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Publications

by members of

National Research University Higher School of Economics (HSE) → International Laboratory of Stochastic Analysis

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2022

  1. Ekaterina Morozova & Vladimir Panov, 2022, "Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes," Papers, arXiv.org, number 2210.13824, Oct.

2015

  1. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2015, "Nonparametric estimation in case of endogenous selection," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-050.

2014

  1. Denis Belomestny & Volker Kraetschmer, 2014, "Optimal stopping under model uncertainty: randomized stopping times approach," Papers, arXiv.org, number 1405.2240, May, revised Dec 2014.
  2. Denis Belomestny & Tigran Nagapetyan, 2014, "Multilevel path simulation for weak approximation schemes," Papers, arXiv.org, number 1406.2581, Jun, revised Oct 2014.
  3. Belomestny, Denis & Ma, Shujie & Härdle, Wolfgang Karl, 2014, "Pricing kernel modeling," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-001.

2013

  1. Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan, 2013, "Pricing American options via multi-level approximation methods," Papers, arXiv.org, number 1303.1334, Mar, revised Dec 2013.

2012

  1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2012, "Generated covariates in nonparametric estimation: A short review," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-042.
  2. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012, "Additive models: Extensions and related models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-045.

2011

  1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011, "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-064.

2010

  1. Belomestny, Denis & Krätschmer, Volker, 2010, "Central limit theorems for law-invariant coherent risk measures," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-052.
  2. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010, "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-059.
  3. Panov, Vladimir, 2010, "Non-gaussian component analysis: New ideas, new proofs, new applications," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-026.
  4. Panov, Vladimir, 2010, "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-050.

2009

  1. Denis Belomestny, 2009, "Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates," Papers, arXiv.org, number 0907.5599, Jul.
  2. Denis Belomestny, 2009, "On the rates of convergence of simulation based optimization algorithms for optimal stopping problems," Papers, arXiv.org, number 0909.3570, Sep.
  3. Belomestny, Denis, 2009, "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-021.
  4. Belomestny, Denis, 2009, "Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-023.
  5. Belomestny, Denis & Kolodko, Anastasia & Schoenmakers, John G. M., 2009, "Regression methods for stochastic control problems and their convergence analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-026.

2007

  1. Belomestny, Denis & Milstein, Grigori N. & Schoenmakers, John G. M., 2007, "Sensitivities for Bermudan options by regression methods," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-048.
  2. Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M., 2007, "A stochastic volatility libor model and its robust calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-067.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007, "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-023.

2006

  1. Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-034.
  2. Belomestny, Denis & Reiß, Markus, 2006, "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-035.
  3. Belomestny, Denis & Spokoiny, Vladimir, 2006, "Spatial aggregation of local likelihood estimates with applications to classification," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-036.
  4. Belomestny, Denis & Schoenmakers, John G. M., 2006, "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-037.
  5. Belomestny, Denis & Milstein, Grigori N., 2006, "Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-038.
  6. Belomestny, Denis & Gapeev, Pavel V., 2006, "An iteration procedure for solving integral equations related to optimal stopping problems," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-043.
  7. Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006, "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-051.

2005

  1. Wolfgang Haerdle & Enno MAMMEN & Isabel Proenca, 2005, "A Bootstrap Test for Single Index Models," Econometrics, University Library of Munich, Germany, number 0508007, Aug.
  2. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005, "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-020.

2004

  1. Enno Mammen & Oliver Linton, 2004, "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers, Financial Markets Group, number dp511, Sep.
  2. C Taanggard & J Nielsen & Enno Mammen & Oliver Linton, 2004, "Yield Curve Estimation by Kernel Smoothing," FMG Discussion Papers, Financial Markets Group, number dp515, Sep.

2002

  1. Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen, 2002, "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1375, Jun.
  2. Joel L. Horowitz & Enno Mammen, 2002, "Nonparametric estimation of an additive model with a link function," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP19/02, Jul.
  3. Piterbarg, V.I., 2002, "Discrete vs continuous time for large extremes of Gaussian processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2002-06, Mar.

