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math.PR2021★ 1 cited
Gumbel convergence of the maximum of convoluted half-normally distributed random variables
Markus Bibinger
In this note, we establish the convergence in distribution of the maxima of i.i.d. random variables to the Gumbel distribution with the associated normalizing sequences for several…
math.PR2014
Volatility estimation under one-sided errors with applications to limit order books
Markus Bibinger, Moritz Jirak, Markus Reiß
For a semi-martingale , which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation is constructed based on observations i…
math.PR2013★ 44 cited
Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters
Markus Bibinger
We consider the distribution of the sum and the maximum of a collection of independent exponentially distributed random variables. The focus is laid on the explicit form of the den…