Markus Reiß: Publications & Preprints
Publications
You may download preprint versions (mostly arXive), for the final versions consult the original sources.
- Lehrbuch: Statistik und maschinelles Lernen - Eine mathematische Einführung in klassische und moderne Methoden, Springer, 2021. (mit M. Trabs, M. Jirak, K. Krenz)
- Inference on the maximal rank of time-varying covariance matrices using
high-frequency data
Annals of Statistics 51(2), 791-815, 2023. (with L. Winkelmann) - Estimation for the reaction term in semi-linear SPDEs under small diffusivity
Bernoulli 29(4), 3033-3058, 2023. (with S. Gaudlitz) - Foundations of Modern Statistics, Festschrift in Honour of Vladimir Spokoiny
Springer Proceedings in Mathematics and Statistics 425, Springer, 2023. (edited with D. Belomestny, C. Butucea, E. Mammen, E. Moulines, V. Ulyanov) - Parameter estimation in an SPDE-model for cell repolarisation
SIAM/ASA Journal of Uncertainty Quantification 10(1), 179-199, 2022. (with R. Altmeyer, T. Bretschneider, J. Janak) - Nonparametric estimation for linear SPDEs from local measurements
Annals of Applied Probability 31(1), 1-38, 2021. (with R. Altmeyer) - Posterior contraction rates for support boundary recovery
Stochastic Processes and Their Applications 130(11), 6638-6656, 2020. (with J. Schmidt-Hieber) - Nonparametric Bayesian analysis of the compound Poisson prior for support boundary recovery
Annals of Statistics 48(3), 1432-1451, 2020. (with J. Schmidt-Hieber) - Non-asymptotic upper bounds for the reconstruction error of PCA
Annals of Statistics 48(2), 1098-1123, 2020. (with M. Wahl) - Functional estimation and hypothesis testing in nonparametric boundary models
Bernoulli 25(4a), 2597-2619, 2019. (with M. Wahl) - Early stopping for statistical inverse problems via truncated SVD estimation
Electronic Journal of Statistics 12(2), 3204-3231, 2018. (with G. Blanchard, M. Hoffmann) - Wasserstein and total variation distance between marginals of Lévy processes
Electronic Journal of Statistics 12(2), 2482-2514, 2018. (with E. Mariucci) - Optimal adaptation for early stopping in statistical inverse problems
SIAM/ASA Journal of Uncertainty Quantification 6(3), 1043–1075, 2018. (with G. Blanchard, M. Hoffmann) - Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Journal of Business and Economic Statistics 37(3), 419-435, 2019. (with M. Bibinger, N. Hautsch, P. Malec) - Efficient estimation of functionals in nonparametric boundary models
Bernoulli 23(2), 1022-1055, 2017. (with L. Selk) - Unbiased estimation of the volume of a convex body
Stochastic Processes and their Applications 126, 3716-3732, 2016. (with N. Baldin) - Exact and asymptotic tests on a factor model in low and large dimensions
Journal of Multivariate Analysis 150, 125-151, 2016. (with T. Bodnar) - Volatility estimation under one-sided errors with applications to limit order books
Annals of Applied Probability 26(5), 2754-2790, 2016. (with M. Bibinger, M. Jirak) - High-frequency Donsker theorems for Lévy measures
Probability Theory and Related Fields 164(1), 61-108, 2016. (with R. Nickl, J. Söhl, M. Trabs) - Adaptive quantile estimation in deconvolution with unknown error distribution
Bernoulli 22(1), 143-192, 2016. (with I. Dattner, M. Trabs) - Nonparametric test for a constant beta between Ito semi-martingales based on high-frequency data
Stochastic Processes and their Applications 125(8), 2955-2988, 2015. (with V. Todorov, G. Tauchen) - Lévy Matters IV: Estimation for Discretely Observed Lévy Processes
Lecture Notes in Mathematics 2128, Springer, 2015. (with D. Belomestny, F. Comte, V. Genon-Catalot, H. Masuda) - Adaptive estimation in nonparametric regression with one-sided errors
Annals of Statistics 42(5), 1970-2002, 2014. (with M. Jirak, A. Meister) - Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
Annals of Statistics 42(4), 1312-1346, 2014. (with M. Bibinger, N. Hautsch, P. Malec) - Sparse model selection under heterogeneous noise:
Exact penalisation and data-driven thresholding
Electronic Journal of Statistics 8, 432-455, 2014. (with L. Cavalier) - A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
Annals of Statistics 42(3), 1131-1144, 2014. (with J. Jacod) - Spectral covolatility estimation from noisy observations using local weights
Scandinavian Journal of Statistics 41(1), 23-50, 2014. (with M. Bibinger) - Testing the characteristics of a Lévy process
