This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.
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1 An Odyssey to Incomplete Data: Winfried Stute's Contribution to Survival Analysis |
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3 | (22) |
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2 The Kaplan-Meier Integral in the Presence of Covariates: A Review |
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25 | (18) |
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3 Semi-parametric Random Censorship Models |
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43 | (14) |
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4 Nonparametric Estimation of an Event-Free Survival Distribution Under Cross-Sectional Sampling |
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57 | (14) |
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5 On the Asymptotic Efficiency of Directional Models Checks for Regression |
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71 | (18) |
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6 Goodness--of--Fit Test for Stochastic Volatility Models |
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89 | (16) |
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Wenceslao Gonzalez-Manteiga |
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7 A Review on Dimension-Reduction Based Tests For Regressions |
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105 | (24) |
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Part III Asymptotic Nonparametric Statistics and Change-Point Problems |
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8 Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models |
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129 | (28) |
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9 On Empirical Distribution Functions Under Auxiliary Information |
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157 | (16) |
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10 A Review and Some New Proposals for Bandwidth Selection in Nonparametric Density Estimation for Dependent Data |
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173 | (36) |
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11 Estimating the Error Distribution in a Single-Index Model |
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209 | (26) |
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12 Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests |
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235 | (16) |
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13 Nonparametric Stopping Rules for Detecting Small Changes in Location and Scale Families |
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251 | (22) |
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14 Change Point Detection with Multivariate Observations Based on Characteristic Functions |
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273 | (18) |
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15 Kader---An R Package for Nonparametric Kernel Adjusted Density Estimation and Regression |
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291 | (26) |
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16 Limiting Experiments and Asymptotic Bounds on the Performance of Sequence of Estimators |
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317 | (28) |
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Part IV Mathematical Finance |
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17 Risk Bounds and Partial Dependence Information |
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345 | (22) |
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18 Shot-Noise Processes in Finance |
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367 | (20) |
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19 A Levy-Driven Asset Price Model with Bankruptcy and Liquidity Risk |
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387 | (30) |
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20 Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model |
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417 | (12) |
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Part V Gender Gap Analysis |
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21 Hierarchical Organizations and Glass Ceiling Effects |
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429 | |
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Dietmar Ferger is a Professor at the Institute of Mathematical Stochastics, TU Dresden, Germany.
Wenceslao Gonzįlez Manteiga is a Professor at the Department of Statistics and Operations Research, University of Santiago de Compostela, Spain.
Thorsten Schmidt is a Professor at the Department of Mathematical Stochastics, University of Freiburg, Germany.
Jane-Ling Wang is Distinguished Professor at the Department of Statistics, University of California, Davis, USA.
