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2011

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No. 106

Binder, H., Sauerbrei, W. and Royston, P.
Multivariable model-building with continuous covariates:
2. Comparison between splines and fractional polynomials
2011, pdf

No. 105

Binder, H., Sauerbrei, W. and Royston, P.
Multivariable model-building with continuous covariates:
1. Performance measures and simulation design
2011, pdf

 

2010

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No. 103

Gall, C., Caputo, A. and Schumacher, M.
Comparison of Marginal Structural Models to a missing data approach illustrated by data on breast cancer chemotherapies
2010, pdf

No. 102

Schoop, R., Beyersmann, J., Schumacher, M. and Binder, H.
Quantifying the Predictive Accuracy of Time to Event Models in the Presence of Competing Risks
2010, pdf

 

2009

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No. 101 Binder, H., Porzelius, C. and Schumacher, M.
Rank-based p-values for sparse high-dimensional risk prediction models fitted by componentwise boosting
2009, pdf

2007

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No. 100
Binder, H. and Schumacher, M.
Adapting prediction error estimates for biased complexity selection in high-dimensional bootstrap samples
2007, pdf
No. 99
Binder, H. and Sauerbrei, W.
Shape-preserving simplification of additive spline models by knot removal
2007, pdf
No. 98
Sauerbrei, W., Royston, P., and Binder, H.
Selection of important variables and determination of functional form for continuous predictors in multivariable model building
2007
No. 96
Kluge, W. and Papapantoleon, A.
On the valuation of compositions in Lévy term structure models
April 2007

2006

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No. 95
Eberlein, E. and Madan, D. B.
Sato Processes and the Valuation of Structured Products
2006
No. 94
Eberlein, E. and Kluge, W.
Calibration of Lévy term structure models
2006
in: Advances in Mathematical Finance, M. Fu et al. (eds.), Birkhäuser Verlag, 2007, 155-180
No. 93
Binder, H. and Tutz, G.
Fitting Generalized Additive Models: A Comparison of Methods
November 2006, pdf
No. 92
Eberlein, E., Papapantoleon, A., and Shiryaev, A. N.
On the duality principle in option pricing: semimartingale setting
July 2006

2005

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No. 90
Eberlein, E., Papapantoleon, A. and Kluge, W.
Symmetries in Lévy term structure models
2005
International Journal of Theoretical and Applied Finance 9, 2006, 967-986

2004

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No. 89
Eberlein, E. and Kluge, W.
Valuation of floating range notes in Lévy term structure models
December 2004
Mathematical Finance 16, 2006, 237-254
No. 88
Eberlein, E. and Papapantoleon, A.
Symmetries and pricing of exotic options in Lévy models
December 2004,
in: Exotic Option Pricing and Advanced Lévy Models, A. Kyprianou et al. (eds.), Wiley, 2005, 99-128
No. 87
Eberlein, E. and Papapantoleon, A.
Equivalence of floating and fixed strike Asian and lookback options
December 2004
Stochastic Processes and Their Applications 115, 2005, 31-40
No. 86
Eberlein, E. and Kluge, W.
Exact pricing formulae for caps and swaptions in a Lévy term structure model
June 2004
Journal of Computational Finance 9, 2006, 99-125
No. 85
Özkan, F. and Schmidt, T.
Credit Risk with infinite dimensional Lévy Processes
February 2004

2003

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No. 84
Holländer, N. and Schumacher, M.
Estimating the functional form of a continuous covariate's effect on survival time
December 2003
No. 83
Eberlein, E., Jacod, J. and Raible, S.
Lévy term structure models: no-arbitrage and completeness
October 2003
Finance and Stochastics 9, 2005, 67-88

2002

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No. 82
Eberlein, E. and Özkan, F.
The Lévy Libor model
December 2002
Finance and Stochastics 9, 2005, 327-348
No. 81
Augustin, N. H., Kublin, E., Metzler, B., Meierjohann, E. and von Wühlisch, G.
Analysing the spread of beech canker
October 2002
No. 80
Eberlein, E. and v. Hammerstein, E.A.
Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes
September 2002
In Seminar on Stochastic Analysis, Random Fields and Applications IV, Progress in Probability 58, R.C. Dalang, M. Dozzi, F. Russo (Eds.), Birkhäuser Verlag, 2004, 221-264
No. 79
Eberlein, E. and Özkan, F.
Time consistency of Lévy models
September 2002
Quantitative Finance 3, 2003, 40-50
No. 78
Eberlein, E. and Özkan, F.
Generalizing CreditRisk+
June 2002
No. 77
Eberlein, E. and Stahl, G.
Electricity risk (Quantification of electricity risk)
June 2002
Published as: Both sides of the fence: a statistical and regualtory view of electricity risk. Energy & Power Risk Management 8 no. 6, 2003, 34-38 © 2003 Risk Waters Group. All rights reserved. Used by permission. First published in Energy & Power Risk Management, September 2003
No. 76
Augustin, N. H., Sauerbrei, W., Schumacher, M.
Incorporating model selection uncertainty into prognostic factor model predictions
February 2002 , gzipped PostScript

2001

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No. 75
Augustin, N. H., McNicol, J.
Auto-models for spatially correlated counts
October 2001, gzipped PostScript
No. 74
Wood, S.N. , Augustin, N.H.
Improving GAMs for environmental modelling using GCV and penalized regression splines
October 2001, gzipped PostScript
No. 73
Holländer, N., Sauerbrei, W., Schumacher, M.
Estimating the Effect of a Prognostic or Risk Factor after Selection of an "Optimal" Cutpoint
October 2001, pdf
No. 72
Eberlein, E., Kallsen, J., Kristen, J.
Risk management based on stochastic volatility
May 2001
Journal of Risk 5, no. 2, 2003, 19-44
No. 71
Eberlein, E., Özkan, F.
The defaultable Lévy term structure: ratings and restructuring
May 2001
Mathematical Finance 13, 2003, 277-300

2000

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No. 70
Vach, K., Sauerbrei, W. and Schumacher, M.
A comparative investigation of variable selection and shrinkage methods
October 2000
No. 69
Eberlein, E., Raible S.
Some analytic facts on the generalized hyperbolic model
July 2000
In European Congress of Mathematics, Vol. II (Progress in Mathematics Vol. 202), C. Casacuberta, et al. (Eds.), Birkhäuser Verlag, 2001, 367 - 378
No. 68
Augustin, N.H., Cummins, R. and French, D.
Modelling change of semi-natural vegetation in North-East Scotland
May 2000
No. 67
Schwarzer, G., Antes, G. and Schumacher, M.
Bias in statistical tests for the detection of bias in meta-analysis with binary outcomes
April 2000
Statistics in Medicine 21, 2002, 2465-77
No. 66
Lausen, B., Lerche, H.R. and Schumacher,M.
Maximal selected rank statistics for dose-response problems
January 2000

1999

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No. 65
K. Prause
How to use NIG laws to measure market risk
November 1999
No. 64
E. Eberlein
Application of generalized hyperbolic Lévy motions to finance
November 1999
In "Lévy Processes: Theory and Applications", O.E. Barndorff-Nielsen, T. Mikosch, and S. Resnick (Eds.), Birkhäuser, 2001, 319 - 337
No. 63
J. Timmer, S. Häußler, M. Lauk, C.-H. Lücking
Pathological tremors: Deterministic chaos or nonlinear stochastic oscillators?
August 1999
No. 62
M. Schumacher, N. Holländer, G. Schwarzer, W. Sauerbrei
Prognostic Factor Studies
May 1999
No. 61
Ulrich Halekoh, Werner Vach
A Bayesian Approach to Seriation Problems in Archeology
March 1999
No. 60
Erika Graf, Claudia Schmoor, Willi Sauerbrei, Martin Schumacher
Assessment and comparison of prognostic classification schemes for survival data
February 1999
No. 59
Guido Schwarzer, Martin Schumacher
Statistical analysis of failure times in total joint replacement
February 1999
Journal of Clinical Epidemiology 54, 2001, 997-1003
No. 58
Steffen Michalek, Holger Lerche, Mirko Wagner, Nenad Mitrovic, Michael Schiebe, Frank Lehmann-Horn, Jens Timmer
On identification of sodium channelgating schemes using moving-average filtered hidden Markov models
January 1999
No. 57
Claudia Schmoor, Willi Sauerbrei, Martin Schumacher
Sample size considerations for the evaluation of prognostic factors in survival analysis
January 1999

