Publikationen Lehrstuhl Mathematische Statistik
Zur Veröffentlichung eingereicht:
- Bücher, A. und Pakzad, C. (2024+):
The empirical copula process in high dimensions: Stute's representation and applications.
https://arxiv.org/abs/2405.05597
In referierten Zeitschriften:
- Bücher, A., Staud, T. (2024)
Limit theorems for non-degenerate U-statistics of block maxima for time series.
Electronic Journal of Statistics, 18(2): 2850-2885
https://doi.org/10.1214/24-EJS2269 - Bücher, A. und Rosenstock, A. (2024+):
Combined modelling of micro-leveloutstanding claim counts and individualclaim frequencies in general insurance.
Erscheint in: European Actuarial Journal.
https://doi.org/10.1007/s13385-024-00383-7 - Bücher, A. und Jennessen T. (2023+):
Statistics for Heteroscedastic Time Series Extremes.
Erscheint in: Bernoulli.
https://arxiv.org/abs/2204.09534 - Bücher, A. und Pakzad, C. (2024):
Testing for independence in high dimensions based on empirical copulas.
Annals of Statistics, Vol. 52(1): 311-334.
https://doi.org/10.1214/23-AOS2348 - Zanger, L., Bücher, A., Kreienkamp, F., Lorenz, P. und Tradowsky, J. (2024):
Regional Pooling in Extreme Event Attribution Studies: an Approach Based on Multiple Statistical Testing.
Extremes, Vol. 27, 1–32.
https://doi.org/10.1007/s10687-023-00480-y - Bücher, A. und Jennessen T. (2024):
Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to tail index estimation.
Extremes, Vol. 27, 163–184.
https://doi.org/10.1007/s10687-023-00476-8 - Bücher, A. und Zanger, L. (2023):
On the Disjoint and Sliding Block Maxima method for piecewise stationary time series.
Annals of Statistics, Vol. 51(2), 573-598
https://doi.org/10.1214/23-AOS2260 - Bücher, A., Dette, H. und Heinrichs, F. (2023):
A Portmanteau-type test for detecting serial correlation in locally stationary functional time series.
Statistical Inference for Stochastic Processes, Vol. 26, 255–278
https://doi.org/10.1007/s11203-022-09285-5 - Bücher, A., Genest, C., Lockhart, R., und Nešlehová, J. (2023):
Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines.
Extremes, Vol. 26, 101–138
https://doi.org/10.1007/s10687-022-00451-9 - Lilienthal, J., Zanger, L., Bücher, A. und Fried, R. (2022):
A note on statistical tests for homogeneities in multivariate extreme value models for block maxima.
Environmetrics, e2746.
https://doi.org/10.1002/env.2746 - Bücher, A. und Rosenstock, A. (2023):
Micro-level Prediction of Outstanding Claim Counts using Neural Networks.
European Actuarial Journal, Vol. 13, 55–90
https://doi.org/10.1007/s13385-022-00314-4 - Bücher, A. und Jennessen T. (2022):
Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution.
Stochastic Processes and their Applications, Vol. 149, 75-106.
https://doi.org/10.1016/j.spa.2022.03.004 - Bücher, A., Dette, H. und Heinrichs, F. (2021):
Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators.
Annals of Statistics, Vol. 49, No. 6, 3583-3617.
http://dx.doi.org/10.1214/21-AOS2098 - Bücher A. Jaser, M. und Min, A. (2021):
Detecting departures from meta-ellipticity for multivariate stationary time series.
Dependence Modeling, Vol. 9, No. 1, 121-140.
https://doi.org/10.1515/demo-2021-0105 - Bücher, A. und Zhou, C. (2021):
A horse race between the block maxima method and the peak-over-threshold approach.
Statistical Science, Vol. 36, No. 3, 360-378.
https://doi.org/10.1214/20-STS795 - Bücher, A., Fried, R., Kinsvater, P. und Lilienthal, J. (2021):
Penalized Quasi-Maximum-Likelihood Estimation for Extreme Value Models with Application to Flood Frequency Analysis. Extremes, Vol. 24, 325–348.
http://dx.doi.org/10.1007/s10687-020-00379-y - Bücher, A., Volgushev, S. und Zou, N. (2021):
Multiple block sizes and overlapping blocks for multivariate time series extremes.
