5 papers
Rank tests for time-varying covariance matrices observed under noise
Markus Reiß, Lars Winkelmann
We consider a -dimensional continuous martingale with quadratic variation matrix and develop tests for the rank of its spot covaria…
Information bounds for inference in stochastic evolution equations observed under noise
Gregor Pasemann, Markus Reiß
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under a…
Early Stopping for Regression Trees
Ratmir Miftachov, Markus Reiß
We develop early stopping rules for growing regression tree estimators. The fully data-driven stopping rule is based on monitoring the global residual norm. The best-first search a…
Nonparametric Diffusivity Estimation for the Stochastic Heat Equation from Noisy Observations
Gregor Pasemann, Markus Reiß
We estimate nonparametrically the spatially varying diffusivity of a stochastic heat equation from observations perturbed by additional noise. To that end, we employ a two-step loc…
Delay differential equations driven by Levy processes: stationarity and Feller properties
M. Reiss, M. Riedle, O. van Gaans
We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed…