Articles · Books

Articles:

Nonparametric Estimation of Copula-based Measures of Multivariate Association from Contingency Tables (with T. Blumentritt), to appear in: Journal of Statistical Computation and Simulation, 2012.

Measuring Large Comovements in Financial Markets (with J. Penzer and R. Schmidt), Quantitative Finance, Vol. 12, No. 7, 1037-1049, 2012.

Mutual Information as a measure of mulitvariate association: Analytical properties and statistical inference (with T. Blumentritt), Journal of Statistical Computation and Simulation, Vol. 82, No. 9, 1257-1274, 2012.

Kendall's W reconsidered (with O. Grothe), Communications in Statistics - Simulation and Computation, Vol. 40, No. 2, 285-305, 2011.

On testing Equality of Pairwise Rank Correlations in a Multivariate Random Vector (with S. Gaisser), Journal of Multivariate Analysis, Vol. 101, No. 10, 2598-2615, 2010

A Multivariate Version of Hoeffding’s Phi-Square (with S. Gaisser and M. Ruppert), Journal of Multivariate Analysis, Vol. 101, No. 10, 2571-2586, 2010

Statistical Inference for Sharpe's Ratio (with R. Schmidt),
In: A. Berkelaar, J. Coche, K. Nyholm (eds.) Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds , Palgrave Macmillan, 2010.

Copula-Based Measures of Multivariate Association (with T. Blumentritt, S. Gaißer, M. Ruppert, R. Schmidt),
In: F. Durante, W. Härdle, P. Jaworski, T. Rychlik (eds.) Workshop on Copula Theory and its Applications. Springer, 2010.

Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail-dependence (with R. Schmidt), Metrika, Vol. 66, 323-354, 2007

Multivariate conditional versions of Spearman's rho and related measures of tail dependence (with R. Schmidt), Journal of Multivariate Analysis, Vol. 98, No. 6, 1123-1140, 2007.

A goodness of fit test for copulas based on Rosenblatt's transformation (with J. Dobric), Computational Statistics & Data Analysis, 51, 4633-4642, 2007.

Multivariate Extensions of Spearman's Rho and Related Statistics (with R. Schmidt), Statistics and Probability Letters, Vol. 77, No. 4, 2007.

Bootstrapping Spearman's multivariate rho (with R. Schmidt), COMPSTAT, Proceedings in Computational Statistics, Edited by Alfredo Rizzi and Maurizio Vichi, 2006.

Nonparametric estimation of the coefficient of overlapping-theory and empirical application (with A. Schmidt), Computational Statistics & Data Analysis, 50, 1583-1596, 2006.

A note on third degree stochastic dominance , OR Spectrum, Volume 27, 2005.

Testing Goodness of Fit for Parametric Families of Copulas -- Application to Financial Data
(with J. Dobric ) , Communications in Statistics: Simulation and Computation, Volume 34, Issue 4, 2005.

Nonparametric Estimation of the Lower Tail Dependence l in Bivariate Copulas(with J. Dobric ) Journal of Applied Statistcs, Volume 32, Number 4, 2005.

The effect of conditional heteroskedasticity on common statistical procedures for means and variances (with H. Kläver), Allgemeines Statistisches Archiv 88, 397-407, 2004.

Power of tests for stochastic order when observations are paired (with S. Kraft), Allgemeines Statistisches Archiv 87, 239-255, 2003.

Simple Tests for Peakedness, Fat Tails and Leptokurtosis based on Quantiles (with M. Trede), Computational Statistics & Data Analysis 43, 1-12, 2003 .

Nonparametric Tests based on Area-Statistics (with S. Kraft), Communication in Statistics - Simulation and Computation 31(4), 619-640, 2002.

Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s (with M. Trede), Jahrbücher für Nationalökonomie und Statistik, 220: 315-326, 2000.

Nonparametric Tests based on Area-Statistics (with S. Kraft), Bulletin of the International Statistical Institute, 52nd session, 173-174, 1999.


Distribution of German Stock Returns Normal Mixtures Revisited (with A. Stich), in: Mathematische Methoden der Wirtschaftswissenschaften, Festschrift für Otto Opitz, hrsg. von Wolfgang Gaul, Martin Schader, Physica: Heidelberg, 272-281, 1999.

Nonparametric Tests for Second Order Stochastic Dominance from Paired Observations: Theory and Empirical Application (with M. Trede), in: Wirtschafts- und Sozialstatistik: Theorie und Praxis, Festschrift für Walter Krug, hrsg. von Peter von der Lippe, Norbert Rehm, Heinrich Strecker, Rolf Wiegert, S.31-46, 1997.

