138 citations · 205 across the 17 of their papers we have counts for
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math.ST2015★ 138 cited
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…
math.ST2015★ 1 cited
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…
math.ST2015
Optimal eigen expansions and uniform bounds
Moritz Jirak
Let be a stationary process with associated lag operators . Uniform asymptotic expansi…