2001

  1. Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2001, "Bootstrap Inference in Semiparametric Generalized Additive Models," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 01-3, Mar.
  2. Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001, "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM, Tilburg University, School of Economics and Management, number c3485b9b-a0bd-456f-9baa-0.

2000

  1. Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000, "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0235, Aug.
  2. Engsted, Tom & Mammen, Enno & Tanggaard, Carsten, 2000, "Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-10, Apr.

1998

  1. Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998, "Estimating Yield Curves by Kernel Smoothing Methods," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1205, Dec.

1997

  1. GIJBELS, Irène & MAMMEN, Enno & PARK, Byeong U. & SIMAR, Léopold, 1997, "On estimation of monotone and concave frontier functions," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997031, Apr.
  2. Oliver Linton & E. Mammen & J. Nielsen, 1997, "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1160, Sep.

1996

  1. Konakov, V. & Mammen, Enno, 1996, "The Shape of Kernel Density Estimates in Higher Dimensions," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,41.

1995

  1. Konakov, V. & Läuter, H. & Liero, H., 1995, "Comparison of the Asymptotic Power of Tests Based on L. - and L.- Norms under Non-Standard Local Alternatives," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,10.
  2. Konakov, V. & Läuter, H. & Liero, H., 1995, "Nonparametric versus Parametric Goodness of Fit," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,49.

1992

  1. Mammen, E. & Tsybakov, A.B., 1992, "ASymptotical Minimax Results in Image Analysis for Sets with Smooth Boundaries," Papers, Catholique de Louvain - Institut de statistique, number 9205.

1990

  1. Hardle, W. & Mammen, E., 1990, "Bootstarp Methods in Nonparametric Regression," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1990049, Jan.
  2. Hardle, W. & Mammen, E., 1990, "Comparing nonparametric versus parametric regression fits," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1990065, Jan.

Journal articles

2021

  1. Kasianova, Ksenia & Kelbert, Mark & Mozgunov, Pavel, 2021, "Response adaptive designs for Phase II trials with binary endpoint based on context-dependent information measures," Computational Statistics & Data Analysis, Elsevier, volume 158, issue C, DOI: 10.1016/j.csda.2021.107187.
  2. Ekaterina Morozova & Vladimir Panov, 2021, "Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity," Mathematics, MDPI, volume 9, issue 18, pages 1-24, September.

2020

  1. Yuri Suhov & Mark Kelbert & Izabella Stuhl, 2020, "The Feynman–Kac Representation and Dobrushin–Lanford–Ruelle States of a Quantum Bose-Gas," Mathematics, MDPI, volume 8, issue 10, pages 1-41, October.
  2. Igor Sazonov & Dmitry Grebennikov & Mark Kelbert & Andreas Meyerhans & Gennady Bocharov, 2020, "Viral Infection Dynamics Model Based on a Markov Process with Time Delay between Cell Infection and Progeny Production," Mathematics, MDPI, volume 8, issue 8, pages 1-21, July.
  3. Piterbarg, Vladimir I. & Rodionov, Igor V., 2020, "High excursions of Bessel and related random processes," Stochastic Processes and their Applications, Elsevier, volume 130, issue 8, pages 4859-4872, DOI: 10.1016/j.spa.2020.02.002.

2019

  1. Daniel Hernández‐Hernández & Harold A. Moreno‐Franco & José‐Luis Pérez, 2019, "Periodic strategies in optimal execution with multiplicative price impact," Mathematical Finance, Wiley Blackwell, volume 29, issue 4, pages 1039-1065, October, DOI: 10.1111/mafi.12208.
  2. Mauricio Junca & Harold A. Moreno-Franco & José Luis Pérez, 2019, "Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint," Risks, MDPI, volume 7, issue 1, pages 1-24, January.
  3. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019, "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, volume 15, issue 3, pages 421-453, September, DOI: 10.1007/s10436-019-00350-3.
  4. Denis Belomestny & Tatiana Orlova & Vladimir Panov, 2019, "Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 73, issue 1, pages 100-117, February, DOI: 10.1111/stan.12142.
  5. Panov, Vladimir, 2019, "Some properties of the one-dimensional subordinated stable model," Statistics & Probability Letters, Elsevier, volume 146, issue C, pages 80-84, DOI: 10.1016/j.spl.2018.11.002.
  6. Vladimir Panov & Evgenii Samarin, 2019, "Multivariate asset‐pricing model based on subordinated stable processes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 35, issue 4, pages 1060-1076, July, DOI: 10.1002/asmb.2446.