A Kolmogorov-Type Test for Second Order Stochastic Dominance (with M. Trede), Statistics and Probability Letters, 37: 183-193, 1998.

Nonparametric Inference for Second Order Stochastic Dominance (with M. Trede), Discussion Papers in Statistics and Econometrics, February 1996. (2.43 MB)

Testing for First Order Stochastic Dominance in Either Direction (with M. Trede), Computational Statistics, 11: 165-173, 1996.

Testing for First Order Stochastic Dominance: A New Distribution Free Test (with M. Trede), The Statistician, 45: 371-380, 1996.

Power of Tests for Uniformity when Limits are Unknown (with M. Schader), Journal of Applied Statistics, 23: 193-205, 1997.

A non standard chi-square-test of fit for testing uniformity with unknown limits, Statistical Papers 37: 365-373, 1996.

Modifications of the Kolmogorov, Cramer-von Mises, and Watson Tests for Testing Uniformity with Unknown Limits (with W. Krumbholz und M. Schader), Communications in Statistics, Simulation and Computation 25: 1093-1104, 1996.

An L1-Variant of the Cramer-von Mises Test (with M. Trede), Statistics and Probability Letters, 26: 91-96, 1996.

A Distribution Free Test for the Two Sample Problem for General Alternatives (with M. Trede), Computational Statistics and Data Analysis, 20: 409-419, 1995.

Zur Messung der interdistributionellen Einkommensungleichheit - inferentielle Verfahren, Allgemeines Statistisches Archiv 79, 278-288, 1995.

Zur Messung der interdistributionellen Einkommensungleichheit - theoretische Begründung und deskriptive Verfahren, Allgemeines Statistisches Archiv 78, 410-420, 1994.

Bounding Distribution Functions and Quantiles from Grouped Data when Group Means are Known, Metron LII, 1994.

A General Class of Poverty Measures, Statistische Hefte 34, 1994.

Fitting Parametric Lorenz Curves to Grouped Income Distributions - A Critical Note (with M. Schader), Empirical Economics 19, 1994.

Decomposition of Inequality Measures: Theory and Empirical Application, in: Models and Measurement of Inequality and Welfare (Eichhorn, W. ed.), Springer Verlag, 1994.

Measuring Interdistributional Inequality, Bulletin of the International Statistical Institute, 49th Session, 1993.

Einkommensdisparität der privaten Haushalte in der Bundesrepublik Deutschland 1950-1988: Einige Ergebnisse der Auswertung von Daten des DIW, Vierteljahreshefte zur Wirtschaftsforschung, Heft 3/4, 1992.

Estimating the Asymptotic Covariance Matrix for Maximum Likelihood Estimators from Grouped Data when using the EM Algorithm (with M. Schader), Computational Statistics Quarterly 2, 1991.

Zur Sensitivität von Disparitätsmaßen, Allgemeines Statistisches Archiv 75, 1991

Charting Small Sample Characteristics of Asymptotic Confidence Intervals for the Binomial Paramater p (with M. Schader), Statistische Hefte (Statistical Papers) 31, 1990.

Two Rules of Thumb for the Approximation of the Binomial by the Normal Distribution (with M. Schader), The American Statistician, vol. 43, No. 1, 1989.

Small Sample Properties of the Maximum Likelihood Estimators of the Parameters µ and s from a Grouped Sample of a Normal Population (with M. Schader), Communications in Statistics, Computation and Simulation, 17(1), 1988.

Zur Messung der relativen Konzentration aus gruppierten Daten (with M. Schader), Jahrbücher für Nationalökonomie und Statistik, vol. 204/5, 1988.

Maximum-Likelihood-Schätzung aus gruppierten Daten - eine Übersicht (with M. Schader), OR-Spektrum, vol. 10, 1988.

On the X²-test for a Negative Binomial Distribution (with M. Schader), O. Opitz, B. Rauhut (Hrsg.) Ökonomie und Gesellschaft, Springer Verlag, 1987.

Optimal Grouping of Data from Some Skew Distributions (with M. Schader), Computational Statistics Quarterly 3, 1986.

How Robust is One Way ANOVA with respect to within Group Correlation? (with M. Schader), COMPSTAT 1986, Prodeecing in Computational Statistics, Physica-Verlag, Wien, 1986.

Distribution Function and Percentage Points for the Central and Noncentral F-Distribution (with M. Schader), Statistische Hefte, vol. 27, Heft 1, 1986. Heidelberg.