Annals of Statistics, Vol. 49, No. 1, 295-320.
http://dx.doi.org/10.1214/20-AOS1957 - Bücher, A. und Jennessen T. (2020):
Method of moments estimators for the extremal index of a stationary time series.
Electronic Journal Of Statistics, Vol. 14, No. 2, 3103-3156.
https://doi.org/10.1214/20-EJS1734 - Bücher, A., Dette, H. und Heinrichs, F. (2020):
Detecting deviations from second-order stationarity in locally stationary functional time series.
Annals of the Institute of Statistical Mathematics, Vol. 72(4), 1055-1094.
https://doi.org/10.1007/s10463-019-00721-7 - Bücher, A., Posch, P. N. und Schmidtke, P. (2020):
Using the Extremal Index for Value-at-Risk Backtesting.
Journal of Financial Econometrics, Vol. 18 (3), 556–584.
https://doi.org/10.1093/jjfinec/nbaa011 - Bücher, A., Volgushev, S. und Zou, N. (2019):
On second order conditions in the multivariate block maxima and peak over threshold method.
Journal of Multivariate Analysis, Vol. 173, 604-619.
https://doi.org/10.1016/j.jmva.2019.04.011 - Bücher, A., Fermanian, J.-D. und Kojadinovic, I. (2019):
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series.
Journal of Time Series Analysis, Vol. 40, 124-150.
https://doi.org/10.1111/jtsa.12431 - Bücher, A. und Kojadinovic, I. (2019):
A note on conditional versus joint unconditional weak convergence in bootstrap consistency results.
Journal of Theoretical Probability, Vol. 32(3), 1145-1165.
https://doi.org/10.1007/s10959-018-0823-3 - Berghaus, B. und Bücher, A. (2018):
Weak Convergence of a Pseudo Maximum Likelihood Estimator for the Extremal Index.
Annals of Statistics, Vol. 46(5), 2307-2335.
https://doi.org/10.1214/17-AOS1621 - Bücher, A. und Segers, J. (2018):
Inference for heavy tailed stationary time series based on sliding blocks.
Electronic Journal of Statistics, Vol. 12(1), 1098–1125.
https://doi.org/10.1214/18-EJS1415 - Bücher, A. und Segers, J. (2018):
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series.
Bernoulli Vol. 24(2), 1427–1462.
https://doi.org/10.3150/16-BEJ903 - Bücher, A. und Segers, J. (2017):
On the maximum likelihood estimator for the Generalized Extreme-Value distribution.
Extremes, Vol. 20(4), 839–872.
https://doi.org/10.1007/s10687-017-0292-6 - Bücher, A., Irresberger, F. und Weiß, G. (2017):
Testing Asymmetry in Dependence with Copula-Coskewness.
North American Actuarial Journal, Vol. 21, 267–280.
https://doi.org/10.1080/10920277.2017.1282876 - Bücher, A., Kinsvater, P. und Kojadinovic, I. (2017):
Detecting breaks in the dependence of multivariate extreme-value distributions.
Extremes, Vol. 20(1), 53-89.
https://doi.org/10.48550/arXiv.1505.00954 - Berghaus, B. und Bücher, A. (2017):
Goodness-of-fit tests for multivariate copula-based time series models.
Econometric Theory, Vol. 33(2), 292–330.
https://doi.org/10.1017/S0266466615000419 - Berghaus, B., Bücher, A. und Volgushev, S. (2017):
Weak convergence of the empirical copula process with respect to weighted metrics.
Bernoulli, Vol. 23(1), 743–772.
https://doi.org/10.3150/15-BEJ751 - Bücher, A., Hoffmann, M., Vetter, M. und Dette, H. (2017):
Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process.
Bernoulli, Vol. 23(2), 1335–1364.
https://doi.org/10.3150/15-BEJ780 - Bücher, A. und Kojadinovic, I. (2016):
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing.
Bernoulli, Vol. 22(2), 927–968.
https://doi.org/10.3150/14-BEJ682 - Bücher, A., Jäschke, S. und Wied, D. (2015):
Nonparametric tests for constant tail dependence with an application to energy and finance.
Journal of Econometrics, Vol. 187(1), 154–168.
https://doi.org/10.1016/j.jeconom.2015.02.002 - Bücher, A. (2015):
A note on weak convergence of the sequential multivariate empirical process under strong mixing.
Journal of Theoretical Probability, Vol. 28(3), 1028–1037.
https://doi.org/10.1007/s10959-013-0529-5 - Bücher, A. und Kojadinovic, I. (2015):
Dependent multiplier bootstraps for nondegenerate U-statistics under mixing conditions with applications.
