8 citations · 9 across the 4 of their papers we have counts for
4 papers
Parametric change point detection with random occurrence of the change point
Cassandra Milbradt
We are concerned with the problem of detecting a single change point in the model parameters of time series data generated from an exponential family. In contrast to the existing l…
A cross-border market model with limited transmission capacities
Cassandra Milbradt, Dörte Kreher
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market parti…
Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model
Dörte Kreher, Cassandra Milbradt
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, an…
High-probability bounds for the reconstruction error of PCA
Cassandra Milbradt, Martin Wahl
We derive high-probability bounds for the reconstruction error of PCA in infinite dimensions. We apply our bounds in the case that the eigenvalues of the covariance operator satisf…