23 citations · 87 across the 9 of their papers we have counts for
9 papers
The trade-off between model flexibility and accuracy of the Expected Threat model in football
Koen W. van Arem, Jakob Söhl, Mirjam Bruinsma +1
With an average football (soccer) match recording over 3,000 on-ball events, effective use of this event data is essential for practitioners at football clubs to obtain meaningful…
Noise Fit, Estimation Error and a Sharpe Information Criterion
Dirk Paulsen, Jakob Söhl
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We…
Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
Jakob Söhl, Mathias Trabs
As a starting point we prove a functional central limit theorem for estimators of the invariant measure of a geometrically ergodic Harris-recurrent Markov chain in a multi-scale sp…
Uniform central limit theorems for the Grenander estimator
Jakob Söhl
We consider the Grenander estimator that is the maximum likelihood estimator for non-increasing densities. We prove uniform central limit theorems for certain subclasses of bounded…
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…
Polar sets of anisotropic Gaussian random fields
Jakob Söhl
This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalu…
A uniform central limit theorem and efficiency for deconvolution estimators
Jakob Söhl, Mathias Trabs
We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with -rate on the assumption that th…
Confidence sets in nonparametric calibration of exponential Lévy models
Jakob Söhl
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we sho…
Option calibration of exponential Lévy models: Confidence intervals and empirical results
Jakob Söhl, Mathias Trabs
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the efficient implementation of the spectral estimation proced…