310 citations · 565 across the 13 of their papers we have counts for
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math.ST2018
Multiscale change point detection for dependent data
Holger Dette, Theresa Schüler, Mathias Vetter
In this paper we study the theoretical properties of the simultaneous multiscale change point estimator (SMUCE) proposed by Frick et al. (2014) in regression models with dependent…
math.PR2018
Laws of large numbers for Hayashi-Yoshida-type functionals
Ole Martin, Mathias Vetter
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behav…