016 (with D.J. Prömel).

  5. High-frequency Donsker theorems for Lévy measures
    Probability Theory and Related Fields, 164(1), 61-108, 2016 (with R. Nickl, J. Söhl and M. Reiß).

  6. Adaptive quantile estimation in deconvolution with unknown error distribution
    Bernoulli, 22 (1), 143-192, 2016 (with I. Dattner and M. Reiß).

  7. Information bounds for inverse problems with application to deconvolution and Lévy models
    Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 51(4), 1620-1650, 2015.

  8. Quantile estimation for Lévy measures
    Stochastic Processes and their Applications, 125(9), 3484–3521, 2015.

  9. Option calibration of exponential Lévy models: Confidence intervals and empirical results
    Journal of Computational Finance, 18(2), 91-119, 2014 (with J. Söhl).
    See also: Documentation of the implementation in R.

  10. On infinitely divisible distributions with polynomially decaying characteristic functions
    Statistics & Probability Letters, 94, 56-62, 2014.

  11. Calibration of self-decomposable Lévy models
    Bernoulli, 20(1), 109–140, 2014.

  12. A uniform central limit theorem and efficiency for deconvolution estimators
    Electronic Journal of Statistics, 6, 2486-2518, 2012 (with J. Söhl).


  Seitenanfang  Impressum 2017-11-01, Mathias Trabs