Properties of Ordinary Least Squares Estimates, t- and F- Tests in a Generalized Linear Model with Symmetrically Dependent Error Terms, Methods of Operations Research, vol. 55, 1985.


Computation of M-L-Estimates for the Parameters of a Negative Binomial Distribution from Grouped Data. A Comparison of the Scoring, Newton- Raphson and E-M Algorithm (with M. Schader), Applied Stochastic Models and Data Analysis, vol. 1, 1985.

Signifikanzniveau und Gütefunktionen von Parametertests für µ and s² bei identisch normalverteilten, aber symmetrisch abhängigen Beobachtungen (with M. Schader), Allgemeines Statistisches Archiv, vol. 69, 1985.

Rejection Probabilities in Small Samples when Testing the Hypothesis "X is Normally Distributed" with a ?²-Test of Fit using various Estimation Methods for µ and s (with M. Schader), Methods of Operations Research, vol. 55, 1985.

Distribution Functions and Percentage Points for Central and Noncentral ?², t- and F-Distributions. A Collection of Computer Programms in Fortran (with M. Schader), Discussion Papers in Statistics and Quantative Economics Nr. 18, Hochschule der Bundeswehr Hamburg, September 1984.

Computation of Maximum Likelihood Estimates for µ and s from a Grouped Sample of a Normal Population. A Comparison of Algorithms (with M. Schader), Statistische Hefte, vol. 25, 1984.

Maximum Likelihood Estimation of µ and s from a Grouped Sample of a Normal Population (with M. Schader), Discussion Papers in Statistics and Quantitative Economics Nr. 15, Hochschule der Bundeswehr Hamburg, Februar 1983.

Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms, Discussion Papers in Statistics and Quantitative Economics Nr.12, Hochschule der Bundeswehr Hamburg, März 1982.

Kleinste-Quadrate-Schätzer in nichtlinearen Regressionsmodellen (überarbeitete und um ein Kapitel über Prognose erweiterte Habilitationsschrift), Vandenhoek & Ruprecht, Göttingen, 1983.

A Note on the Strong Consistency of Least Squares Estimators in Linear Regression Models, Methods of Operations Research, vol. 41, 1981.

A Note on the Strong Consistency of Least Squares Estimators in Linear Regression Models, unveröffentlichtes Manuskript, August 1979.

Skalierungsverfahren, Handwörterbuch der Wirtschaftswissenschaften (HdWW), Gustav Fischer, J.C.B. Mohr (Paul Siebeck), Vandenhoeck & Ruprecht, Göttingen, 1981.

Spezifikations- und Schätzprobleme bei Dynamischen Systemen (with H. Hauptmann), Anwendungen der Systemtheorie und Kybernetik in Wirtschaft und Verwaltung, Wirtschaftskybernetik und Systemanalyse, vol. 6, Duncker & Humboldt, 1980.
Über ein Problem der mehrdimensionalen Skalierung, Statistische Hefte, vol. 21, Heft 2, 1980.

Asymptotische Eigenschaften von "Minimum-Absolute-Deviation- Schätzern" in nichtlinearen Regressionsmodellen, Methods of Operations Research, vol. 37, 1980.

Eine Verallgemeinerung des "Steiner-Weber-Problems" der betriebswirtschaftlichen Standorttheorie, Discussion Papers in Operations Research Nr.11, Hochschule der Bundeswehr Hamburg, Winter 1978/79.

Strong Consistency of Non-linear Least Squares Estimators in the Presence of Stochastic Regressors, Statistische Hefte, vol. 19, 1978.

Zur ökonometrischen Behandlung dynamischer Modelle mit stetigem Zeitparameter , Dissertation, Vandenhoek & Ruprecht, Göttingen, 1977.

Econometric Estimation for Models of Cyclical Growth (with H. Hauptmann), COMPSTAT 1976, Proceedings in Computational Statistics, Physica-Verlag, Wien, 1976
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Estimation of Parameters in Stochastic Differential Equations (with H. Hauptmann), COMPSTAT 1976, Proceedings in Computational Statistics, Physica-Verlag, Wien, 1976.

Books:

1. Beschreibende Statistik und Wirtschaftsstatistik 252 p., Berlin (Springer), 4th edition 2009 (with K. Mosler)

2. Wahrscheinlichkeitsrechnung und schließende Statistik 359 p., Berlin (Springer), 4th edition 2010 (with K. Mosler)

3. Finanzmarktstatistik 267 p., Berlin (Springer), 2005 (with M. Trede)