2018

  1. Hernández, Camilo & Junca, Mauricio & Moreno-Franco, Harold, 2018, "A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes," Insurance: Mathematics and Economics, Elsevier, volume 79, issue C, pages 57-68, DOI: 10.1016/j.insmatheco.2017.12.011.

2017

  1. Panov, Vladimir, 2017, "Limit theorems for sums of random variables with mixture distribution," Statistics & Probability Letters, Elsevier, volume 129, issue C, pages 379-386, DOI: 10.1016/j.spl.2017.06.017.
  2. Vladimir Panov, 2017, "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, volume 19, issue 1, pages 97-119, March, DOI: 10.1007/s11009-015-9461-8.

2016

  1. Kelbert, M. & Konakov, V. & Menozzi, S., 2016, "Weak error for Continuous Time Markov Chains related to fractional in time P(I)DEs," Stochastic Processes and their Applications, Elsevier, volume 126, issue 4, pages 1145-1183, DOI: 10.1016/j.spa.2015.10.013.

2014

  1. Paris, Quentin, 2014, "Minimax adaptive dimension reduction for regression," Journal of Multivariate Analysis, Elsevier, volume 128, issue C, pages 186-202, DOI: 10.1016/j.jmva.2014.03.008.

2013

  1. Belomestny, Denis & Panov, Vladimir, 2013, "Abelian theorems for stochastic volatility models with application to the estimation of jump activity," Stochastic Processes and their Applications, Elsevier, volume 123, issue 1, pages 15-44, DOI: 10.1016/j.spa.2012.08.015.
  2. Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013, "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, volume 17, issue 4, pages 717-742, October, DOI: 10.1007/s00780-013-0208-5.
  3. Mark Kelbert & Yurii Suhov, 2013, "A Quantum Mermin-Wagner Theorem for a Generalized Hubbard Model," Advances in Mathematical Physics, Hindawi, volume 2013, pages 1-20, September, DOI: 10.1155/2013/637375.
  4. Butkovsky, O.A. & Veretennikov, A.Yu., 2013, "On asymptotics for Vaserstein coupling of Markov chains," Stochastic Processes and their Applications, Elsevier, volume 123, issue 9, pages 3518-3541, DOI: 10.1016/j.spa.2013.04.016.

2012

  1. Benoît Cadre & Quentin Paris, 2012, "On Hölder fields clustering," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 21, issue 2, pages 301-316, June, DOI: 10.1007/s11749-011-0244-4.

2011

  1. Belomestny, Denis, 2011, "Spectral estimation of the Lévy density in partially observed affine models," Stochastic Processes and their Applications, Elsevier, volume 121, issue 6, pages 1217-1244, June.
  2. Denis Belomestny, 2011, "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, volume 15, issue 4, pages 655-683, December, DOI: 10.1007/s00780-010-0132-x.
  3. Jarusková, Daniela & Piterbarg, Vladimir I., 2011, "Log-likelihood ratio test for detecting transient change," Statistics & Probability Letters, Elsevier, volume 81, issue 5, pages 552-559, May.

2010

  1. Denis Belomestny & G. Milstein & John Schoenmakers, 2010, "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 33, issue 2, pages 117-138, November, DOI: 10.1007/s10203-009-0101-z.
  2. Denis Belomestny & John Schoenmakers, 2010, "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 4, pages 529-546, DOI: 10.1080/14697680903295176.
  3. Hoderlein, Stefan & Klemelä, Jussi & Mammen, Enno, 2010, "Analyzing The Random Coefficient Model Nonparametrically," Econometric Theory, Cambridge University Press, volume 26, issue 3, pages 804-837, June.
  4. Gobet, Emmanuel & Menozzi, Stéphane, 2010, "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, volume 120, issue 2, pages 130-162, February.