Stochastic Processes and their Applications 123(7), Special Issue International Year of Statistics, 2808-2828, 2013. - Asymptotic equivalence for nonparametric regression with non-regular errors
Probability Theory and Related Fields 155(1-2), 201-229, 2013. (with A. Meister) - A Donsker Theorem for Lévy Measures
Journal of Functional Analysis 263, 3306-3332, 2012. (with R. Nickl) - Simplifying numerical analyses of Hamilton–Jacobi–Bellman equations
Journal of Economics 107(2), 101-128, 2012. (with D. Bethmann) - Preserving Time Structures While Denoising a Dynamical Image
Mathematical Methods for Signal and Image Analysis and Representation (L. Florack et al. ed.), Computational Imaging and Vision 41, Springer, 207-220, 2012. (with Y. Rozenholc) - Asymptotic equivalence for inference on the volatility from noisy observations
Annals of Statistics 39(2), 772-802, 2011. - On rate optimality for ill-posed inverse problems in econometrics
Journal of Econometric Theory 27, 497-521, 2011. (with X. Chen) - Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Statistica Neerlandica 64(3), Special Issue: Statistical Inference for Lévy Processes with Applications to Finance, 314-328, 2010. (with J. Kappus) - Nonparametric estimation for Lévy processes from low-frequency observations
Bernoulli 15 (1), 223-248, 2009. (with M. H. Neumann) - Regularisation independent of the noise level: an analysis of quasi-optimality
Inverse Problems 24 (5), 1-16, 2008. (with F. Bauer) - Asymptotic equivalence for nonparametric regression with multivariate and random design
Annals of Statistics 36 (4), 1957-1982, 2008. - Nonlinear estimation for linear inverse problems with error in the operator
Annals of Statistics 36(1), 310-336, 2008. (with M. Hoffmann) - On Émery's inequality and a variation-of-constants formula
Stochastic Analysis and Applications 25(2), 353-379, 2007. (with M. Riedle, O. van Gaans) - Discretisation of stochastic control problems for continuous time dynamics with delay
Journal of Computational and Applied Mathematics 205(2), Special Issue on Evolutionary Problems, 969-981, 2007. (with M. Fischer) - Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
Probability Theory and Related Fields 137(1-2), 25-47, 2007. (with A. Dalalyan) - Spectral calibration for exponential Lévy models
Finance and Stochastics 10(4), 449-474, 2006. (with D. Belomestny) Implementation - Delay differential equations driven by Lévy processes: stationarity and Feller properties
Stochastic Processes and their Applications 116 (10), 1409-1432, 2006. (with M. Riedle, O. van Gaans) - Nonparametric volatility estimation on the real line from low-frequency data
in The Art of Semiparametrics (S. Sperlich, W. Härdle, G. Aydinli Ed.), Physica, Heidelberg, 32-48, 2006. - An optimal stopping problem in a diffusion-type model with delay
Statistics & Probability Letters 76(6), 601-608, 2006. (with P. Gapeev) - Asymptotic statistical equivalence for scalar ergodic diffusions
Probability Theory and Related Fields 134(2), 248-282, 2006. (with A. Dalalyan) - Adaptive estimation for affine stochastic delay differential equations
Bernoulli 11(1), 67-102, 2005. - Estimating the time delay in affine stochastic delay differential equations
International Journal of Wavelets, Multiresolution and Information Processing 2(4), Special Issue Wavelets & Statistics, 525-544, 2004. - Adaptive wavelet Galerkin methods for linear inverse problems
SIAM Journal of Numerical Analysis 42(4), 1479-1501, 2004. (with A. Cohen, M. Hoffmann) - Nonparametric estimation of scalar diffusions based on low-frequency data
Annals of Statistics 32(5), 2223-53, 2004. (with M. Hoffmann, E. Gobet) - Minimax rates for nonparametric drift estimation in affine stochastic delay equations
Statistical Inference for Stochastic Processes 5, 131-152, 2002. - Nonparametric Estimation for Stochastic Delay Differential Equations
Dissertation, Humboldt-Universität zu Berlin, 2002.
Preprint
- Change point estimation for a stochastic heat equation
(with C. Strauch, L. Trottner) - Parameter estimation for the stochastic heat equation with multiplicative noise from local measurement
(with J. Janák) - Estimation and calibration of Lévy-based models via Fourier methods
(with D. Belomestny) - Small Delta-optimal range-based estimation for diffusions
(with H. Henkel). - Growing time-homogeneous neighborhoods for denoising and clustering Dynamic Contrast Enhanced-CT sequences
(with Y. Rozenholc, , D. Balvay, C.A. Cuenod) - Pointwise adaptive estimation for robust and quantile regression
(with Y. Rozenholc, C.A. Cuenod)