1998

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No. 56
Ernst Eberlein, Karsten Prause
The generalized hyperbolic model: financial derivatives and risk measures
November 1998
In Mathematical Finance - Bachelier Congress 2000, H. Geman, D. Madan, S. Pliska, T. Vorst (Eds.), Springer Verlag, 2002, 245 - 267
No. 55
Steffen Michalek, Mirko Wagner, Jens Timmer
A new approximate likelihood estimator for ARMA-filtered hidden Markov models
November 1998
No. 54
Timmer, J., Lauk, M., Vach, W., Lücking C.-H.
A test for a difference between spectral peak frequencies
September 1998
Computational Statistics & Data Analysis 30, 1999, 45-55
No. 53
Kopitzki, K., Warnke, P.C., Timmer, J.
Quantitative analysis by renormalized entropy of invasive electroencephalograph recordings in focal epilepsy
August 1998
Phys. Rev. E 58, 1998, 4859-4864
No. 52
Reisch S., Schneider M., Timmer J., Geiger K., Guttmann J.
Early detection of obstructive sleep apnea by forced oscillation technique: a model study
June 1998
Tech. Health Care 6, 1998, 245-257
No. 51
Ernst Eberlein
Moderne Finanzmathematik
April 1998
Mitteilungen der DMV 3/98, 10-20
No. 50
Norbert Holländer, Klaus Mross, Martin Schumacher
The influence of different weighting schemes on the calculation of pharmacokinetic parameters for paclitaxel (Taxol)
April 1998, gzipped PostScript

1997

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No. 49
Werner Vach, Andreas du Bois
Comparing patient groups with respect to emesis frequencies in multi-cycle chemotherapies
November 1997, gzipped PostScript
No. 48
Karsten Prause
Modelling financial data using generalized hyperbolic distributions
September 1997, PostScript
No. 47
S. Reisch, J. Timmer, K.-H. Rühle, K. Geiger, J. Guttmann
Variability among experts in detection and classifikation of obstructive sleep apnea on the basis of restricted polysomnographic information
June 1997
No. 46
Guido Schwarzer, Werner Vach, Martin Schumacher
On the misuses of artificial neural networks for prognostic and diagnostic classification in oncology
July 1997
Statistics in Medicine 19, 2000, 541-561
No. 45
Steffen Michalek, Jens Timmer
Estimating rate constants in Hidden Markov Models by the EM algorithm
June 1997
IEEE Trans. Signal Proc. 47, 1999, 226-228
No. 44
J. Timmer, T. Müller, W. Melzer
Numerical methods to determine calcium release flux from calcium transient in muscle cells
May 1997
Biophysical Journal 74, 1998, 1694-1706
No. 43
D. Ramachandran, L. Rüschendorf
An extension of the nonatomic assignment model
May 1997
No. 42
J. Timmer, M. Lauk, C.H. Lücking
Confidence regions for spectral peak frequencies
May 1997
Biometrical Journal 39, 1997, 849-861
No. 41
Jens Timmer
Modelling noisy time series: The physiological tremor
May 1997
Int. J. Bif. Chaos 8, 1998, 1505-1516
No. 40
J. Timmer, S. Klein
Testing the Markov condition in ion channel recording
May 1997
Phys. Rev. E 55, 1997, 3306-3310
No. 39
Ernst Eberlein, Ulrich Keller, Karsten Prause
New insights into smile, mispricing and value at risk: the hyperbolic model
April 1997
Journal of Business 71, 1998, 371-405
No. 38
Werner Vach
Shrinkage cross validation calibration, and the construction of prognostic indices
March 1997, gzipped PostScript
No. 37
Vach, W., du Bois, A., Schulz, K.
A stochastic model to analyse risk factors for emesis in multi-cycle chemotherapies
February 1997, gzipped PostScript
No. 36
Kohler, O., Lerche, H.R.
An empirical study concerning the detection of trend changes in some financial time series
January 1997
No. 35
Vach, W, Blettner, M.
Missing values in epidemiological studies
February 1997, gzipped PostScript