2009

  1. Denis Belomestny & Christian Bender & John Schoenmakers, 2009, "True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, volume 19, issue 1, pages 53-71, January, DOI: 10.1111/j.1467-9965.2008.00357.x.
  2. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009, "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 3, pages 315-327, DOI: 10.1080/14697680802165736.
  3. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009, "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 284-298.
  4. Arnab Maity & Raymond J. Carroll & Enno Mammen & Nilanjan Chatterjee, 2009, "Testing in semiparametric models with interaction, with applications to gene–environment interactions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 71, issue 1, pages 75-96, January, DOI: 10.1111/j.1467-9868.2008.00671.x.
  5. Mammen, Enno & Støve, Bård & Tjøstheim, Dag, 2009, "Nonparametric Additive Models For Panels Of Time Series," Econometric Theory, Cambridge University Press, volume 25, issue 2, pages 442-481, April.
  6. Stefan Hoderlein & Enno Mammen, 2009, "Identification and estimation of local average derivatives in non-separable models without monotonicity," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 1-25, March.
  7. Raymond J. Carroll & Arnab Maity & Enno Mammen & Kyusang Yu, 2009, "Nonparametric additive regression for repeatedly measured data," Biometrika, Biometrika Trust, volume 96, issue 2, pages 383-398.

2008

  1. Linton, Oliver B. & Mammen, Enno, 2008, "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 241-264, January.
  2. Jakob Sidenius & Vladimir Piterbarg & Leif Andersen, 2008, "A New Framework For Dynamic Credit Portfolio Loss Modelling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 02, pages 163-197, DOI: 10.1142/S0219024908004762.
  3. Mladenovic, Pavle & Piterbarg, Vladimir, 2008, "On estimation of the exponent of regular variation using a sample with missing observations," Statistics & Probability Letters, Elsevier, volume 78, issue 4, pages 327-335, March.
  4. Hüsler, Jürg & Piterbarg, Vladimir, 2008, "A limit theorem for the time of ruin in a Gaussian ruin problem," Stochastic Processes and their Applications, Elsevier, volume 118, issue 11, pages 2014-2021, November.

2007

  1. Stefan Hoderlein & Enno Mammen, 2007, "Identification of Marginal Effects in Nonseparable Models Without Monotonicity," Econometrica, Econometric Society, volume 75, issue 5, pages 1513-1518, September.
  2. Enno Mammen & Jens Perch Nielsen, 2007, "A General Approach to the Predictability Issue in Survival Analysis with Applications," Biometrika, Biometrika Trust, volume 94, issue 4, pages 873-892.
  3. Enno Mammen, 2007, "Comments on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 16, issue 3, pages 462-464, December, DOI: 10.1007/s11749-007-0087-1.
  4. Leif Andersen & Vladimir Piterbarg, 2007, "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, volume 11, issue 1, pages 29-50, January, DOI: 10.1007/s00780-006-0011-7.

2006

  1. Denis Belomestny & Markus Reiß, 2006, "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, volume 10, issue 4, pages 449-474, December, DOI: 10.1007/s00780-006-0021-5.
  2. Mammen, Enno, 2006, "Statistical Models. A. C. Davison," The American Statistician, American Statistical Association, volume 60, pages 204-205, May.
  3. Mladenovic, Pavle & Piterbarg, Vladimir, 2006, "On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences," Stochastic Processes and their Applications, Elsevier, volume 116, issue 12, pages 1977-1991, December.

2005

  1. O. Linton & E. Mammen, 2005, "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, volume 73, issue 3, pages 771-836, May.

2004

  1. Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2004, "Bootstrap Inference In Semiparametric Generalized Additive Models," Econometric Theory, Cambridge University Press, volume 20, issue 2, pages 265-300, April.
  2. Gobet, Emmanuel & Menozzi, Stéphane, 2004, "Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme," Stochastic Processes and their Applications, Elsevier, volume 112, issue 2, pages 201-223, August.
  3. Hüsler, Jürg & Piterbarg, Vladimir, 2004, "Limit theorem for maximum of the storage process with fractional Brownian motion as input," Stochastic Processes and their Applications, Elsevier, volume 114, issue 2, pages 231-250, December.
  4. Hüsler, J. & Piterbarg, V., 2004, "On the ruin probability for physical fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, volume 113, issue 2, pages 315-332, October.

