Statistics & Risk Modeling

1982 - 2026

Current editor(s): Robert Stelzer

From De Gruyter
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Input-dependent estimation of generalization error under covariate shift pp. 249-279: Sugiyama Masashi and Müller Klaus-Robert
Credit risk with infinite dimensional Lévy processes pp. 281-299: Özkan Fehmi and Schmidt Thorsten
Quantile hedging and its application to life insurance pp. 301-316: Melnikov Alexander and Skornyakova Victoria
The heat equation given a time series of initial data subject to error pp. 317-329: Hesse C. H.

Nonlinear wavelet density and hazard rate estimation for censored data under dependent observations pp. 161-180: Liang Han-Ying, Mammitzsch Volker and Steinebach Josef
Empirical Bayes estimation by wavelet series pp. 181-198: Pensky Marianna and Alotaibi Mohammed
Duality theory for optimal investments under model uncertainty pp. 199-217: Schied Alexander and Wu Ching-Tang
Qualitative stability of stochastic programs with applications in asymptotic statistics pp. 219-248: Vogel Silvia

Absolutely continuous optimal martingale measures pp. 81-100: Acciaio Beatrice
Optimal choice of kn-records in the extreme value index estimation pp. 101-115: El Arrouchi Mohamed and Imlahi Abdelouahid
On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence pp. 117-129: Heinrich Lothar, Pukelsheim Friedrich and Schwingenschlögl Udo
Recursive random variables with subgaussian distributions pp. 131-146: Neininger Ralph
Change in non-parametric regression with long memory errors pp. 147-159: Wang Lihong

Optimal consumption strategies under model uncertainty pp. 1-14: Burgert Christian and Rüschendorf Ludger
Perpetual convertible bonds in jump-diffusion models pp. 15-31: Gapeev Pavel V. and Kühn Christoph
On low dimensional case in the fundamental asset pricing theorem with transaction costs pp. 33-48: Grigoriev Pavel G.
Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures pp. 49-66: Leitner Johannes
Approximations of empirical probability generating processes pp. 67-80: Szűcs Gábor

Quantization of probability distributions under norm-based distortion measures pp. 261-282: Delattre Sylvain, Graf Siegfried, Luschgy Harald and Pagès Gilles
Confidence estimation of the covariance function of stationary and locally stationary processes pp. 283-300: Giurcanu Mihai and Spokoiny Vladimir
Efficient estimation of a linear functional of a bivariate distribution with equal, but unknown, marginals: The minimum chi-square approach pp. 301-318: Peng Hanxiang and Schick Anton
Locally asymptotically optimal tests in semiparametric generalized linear models in the 2-sample-problem pp. 319-334: Steinke Ingo
Maximum likelihood estimator in a two-phase nonlinear random regression model pp. 335-349: Ciuperca Gabriela

On Robins’ formula pp. 171-200: Aad van der Vaart
Optimal influence curves for general loss functions pp. 201-223: Ruckdeschel Peter and Rieder Helmut
A note on log-optimal portfolios in exponential Lévy markets pp. 225-233: Hurd T. R.
On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise pp. 235-243: Rohde Angelika
CWLS and ML estimates in a heteroscedastic RCA(1) model pp. 245-259: Janečková Hana and Prášková Zuzana

Local maximin properties of tests in Gaussian shift experiments pp. 83-108: Dencker Peter and Liese Friedrich
Markov chain algorithms for Eulerian orientations and 3-colourings of 2-dimensional Cartesian grids pp. 109-130: Fehrenbach Johannes and Rüschendorf Ludger
A two-dimensional Cramér–von Mises test for the two-sample problem with dispersion alternatives pp. 131-151: Ferger Dietmar
Necessary conditions for the existence of utility maximizing strategies under transaction costs pp. 153-170: Guasoni Paolo and Schachermayer Walter

On asymptotic expansion of pseudovalues in nonparametric median regression pp. 1-16: Belitser Eduard
On second order minimax estimation of invariant density for ergodic diffusion pp. 17-42: Arnak Dalalyan and Kutoyants Yury A.
Sainte-Laguë’s chi-square divergence for the rounding of probabilities and its convergence to a stable law pp. 43-60: Heinrich Lothar, Pukelsheim Friedrich and Schwingenschlögl Udo
Estimation of linear functionals of bivariate distributions with parametric marginals pp. 61-78: Peng Hanxiang and Schick Anton
A remark on the quickest detection problems pp. 79-82: Shiryaev Albert

Which power of goodness of fit tests can really be expected: intermediate versus contiguous alternatives pp. 301-326: Janssen Arnold
Estimation of the multivariate normal covariance matrix under some restrictions pp. 327-342: Sheena Yo and Gupta Arjun K.
Jump-preserving monitoring of dependent time series using pilot estimators pp. 343-366: Steland Ansgar
Improved estimation of medians subject to order restrictions in unimodal symmetric families pp. 367-380: Garren Steven T.

Asymptotic equivalence for a model of independent non identically distributed observations pp. 197-218: Jähnisch Michael and Nussbaum Michael
Approximations and limit theorems for likelihood ratio processes in the binary case pp. 219-260: Alexander Gushchin and Valkeila Esko
Optimal stopping and cluster point processes pp. 261-282: Kühne Robert and Rüschendorf Ludger
Limit theorems in change-point problems with multivariate long-range dependent observations pp. 283-300: Wang Lihong

On arbitrage and replication in the fractional Black–Scholes pricing model pp. 93-108: Tommi Sottinen and Valkeila Esko
On the construction of efficient estimators in semiparametric models pp. 109-138: Forrester Jeffrey S., Hooper William J., Peng Hanxiang and Schick Anton
The Bahadur risk in probability density estimation pp. 139-148: Korostelev Alexander
On preferences of general two-sided tests with applications to Kolmogorov–Smirnov-type tests pp. 149-170: Rahnenführer Jörg
Estimating the dimension of factors of diffusion processes pp. 171-184: Pötzelberger Klaus
Ranking of populations in parameter′s modulus pp. 185-195: Revyakov Mikhail

Editorial Note pp. 1-2: Strasser Helmut, Rüschendorf Ludger and Schachermayer Walter
A note on Bayesian detection of change-points with an expected miss criterion pp. 3-14: Karatzas Ioannis
The estimation problem of minimum mean squared error pp. 15-28: Devroye Luc, Schäfer Dominik, Györfi László and Walk Harro
Parameter estimation for some non-recurrent solutions of SDE pp. 29-46: Dietz Hans M. and Kutoyants Yury A.
Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models pp. 47-68: Woerner Jeannette H. C.
A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions pp. 69-78: Maruyama Yuzo
Tail behaviour of a general family of control charts pp. 79-92: Schmid Wolfgang and Okhrin Yarema