Search Results - "Reiss, Markus"

NONASYMPTOTIC UPPER BOUNDS FOR THE RECONSTRUCTION ERROR OF PCA by Reiss, Markus, Wahl, Martin

“…We analyse the reconstruction error of principal component analysis (PCA) and prove nonasymptotic upper bounds for the corresponding excess risk. These bounds…”
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Nonparametric estimation for linear SPDEs from local measurements by Altmeyer, Randolf, Reiß, Markus

“…The coefficient function of the leading differential operator is estimated from observations of a linear stochastic partial differential equation (SPDE). The…”
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Asymptotic Equivalence for Nonparametric Regression with Multivariate and Random Design by REISS, Markus

“…We show that nonparametric regression is asymptotically equivalent, in Le Cam's sense, to a sequence of Gaussian white noise experiments as the number of…”
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NONPARAMETRIC BAYESIAN ANALYSIS OF THE COMPOUND POISSON PRIOR FOR SUPPORT BOUNDARY RECOVERY by Reiss, Markus, Schmidt-Hieber, Johannes

“…Given data from a Poisson point process with intensity (x, y) ↦ n₁ (f(x) ≤ y), frequentist properties for the Bayesian reconstruction of the support boundary…”
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ASYMPTOTIC EQUIVALENCE FOR INFERENCE ON THE VOLATILITY FROM NOISY OBSERVATIONS by REISS, Markus

“…We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in…”
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ESTIMATING THE QUADRATIC COVARIATION MATRIX FROM NOISY OBSERVATIONS: LOCAL METHOD OF MOMENTS AND EFFICIENCY by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy…”
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ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS by Chen, Xiaohong, Reiss, Markus

“…In this paper we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and…”
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Estimating the Spot Covariation of Asset Prices-Statistical Theory and Empirical Evidence by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semimartingale log asset price process, which is subject to noise…”
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Testing the characteristics of a Lévy process by Reiß, Markus

“…For n equidistant observations of a Lévy process at time distance Δn we consider the problem of testing hypotheses on the volatility, the jump measure and its…”
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Wasserstein and total variation distance between marginals of Lévy processes by Mariucci, Ester, Reiß, Markus

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A REMARK ON THE RATES OF CONVERGENCE FOR INTEGRATED VOLATILITY ESTIMATION IN THE PRESENCE OF JUMPS by Jacod, Jean, Reiss, Markus

“…The optimal rate of convergence of estimators of the integrated volatility, for a discontinuous Itô semimartingale sampled at regularly spaced times and over a…”
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Efficient estimation of functionals in nonparametric boundary models by REIß, MARKUS, SELK, LEONIE

“…For nonparametric regression with one-sided errors and a boundary curve model for Poisson point processes, we consider the problem of efficient estimation for…”
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Unbiased estimation of the volume of a convex body by Baldin, Nikolay, Reiß, Markus

“…Based on observations of points uniformly distributed over a convex set in Rd, a new estimator for the volume of the convex set is proposed. The estimator is…”
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Exact and asymptotic tests on a factor model in low and large dimensions with applications by Bodnar, Taras, Reiß, Markus

“…In the paper, we suggest three tests on the validity of a factor model which can be applied for both, small-dimensional and large-dimensional data. The exact…”
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ADAPTIVE FUNCTION ESTIMATION IN NONPARAMETRIC REGRESSION WITH ONE-SIDED ERRORS by Jirak, Moritz, Meister, Alexander, Reiss, Markus

“…We consider the model of nonregular nonparametric regression where smoothness constraints are imposed on the regression function f and the regression errors…”
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A Donsker theorem for Lévy measures by Nickl, Richard, Reiß, Markus

“…Given n equidistant realisations of a Lévy process (Lt,t≥0), a natural estimator Nˆn for the distribution function N of the Lévy measure is constructed. Under…”
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Adaptive quantile estimation in deconvolution with unknown error distribution by DATTNER, ITAI, REIß, MARKUS, TRABS, MATHIAS

“…Quantile estimation in deconvolution problems is studied comprehensively. In particular, the more realistic setup of unknown error distributions is covered…”
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Spectral Estimation of Covolatility from Noisy Observations Using Local Weights by Bibinger, Markus, Reiß, Markus

“…We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes, which are observed discretely with…”
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Nonparametric estimation for Lévy processes from low-frequency observations by NEUMANN, MICHAEL H., REIß, MARKUS

“…We suppose that a Lévy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent…”
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Early stopping for statistical inverse problems via truncated SVD estimation by Blanchard, Gilles, Hoffmann, Marc, Reiß, Markus

“…We consider truncated SVD (or spectral cutoff , projection) es-timators for a prototypical statistical inverse problem in dimension D. Since calculating the…”
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