2003

  1. Mark Kelbert & Yuri Suhov, 2003, "Tree-indexed processes: a high level crossing analysis," International Journal of Stochastic Analysis, Hindawi, volume 16, pages 1-13, January, DOI: 10.1155/S1048953303000091.
  2. Xiao Z. & Linton O.B. & Carroll R.J. & Mammen E., 2003, "More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors," Journal of the American Statistical Association, American Statistical Association, volume 98, pages 980-992, January.
  3. Enno Mammen, 2003, "Generalised structured models," Biometrika, Biometrika Trust, volume 90, issue 3, pages 551-566, September.

2002

  1. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 2002, "Estimation In An Additive Model When The Components Are Linked Parametrically," Econometric Theory, Cambridge University Press, volume 18, issue 4, pages 886-912, August.

2001

  1. Konakov, Valentin & Mammen, Enno, 2001, "Local approximations of Markov random walks by diffusions," Stochastic Processes and their Applications, Elsevier, volume 96, issue 1, pages 73-98, November.
  2. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001, "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 185-223, November.

2000

  1. Gérard Kerkyacharian & Dominique Picard & Lucien Birgé & Peter Hall & Oleg Lepski & Enno Mammen & Alexandre Tsybakov & G. Kerkyacharian & D. Picard, 2000, "Thresholding algorithms, maxisets and well-concentrated bases," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 9, issue 2, pages 283-344, December, DOI: 10.1007/BF02595738.
  2. Veretennikov, A. Yu., 2000, "On large deviations for SDEs with small diffusion and averaging," Stochastic Processes and their Applications, Elsevier, volume 89, issue 1, pages 69-79, September.

1999

  1. E. Mammen & C. Thomas‐Agnan, 1999, "Smoothing Splines and Shape Restrictions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 26, issue 2, pages 239-252, June, DOI: 10.1111/1467-9469.00147.
  2. A. Veretennikov, 1999, "On Castellana–Leadbetter's Condition for Diffusion Density Estimation," Statistical Inference for Stochastic Processes, Springer, volume 2, issue 1, pages 1-9, January, DOI: 10.1023/A:1009996608986.

1997

  1. Duc Devroye & J. Beirlant & R. Cao & R. Fraiman & P. Hall & M. Jones & Gábor Lugosi & E. Mammen & J. Marron & C. Sánchez-Sellero & J. Uña & F. Udina & L. Devroye, 1997, "Universal smoothing factor selection in density estimation: theory and practice," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 6, issue 2, pages 223-320, December, DOI: 10.1007/BF02564701.
  2. Veretennikov, A. Yu., 1997, "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, volume 70, issue 1, pages 115-127, October.

1994

  1. Fischer, N. I. & Mammen, E. & Marron, J. S., 1994, "Testing for multimodality," Computational Statistics & Data Analysis, Elsevier, volume 18, issue 5, pages 499-512, December.

1993

  1. M. Bartlett & S. Rachev & E. Dettweiler & D. Berry & E. Mammen, 1993, "Book reviews," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 40, issue 1, pages 129-136, December, DOI: 10.1007/BF02613671.

1990

  1. Mammen, Enno, 1990, "A short note on optimal bandwidth selection for kernel estimators," Statistics & Probability Letters, Elsevier, volume 9, issue 1, pages 23-25, January.

1984

  1. Konakov, V. D. & Piterbarg, V. I., 1984, "On the convergence rate of maximal deviation distribution for kernel regression estimates," Journal of Multivariate Analysis, Elsevier, volume 15, issue 3, pages 279-294, December.

1973

  1. Konakov, V. D., 1973, "Asymptotic properties of some functions of nonparametric estimates of a density function," Journal of Multivariate Analysis, Elsevier, volume 3, issue 4, pages 454-468, December.

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