Statistics & Risk Modeling

1982 - 2026

Current editor(s): Robert Stelzer

From De Gruyter
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Minimaxity of the Stein risk-minimization estimator for a normal mean matrix pp. 243-261: Kubokawa Tatsuya and Tsukuma Hisayuki
Estimation of search tree size and approximate counting: A likelihood approach pp. 263-274: Dennert Florian and Grübel Rudolf
Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps pp. 275-288: Kohler Michael, Krzyzak Adam and Walk Harro
On a stochastic version of the trading rule “Buy and Hold” pp. 289-302: Shiryaev Albert and Novikov Alexander A.
Characterization of optimal risk allocations for convex risk functionals pp. 303-319: Kiesel Swen and Rüschendorf Ludger

On nonparametric estimation of the regression function under random censorship model pp. 159-177: Guessoum Zohra and Ould-Said Elias
Estimation of optimal portfolio compositions for Gaussian returns pp. 179-201: Bodnar Taras and Schmid Wolfgang
Improved estimation for elliptically symmetric distributions with unknown block diagonal covariance matrix pp. 203-217: Fourdrinier Dominique, Strawderman William E. and Wells Martin T.
A Bayesian approach to incorporate model ambiguity in a dynamic risk measure pp. 219-242: Bäuerle Nicole and Mundt André

Editorial pp. 73-73: Yuri (Yuriy) Kaniovski (Kaniovskyi) and Pflug Georg Ch.
A lattice model with incomplete information: A credit risk application pp. 75-88: Cherubini Umberto, Sabrina Mulinacci and Romagnoli Silvia
Optimal portfolios with Haezendonck risk measures pp. 89-108: Bellini Fabio and Rosazza Gianin Emanuela
Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization pp. 109-143: Guigues Vincent
Nonparametric nearest neighbor based empirical portfolio selection strategies pp. 145-157: Györfi László, Frederic Udina and Walk Harro

Editorial pp. 1-1: Pflug Georg Ch.
Goodness of fit testing using a specific density estimate pp. 3-23: Albers Casper J. and Schaafsma Willem
Uniform and individual convergence rates for convex density classes pp. 25-34: Meister Alexander
A kernel-based classifier on a Riemannian manifold pp. 35-51: Loubes Jean-Michel and Pelletier Bruno
Comparison results for path-dependent options pp. 53-72: Bergenthum Jan and Rüschendorf Ludger

Letter from the editor pp. 263-263: Strasser Helmut
Importance sampling for simulations of moderate deviation probabilities of statistics pp. 265-284: Ermakov Mikhail
Dynamic utility-based good deal bounds pp. 285-309: Klöppel Susanne and Schweizer Martin
Pricing and hedging with globally and instantaneously vanishing risk pp. 311-332: Leitner Johannes
Bootstrapping L2-type statistics in copula density testing pp. 333-347: Rehbock Volker

Minimax estimators of the coverage probability of the impermissible error for a location family pp. 173-215: Arcones Miguel A.
A limit theorem for recursively defined processes in Lp pp. 217-235: Eickmeyer Kord and Rüschendorf Ludger
Resampling in the frequency domain of time series to determine critical values for change-point tests pp. 237-261: Kirch Claudia

Large deviations for L-statistics pp. 89-125: Boistard Hélène
On universal Bayesian adaptation pp. 127-152: Lember Jüri and Aad van der Vaart
Optimal kernels pp. 153-172: Mammitzsch Volker

Estimating the error distribution function in semiparametric regression pp. 1-18: Müller Ursula U., Schick Anton and Wefelmeyer Wolfgang
Decision theoretic Bayesian hypothesis testing with the selection goal pp. 19-39: Bansal Naveen K.
Most powerful conditional tests pp. 41-62: Janssen Arnold and Völker Dominik
An asymptotic analysis of the mean-variance portfolio selection pp. 63-86: Ottucsák György and Vajda István

On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ pp. 397-413: Cabral Morais Manuel, Okhrin Yarema, Pacheco António and Schmidt Wolfgang
On utility-based derivative pricing with and without intermediate trades pp. 415-434: Kallsen Jan and Kühn Christoph
Pure self-financing trading strategies under transaction costs pp. 435-443: Beutner Eric
Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings pp. 445-470: Feinberg Eugene A. and Shiryaev Albert N.

Bootstrap autoregressive order selection pp. 305-325: Franke Jürgen, Kreiss Jens-Peter and Moser Martin
Parametric and semiparametric inference for shape: the role of the scale functional pp. 327-350: Marc Hallin and Paindaveine Davy
Oracle inequalities for multi-fold cross validation pp. 351-371: Vaart Aad W. van der, Dudoit Sandrine and Laan Mark J. van der
The cross-validated adaptive epsilon-net estimator pp. 373-395: Laan Mark J. van der, Dudoit Sandrine and Vaart Aad W. van der

Statistical inference on graphs pp. 209-232: Biau Gérard and Bleakley Kevin
Estimating market risk with neural networks pp. 233-253: Franke Jürgen and Diagne Mabouba
On Markovian short rates in term structure models driven by jump-diffusion processes pp. 255-271: Gapeev Pavel V. and Küchler Uwe
Robust multivariate location estimation, admissibility, and shrinkage phenomenon pp. 273-290: Jurečková Jana and Sen P. K.
On local bootstrap bandwidth choice in kernel density estimation pp. 291-301: Ziegler Klaus
Correction note: On the optimal risk allocation problem pp. 303-303: Burgert Christian and Rüschendorf Ludger

Editorial preface pp. iii-iii: Rüschendorf L.
Risk measurement with equivalent utility principles pp. 1-25: Denuit Michel, Jan Dhaene, Marc Goovaerts, Kaas Rob and Roger Laeven
Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals pp. 27-44: Grigoriev Pavel G. and Leitner Johannes
On distortion functionals pp. 45-60: Pflug Georg Ch.
Convex risk measures and the dynamics of their penalty functions pp. 61-96: Föllmer Hans and Penner Irina
Law invariant convex risk measures for portfolio vectors pp. 97-108: Rüschendorf Ludger
Robust utility maximization in a stochastic factor model pp. 109-125: Hernández-Hernández Daniel and Schied Alexander
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints pp. 127-152: Carlier Guillaume and Dana Rose-Anne
On the optimal risk allocation problem pp. 153-171: Burgert Christian and Rüschendorf Ludger
Monetary utility over coherent risk ratios pp. 173-187: Leitner Johannes
Mean-risk optimization for index tracking pp. 189-207: Nakano Yumiharu