Research

Count time series
Diagnostic test procedures, modeling, parameter estimation and forecasting
(further information »)

Categorical time series
Analytic tools, visual representation, modeling, estimation and testing
(further information »)

Statistical process control
ARL computation, discrete measurements, control charts and estimation uncertainty
(further information »)

Data mining
Rule-based procedures, sequential data, stochastic modeling and market-basket analysis
(further information »)

Portfolio optimization
Portfolio optimization by taking account of estimation risks as well as linear and nonlinear constraints in large asset universes
(further information »)

Financial mathematics
Pricing and valuation in efficient markets, arbitrage pricing theory, and the closed-end fund puzzle
(further information »)

Copulas and extreme value theory
Complex dependence structures, elliptical distributions with heavy tails, and random matrix theory
(further information »)

Robust covariance matrices
M-estimation of covariance matrices with high-dimensional and missing data as well as serial dependence
(further information »)

Functional data analysis
Methodology for functional data analysis, in particular based on statistical and machine learning techniques
(further information »)