91 citations · 585 across the 27 of their papers we have counts for
6 papers · 1 filter
Model selection in a sparse heterogeneous framework
Laurent Cavalier, Markus Reiß
We consider a Gaussian sequence space model where has a diagonal covariance matrix $Σ=\diag(σ_λ^2)$. We consider the situation where the parameter vector $(f_λ…
High-frequency Donsker theorems for Lévy measures
Richard Nickl, Markus Reiß, Jakob Söhl +1
Donsker-type functional limit theorems are proved for empirical processes arising from discretely sampled increments of a univariate Lévy process. In the asymptotic regime the samp…
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…
Testing the characteristics of a Lévy process
Markus Reiß
For equidistant observations of a Lévy process at time distance we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoo…
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous obs…
Adaptive quantile estimation in deconvolution with unknown error distribution
Itai Dattner, Markus Reiß, Mathias Trabs
Quantile estimation in deconvolution problems is studied comprehensively. In particular, the more realistic setup of unknown error distributions is covered. Our plug-in method is b…