14 citations · 49 across the 14 of their papers we have counts for
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Functional estimation and change detection for nonstationary time series
Fabian Mies
Tests for structural breaks in time series should ideally be sensitive to breaks in the parameter of interest, while being robust to nuisance changes. Statistical analysis thus nee…
Projection inference for high-dimensional covariance matrices with structured shrinkage targets
Fabian Mies, Ansgar Steland
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and…
Estimation of mixed fractional stable processes using high-frequency data
Fabian Mies, Mark Podolskij
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable Lévy processes, and fractional Brownian motion. For this reason it may…
Rate-optimal estimation of mixed semimartingales
Carsten H. Chong, Thomas Delerue, Fabian Mies
Consider the sum of a Brownian motion and an independent fractional Brownian motion with Hurst parameter . Even though is not a semimartinga…
Sequential Gaussian approximation for nonstationary time series in high dimensions
Fabian Mies, Ansgar Steland
Gaussian couplings of partial sum processes are derived for the high-dimensional regime . The coupling is derived for sums of independent random vectors and subsequen…