91 citations · 585 across the 27 of their papers we have counts for
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Early stopping for statistical inverse problems via truncated SVD estimation
Gilles Blanchard, Marc Hoffmann, Markus Reiß
We consider truncated SVD (or spectral cut-off, projection) estimators for a prototypical statistical inverse problem in dimension . Since calculating the singular value decompo…
Wasserstein and total variation distance between marginals of Lévy processes
Ester Mariucci, Markus Reiß
We present upper bounds for the Wasserstein distance of order between the marginals of Lévy processes, including Gaussian approximations for jumps of infinite activity. Using t…
Functional estimation and hypothesis testing in nonparametric boundary models
Markus Reiß, Martin Wahl
Consider a Poisson point process with unknown support boundary curve , which forms a prototype of an irregular statistical model. We address the problem of estimating non-linear…
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous ob…
Posterior contraction rates for support boundary recovery
Markus Reiss, Johannes Schmidt-Hieber
Given a sample of a Poisson point process with intensity we study recovery of the boundary function from a nonparametric Bayes perspecti…