DYNSTOCH Network

Preprints:

• K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2000), Information processes in filtered experiments, Part I: general concepts, University of Helsinki, Department of Mathematics preprint 264 and Part II: explicit representations and examples, University of Helsinki, Department of Mathematics preprint 265 (2000) (both parts in one postscript file).
  
  
• D.H. Baillie and C.A.J. Klaassen (2000), Credit-based accept-zero sampling schemes for the control of outgoing quality, KdV Math. Preprint Series 00-04.
  
  
• A. Klein, P.J.C. Spreij (2000), On the application of Vandermonde matrices to time series analysis, Universiteit van Amsterdam, Math preprints 00-18.
  
  
• P.J.C. Spreij (2001), On hidden Markov chains and finite stochastic systems, Universiteit van Amsterdam, Math preprint 01-6.
  
  
• J.H. van Zanten (2000), Uniform convergence of curve estimators for ergodic diffusion processes.
  
  
• J.H. van Zanten (2001), On uniform laws of large numbers for ergodic diffusions and consistency of estimators, Department of Stochastics, Vrije Universiteit Amsterdam, report 2001-18.
  
  
• F.C. Drost and B.J.M. Werker (2001), Semiparametric Duration Models: the ACD model, Center Discussion Papers 2001-11, Tilburg University.
  
  
• A.J. van Es, P.J.C. Spreij, J.H. van Zanten (2001) Nonparametric Volatility Density Estimation , Mathematics ArXiv PR/0107135.
  
  
• Jose A. Ferreira (2001), A note on inverses of non-decreasing Levy processes, CWI report PNA-R0110 (compressed postscript).
  
  
• T. Blomster, K. Dzhaparidze (2001), On Cobb-Douglas dynamical exchange economies, University of Helsinki, Department of Mathematics, report 303.
  
  
• A.J. van Es and H.-W. Uh (2001), Asymptotic normality of kernel type deconvolution estimators, Math. Preprint Series 01-26.
  
  
• Jose A. Ferreira, Kacha Dzhaparidze (2001), A frequency domain approach to some results on fractional Brownian motion, CWI report PNA-R0123.
  
  
• J.H. van Zanten (2002), On Empirical Processes for Ergodic Diffusions, Department of Stochastics, Vrije Universiteit Amsterdam, report 2002-2.
  
  
• K. Dzhaparidze and J.H. van Zanten (2002), A series representation for fractional Brownian motion, Department of Stochastics, Vrije Universiteit Amsterdam, report 2002-5.
  
  
• A.J. van Es, P.J.C. Spreij, J.H. van Zanten (2002) Nonparametric volatility density estimation for discrete time models, Mathematics ArXiv PR/0206142.
  
  
• B. van Es and S. Kolios (2002), Estimating a structural distribution function by grouping, Mathematics ArXiv PR/0203080.
  
  
• Bert van Es, Chris Klaassen and Philiop Mokveld (2003), Efficient estimation in the accelerated failure time model under cross sectional sampling (Math. Preprint Series 03-06).
  
  
• Bert van Es and Hae Won Uh, Asymptotic normality of kernel type deconvolution estimators: Crossing the Cauchy boundary (Math. Preprint Series 02-33).
  
  
• Bert van Es (2003), Combining kernel estimators in the uniform deconvolution problem (Math. Preprint Series 02-28).
  
  
• S. Caires and J.A. Ferreira (2003), On the Nonparametric Prediction of Conditionally Stationary Sequences, CWI report PNA-R0304.
  
  
• Lorenzo Finesso and Peter Spreij (2004), Approximate Nonnegative Matrix Factorization via Alternating Minimization, Mathematics ArXiv OC/0402229.
  
  
• Aad van der Vaart and Harry van Zanten (2004), Donsker theorems for diffusions: necessary and sufficient conditions, to appear in the Annals of Probability.
  
  
• Kacha Dzhaparidze and Harry van Zanten (2003) Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion, to appear in the Annals of Probability.
  
  
• Kacha Dzhaparidze and Harry van Zanten (2003), Optimality of an explicit series expansion of the fractional Brownian sheet.
  
  
• Harry van Zanten (2003), On the rate of convergence of the MLE in Brownian semimartingale models
  
  
• Harry van Zanten and Pawel Zareba (2004), A note on wavelet density deconvolution for weakly dependent data.
  
  
• Bert van Es, Shota Gugushvili and Peter Spreij (2004), A kernel type nonparametric density estimator for decompounding

Published research:

• J.H. van Zanten (2000), A multivariate central limit theorem for continuous local martingales, Statistics and Probability Letters 50(3), 229-235.
  
  
• K. Dzhaparidze, P.J.C. Spreij and J.H. van Zanten (2000), Some aspects of modeling and statistical inference for financial models , Statistica Neerlandica 54(3), 265-292.
  
  
• J.H. van Zanten (2000), On the uniform convergence of the empirical density of an ergodic diffusion, Statistical Inference for Stochastic Processes 3(3), 251-262.
  
  
• B. van Es, C.A.J. Klaassen and K. Oudshoorn (2000), Survival analysis under cross sectional sampling: length bias and multiplicative censoring, J. Statist. Plann. Inference 91, 295-312.
  
  
• C.A.J. Klaassen and R.M. Mnatsakanov (2000), Consistent estimation of the structural distribution function, Scandinavian J. Statist. 27, 733-746.
  
  
• C.A.J. Klaassen (2001), Credit in acceptance sampling on attributes, Technometrics 43, 212-222.
  
  
• K. Dzhaparidze and J.H. van Zanten (2001), On Bernstein-type inequalities for martingales Stochastic Processes and their Applications 93(1), 109-117.
  
  
• P.J.C. Spreij (2001), On the Markov property of a finite hidden Markov chain, Statistics and Probability Letters, Vol 52/3,   279-288.
  