1996

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No. 34
Lauer, S., Timmer, J., van Calker, D., Maier, D., Honerkamp, J.
Optimal weighed Bayesian design applied to dose-response-curve analysis
December 1996
Communications in Statistics - Theory and Methods 26, 1997, 2879-290
No. 33
Eberlein, E., Raible, S.
Term Structure Models driven by General Lévy Processes
November 1996
Mathematical Finance 9, 1999, 31-53
No. 32
Klein, S., Timmer, J., Honerkamp, J.
Analysis of multichannel patch clamp recordings by Hidden Markov Models
October 1996
Biometrics 53, 1997, 870-884
No. 31
Timmer, J., Lauk, M., Pfleger, W., Deuschl, G.
Cross-spectral analysis of physiological tremor and muscle activity. Part I and Part II
October 1996
Biological Cybernics 78, 1998, 349-357 & 359-368
No. 30
Höpfner, R., Rüschendorf, L.
Comparison of estimators in stable models
July 1996
No. 29
Fischer, B., Biscaldi, M., Gezeck, S.
On the Development of Voluntary and Reflexive Components in Saccade Generation
June 1996
No. 28
Vach, W., Grömping, U., Schulz, K.
On the relation between parameter estimates from transition and marginal models for longitudinal data
No. 27
Schulgen, G., Schumacher, M.
Estimation of prolongation of hospital stay attributable to nosocomial infections: new approaches based on multistate models
June 1996
No. 26
Vach, W.
On the relation between the shrinkage effect and a shrinkage method
May 1996
No. 25
Schumacher, M., Vach, W., Blettner, M. (Eds.)
Statistical Methods for Incomplete Covariate Data in Clinical and Epidemiological Studies
May 1996
No. 24
König, M., Timmer, J.
Analyzing X-ray variability by Linear State Space Models
April 1996
Astronomy and Astrophysics Supplement Series 124, 1997, 589-596
No. 23
Schumacher, M., Holländer, N., Sauerbrei, W.
Resampling and cross-validation techniques: A tool to reduce bias caused by model building?
April 1996
No. 22
Beibel, M.
Sequential Change-Point Detection in Continuous Time when the Post-Change Drift is unknown
March 1996
No. 21
Cramer, M.
A Note concerning the Limit Distribution of the Quicksort Algorithm
February 1996
No. 20
Vach, W., Illi, S.
Biased Estimation of Adjusted Odds Ratios from Incomplete Covariate. Data due to Violation of the Missing at Random Assumption
February 1996, gzipped PostScript
No. 19
Gezeck, S., Fischer, B., Timmer, J.
Saccadic Reaction Times: A Statistical Analysis of Multimodal Distributions
January 1996
Vision Research 37, 1997, 2119-2131

1995

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No. 18
Eberlein, E., Jacod, J.
On the Range of Options Prices
October 1995
Finance and Stochastics 1, 1997, 131-140
No. 17
Vach, W., Schumacher, M.
Behandlung von fehlenden Werten in den Einflußgrößen von Regressionsmodellen – Ein Überblick
October 1995, gzipped PostScript
No. 16
Cramer, M., Rüschendorf, L.
Analysis of recursive algorithms by the contraction method
September 1995
Lect. Notes Stat. 114, Springer-Verlag, 1996, 18-33
No. 15
Timmer, J., Lauk, M., Deuschl, G.
Quantitative Analysis of Tremor Time Series
August 1995
Electroencephalography and Clinical Neurophysiology 101, 1996, 461-468
No. 14
Timmer, J.
The power of surrogate data testing with respect to non-stationarity
August 1995
Phys. Rev. E 58, 1998, 5153-5156
No. 13
Graf, E., Schumacher, M.
An Investigation on Measures of Explained Variation in Survival Analysis
July 1995
No. 12
Beibel, M., Lerche, H.R.
A New Look at Warrant Pricing and related Optimal Stopping Problems
June 1995
No. 11
Schmoor, C., Schumacher, M.
Misspecification of covariates in the proportional hazards model and its impact on the estimation of treatment effects
April 1995
No. 10
Kallsen, J., Taqqu, M. S.
Option Pricing in ARCH-type Models: with Detailed Proofs
March 1995, PostScript
No. 9
Krieger, S., Timmer, J., Lis, S., Olbrich, H. M.
Some Considerations on Estimating Event - Related Brain Signals
February 1995
Journal of Neural Transmission 99, 1995, 103-129
No. 8
Heitz, C.
Using Optimized Time-Frequency Representations for Acoustic Quality Control of Motors
January 1995, PostScript
Acta Acoustica 83, 1997, 1053-1064
No. 7
Lausen, B., Schumacher, M.
Evaluating the Effect of Optimized Cutoff Values in the Assessment of Prognostic Factors
Januar 1995

1994

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No. 6
Klein, S., Timmer, J.
Asymptotics of Hidden Markov Models
December 1994
No. 5
Rüschendorf, L.
Optimal Solutions of Multivariate Coupling Problems
December 1994/div>
Appl. Math. 23, 1995, 325-338
No. 4
Heitz, C.
Optimized Time-Frequency Representations for the Classification and Detection of Signals
December 1994, PostScript
Applied Signal Processing 3, 1995, 124-143
No. 3
Cramer, M., Rüschendorf, L.
Convergence of a Branching Type Recursion
December 1994
Ann. Inst. Henri Poincare, Probab. Stat. 32, 1996, 725-741
No. 2
Schumacher, M., Roßner, R., Vach, W.
Neural Networks and logistic regression
No. 1
Eberlein, E., Keller, U.
Hyperbolic Distributions in Finance
October 1994
Bernoulli 1, 1995, 281-299

 

 

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