Journal of Statistical Planning and Inference, Vol. 170, 83–105.
https://doi.org/10.1016/j.jspi.2015.09.006 - Bücher, A., Segers, J. und Volgushev, S. (2014):
When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs.
Annals of Statistics, Vol. 42, 1598–1634.
https://doi.org/10.1214/14-AOS1237 - Bücher, A. und Segers, J. (2014):
Extreme value copula estimation based on block maxima of a multivariate stationary time series.
Extremes, Vol. 13, 495–528.
https://doi.org/10.1007/s10687-014-0195-8 - Bücher, A. (2014):
A note on nonparametric estimation of bivariate tail dependence.
Statistics & Risk Modeling, Vol. 31, 151–162.
https://doi.org/10.1515/strm-2013-1143 - Bücher, A., Kojadinovic, I., Rohmer, T. und Segers, J. (2014):
Detecting changes in cross-sectional dependence in multivariate time series.
Journal of Multivariate Analysis, Vol. 132, 111–128.
https://doi.org/10.1016/j.jmva.2014.07.012 - Berghaus, B. und Bücher, A. (2014):
Nonparametric tests for tail monotonicity.
Journal of Econometrics, Vol. 180(2), 117–126.
https://doi.org/10.1016/j.jeconom.2014.03.005 - Bücher, A. und Vetter, M. (2013):
Nonparametric Inference on Lévy measures and copulas.
Annals of Statistics, Vol. 41, 1485–1515.
https://doi.org/10.1214/13-AOS1116 - Bücher, A. und Dette, H. (2013):
Multiplier bootstrap of tail copulas – with applications.
Bernoulli, Vol. 5(A), 1655–1687.
https://doi.org/10.3150/12-BEJ425 - Bücher, A. und Ruppert, M. (2013):
Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique.
Journal of Multivariate Analysis, Vol. 116, 208–229.
https://doi.org/10.1016/j.jmva.2012.12.002 - Bücher, A. und Volgushev, S. (2013):
Empirical and sequential empirical copula processes under serial dependence.
Journal of Multivariate Analysis, Vol. 119, 61–70.
https://doi.org/10.1016/j.jmva.2013.04.003 - Berghaus, B., Bücher, A. und Dette H. (2013):
Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence.
Journal de la Societé Francaise de Statistique, Vol. 154, 116– 137.
http://www.numdam.org/item/JSFS_2013__154_1_116_0/ - Bücher, A., Dette, H. und Volgushev, S. (2012):
A test for Archimedeanity in bivariate copula models.
Journal of Multivariate Analysis, Vol. 110, 121–132.
https://doi.org/10.1016/j.jmva.2012.01.026 - Bücher, A., Dette, H. und Volgushev, S. (2011):
New estimators of the Pickands dependence function and a test for extreme-value dependence.
Annals of Statistics, Vol. 39, No. 4, 1963–2006.
https://doi.org/10.1214/11-AOS890 - Bücher, A., Dette, H. und Wieczorek, G. (2011):
Testing model assumptions in functional regression models.
Journal of Multivariate Analysis, Vol. 102, 1472– 1488.
https://doi.org/10.1016/j.jmva.2011.05.014 - Bücher, A. und Dette, H. (2010):
A note on bootstrap approximations for the empirical copula process.
Statistics and Probability Letters, Vol. 80, 1925–1932.
https://doi.org/10.1016/j.spl.2010.08.021 - Bücher, A. und Dette, H. (2010):
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances.
Journal of Multivariate Analysis, Vol. 101, 749–763.
https://doi.org/10.1016/j.jmva.2009.09.014
Referierte Buchkapitel:
- Bücher, A., El Ghouch, A. und Van Keilegom, I. (2021):
Single-index quantile regression models for censored data. In: Daouia A., Ruiz-Gazen A. (eds)Advances in Contemporary Statistics and Econometrics.
Springer, Cham, 177–196.
https://link.springer.com/chapter/10.1007/978-3-030-73249-3_10 - Bücher, A. und Kojadinovic, I. (2015):
An overview of nonparametric tests of extremevalue dependence. In: Dey, D. and Yan, J: Extreme Value Modeling and Risk Analysis: Methods and Applications.
Crc Press Inc, 2015, 377–398.
https://arxiv.org/abs/1410.6784