138 citations · 205 across the 17 of their papers we have counts for
10 papers · 1 filter
Asset-specific limit order microstructure noise: Parameter estimation and empirical evidence
Markus Bibinger, Adrian Grüber, Moritz Jirak
The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail…
Asymptotic equivalence for nonparametric additive regression
Moritz Jirak, Alexander Meister, Angelika Rohde
We prove asymptotic equivalence of nonparametric additive regression and an appropriate Gaussian white noise experiment in which a multidimensional shifted Wiener process is observ…
Nonparametric local polynomial regression for functional covariates
Moritz Jirak, Alois Kneip, Alexander Meister +1
We consider nonparametric regression with functional covariates, that is, they are elements of an infinite-dimensional Hilbert space. A locally polynomial estimator is constructed,…
Sharp oracle inequalities and universality of the AIC and FPE
Moritz Jirak, Georg Köstenberger
In two landmark papers, Akaike introduced the AIC and FPE, demonstrating their significant usefulness for prediction. In subsequent seminal works, Shibata developed a notion of asy…
Time-varying first-order autoregressive processes with irregular innovations
Hanna Gruber, Moritz Jirak
We consider a time-varying first-order autoregressive model with irregular innovations, where we assume that the coefficient function is Hölder continuous. To estimate this functio…
Uniform change point tests in high dimension
Moritz Jirak
Consider dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both…
Nonparametric change-point analysis of volatility
Markus Bibinger, Moritz Jirak, Mathias Vetter
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an Itô semi-martingale, the latter being discretely observe…
Optimal eigen expansions and uniform bounds
Moritz Jirak
Let be a stationary process with associated lag operators . Uniform asymptotic expansi…
Adaptive function estimation in nonparametric regression with one-sided errors
Moritz Jirak, Alexander Meister, Markus Reiß
We consider the model of nonregular nonparametric regression where smoothness constraints are imposed on the regression function and the regression errors are assumed to decay…
Simultaneous confidence bands for Yule-Walker estimators and order selection
Moritz Jirak
Let be an autoregressive process of order . Various estimators for the order and the parameters ${\bolds Θ}_q=(θ_1,...,θ_q)^T$ are known; the orde…