  
• B. Van Es (2001), On the expansion of the mean integrated squared error of a kernel density estimator, Statistics & Probability Letters 52/4, 441-450.
  
  
• F.C. Drost, F.M. de Jong and B.J.M. Werker (2001), A jump-diffusion model for exchange rates in a target zone, Statistica Neerlandica Vol 55, 270-300.
  
  
• E.V. Boguslavskaya (2001), On optimization of long-term irreversible investments in a diffusion model, Theory of Probability and Applications, Volume 45 (4), 647-658.
  
  
• K. Dzhaparidze (2001), On Interpolation Series Related to the Abel-Goncharov Problem, with Applications to Arithmetic-Geometric Mean Relationship and Hellinger Integrals, Indag. Mathem., N.S., 12(1), 55-72.
  
  
• J.H. van Zanten (2001), A note on consistent estimation of multivariate parameters in ergodic diffusion models, Scandinavian Journal of Statistics 28(4), 617-623.
  
  
• A. Lucas, P. Klaassen, P.J.C. Spreij and S. Straetmans (2001), An analytic approach to credit risk of large corporate bond and loan portfolios, J. of Banking and Finance, vol. 25 issue 9, 1635-1664.
  
  
• Jongbloed, G. (2001). Sieved maximum likelihood estimation in Wicksell's problem and related deconvolution problems. Scandinavian Journal of Statistics, vol. 28, 161-183.
  
  
• Jongbloed, G. and Koole, G.M. (2001), Managing uncertainty in call centers using Poisson mixtures. Applied Stochastic Models in Business and Industry, vol 17, 307-318.
  
  
• Groeneboom, P., Jongbloed, G. and Wellner, J.A. (2001), A canonical process for estimation of convex functions: the "invelope" of integrated Brownian motion + t4, Annals of Statistics, vol. 29, 1620-1652.
  
  
• Groeneboom, P., Jongbloed, G. and Wellner, J.A. (2001), Estimation of a convex function: characterizations and asymptotic theory, Annals of Statistics, vol. 29, 1653-1698
  
  
• J.H. van Zanten (2001), Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes, Journal of Nonparametric Statistics 13(6), 833-850.
  
  
• K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2002), Information concepts for filtered experiments, Probability Theory and Mathematical Statistics no. 67, 38-56.
  
  
• K. Dzhaparidze and Ferreira, J.A. (2002), A frequency domain approach to some results on fractional Brownian motion, to appear in Statistics and Probability Letters.
  
  
• A. Lucas, P. Klaassen, P.J.C. Spreij, S. Straetmans (2002), Extreme Tails for Linear Portfolio Credit Risk Models, Proceedings of the Third Joint Central Bank Research Conference, Basle, 271-283.
  
  
• J.H. van Zanten (2002), Continuous Ocone Martingales as Weak Limits of Rescaled Martingales, Electronic Communications in Probability 7, 215-222.
  
  
• A.J. van Es, P.J.C. Spreij, J.H. van Zanten (2003), Nonparametric Volatility Density Estimation, Bernoulli 9 (3), 451-465.
  
  
• K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2003), Information processes for semimartingale experiments, Annals of Probability 31, 216-243.
  
  
• Peter Spreij (2003), On hidden Markov chains and finite stochastic systems, Statistics and Probability Letters 62, 189-201.
  
  
• Van Es, B., C.A.J. Klaassen and R.M. Mnatsakanov (2003), Estimating the structural distribution function of cell probabilities, The Austrian Journal of Statistics 32(1&2), 85-98.
  
  
• J.H. van Zanten (2003), On uniform laws of large numbers for ergodic diffusions and consistency of estimator, Statistical Inference for Stochastic Processes 6(2), 199-213.
  
  
• F.C. Drost and B.J.M. Werker (2003), Semiparametric Duration Models, to appear in Journal of Business and Economic Statistics.
  
  
• Kacha Dzhaparidze and Harry van Zanten (2004), A series expansion of fractional Brownian motion Probability Theory and Related Fields 130(1), 39-55.
  
  
• Harry van Zanten (2003), On empirical processes for ergodic diffusions and rates of convergence of M-estimators. Scandinavian Journal of Statistics 30(3), 443-458.
  
  
• A. Lucas, P. Klaassen, P.J.C. Spreij and S. Straetmans (2003), Tail behaviour of credit loss distributions for general latent factor models, Applied Mathematical Finance 10 (4), 337-357.
  
  
• A. Klein and P.J.C. Spreij (2003), On the application of Vandermonde matrices to time series analysis, SIAM Journal on Matrix Analysis, 25 (1), 213-223.
  
  
• Lorenzo Finesso and Peter Spreij (2004), Approximate Nonnegative Matrix Factorization via Alternating Minimization, Proceedings of the 16th International Symposium on Mathematical Theory of Networks and Systems, Leuven, July 5-9, 2004
  
  
• G. Jongbloed, F.H. van der Meulen and A.W. Van der Vaart (2004), Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes, to appear in Bernoulli.
  
  
• A.J. van Es and H.-W. Uh (2004), Asymptotic normality of kernel type deconvolution estimators: Crossing the Cauchy boundary, Nonparametric Statistics 16, 261-277.
  
  
• C.A.J. Klaassen and J.Th. Runnenburg (2003), Discrete Spacings, Statistica Neerlandica 57, 470-483.
  
  
• A.J. van Es, P.J.C. Spreij, J.H. van Zanten (2004) Nonparametric volatility density estimation for discrete time models, To appear in Journal of Nonparametric Statistics.
  
  
• Feike C. Drost, Bas J. M. Werker (2004), Semiparametric Duration Models, Journal of Business & Economic Statistics 22 (1), 40-50.