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Technische Universität München

Publications

309 Publikationen

Preprints and Technical Reports

SucheHinweis: Die „Schnellsuche“ findet nur Text in den angezeigten Feldern; nicht in Abstracts oder Schlagwörtern. Der Suchbegriff muss mindestens 3 Buchstaben lang sein.

2025

  • Klüppelberg, Claudia; Krali, Mario: Causal analysis of extreme risk in a network of industry portfolios. Preprint , 2025 mehr… BibTeX
  • Schwank, Richard; McCormack, Andrew; Drton, Mathias: Robust Score Matching. Preprint , 2025 mehr… BibTeX

2024

  • Boege, Tobias; Drton, Mathias; Hollering, Benjamin; Lumpp, Sarah; Misra, Pratik; Schkoda, Daniela: Conditional Independence in Stationary Diffusions. Preprint , 2024 mehr… BibTeX
  • Drton, Mathias; Grosdos, Alexandros; McCormack, Andrew: Rational Maximum Likelihood Estimators of Kronecker Covariance Matrices. Preprint , 2024 mehr… BibTeX
  • Drton, Mathias; Henckel, Leonard; Hollering, Benjamin; Misra, Pratik: Faithlessness in Gaussian graphical models. Preprint , 2024 mehr… BibTeX
  • Liang, Yurou; Zadorozhnyi, Oleksandr; Drton, Mathias: Kernel-Based Differentiable Learning of Non-Parametric Directed Acyclic Graphical Models. Preprint , 2024 mehr… BibTeX
  • Schkoda, Daniela; Robeva, Elina; Drton, Mathias: Causal Discovery of Linear Non-Gaussian Causal Models with Unobserved Confounding. Preprint , 2024 mehr… BibTeX
  • Shi, Hongjian; Drton, Mathias: On universal inference in Gaussian mixture models. Preprint , 2024 mehr… BibTeX
  • Strieder, David; Drton, Mathias: Dual Likelihood for Causal Inference under Structure Uncertainty. Preprint , 2024 mehr… BibTeX
  • Strieder, David; Drton, Mathias: Identifying Total Causal Effects in Linear Models under Partial Homoscedasticity. Preprint , 2024 mehr… BibTeX
  • Tramontano, Daniele; Drton, Mathias; Etesami, Jalal: Parameter identification in linear non-Gaussian causal models under general confounding. Preprint , 2024 mehr… BibTeX
  • Tramontano, Daniele; Kivva, Yaroslav; Salehkaleybar, Saber; Drton, Mathias; Kiyavash, Negar: Causal Effect Identification in LiNGAM Models with Latent Confounders. Preprint , 2024 mehr… BibTeX

2023

  • Drton, Mathias; Grosdos, Alexandros; Portakal, Irem; Sturma, Nils: Algebraic Sparse Factor Analysis. Preprint , 2023 mehr… BibTeX
  • Göbler, Konstantin; Windisch, Tobias; Drton, Mathias; Pychynski, Tim; Sonntag, Steffen; Roth, Martin: causalAssembly: Generating Realistic Production Data for Benchmarking Causal Discovery. Preprint , 2023 mehr… BibTeX
  • Keropyan, Grigor; Strieder, David; Drton, Mathias: Rank-Based Causal Discovery for Post-Nonlinear Models. Preprint, 2023 mehr… BibTeX
  • Sturma, Nils; Squires, Chandler; Drton, Mathias; Uhler, Caroline: Unpaired Multi-Domain Causal Representation Learning. Preprint, 2023 mehr… BibTeX
  • Talbut, Roan; Tramontano, Daniele; Cao, Yueqi; Drton, Mathias; Monod, Anthea: Probability Metrics for Tropical Spaces of Different Dimensions. Preprint , 2023 mehr… BibTeX
  • Wang, Y. Samuel; Kolar, Mladen; Drton, Mathias: Confidence Sets for Causal Orderings. Preprint , 2023 mehr… BibTeX

2022

  • Alnasser, Hassan H.; Czado, Claudia: An Application of D-vine Regression for the Identification of Risky Flights in Runway Overrun. Preprint, 2022 mehr… BibTeX
  • Brandenburg, Marie-Charlotte; Hollering, Benjamin; Portakal, Irem: Combinatorics of Correlated Equilibria. Preprint, 2022 mehr… BibTeX
  • Chong, Carsten; Delerue, Thomas; Mies, Fabian: Rate-optimal estimation of mixed semimartingales. Preprint, 2022 mehr… BibTeX
  • Dettling, Philipp; Drton, Mathias; Kolar, Mladen: On the Lasso for Graphical Continuous Lyapunov Models. Preprint, 2022 mehr… BibTeX
  • Dettling, Philipp; Homs, Roser; Améndola, Carlos; Drton, Mathias; Hansen, Niels Richard: Identifiability in Continuous Lyapunov Models. Preprint, 2022 mehr… BibTeX
  • Göbler, Konstantin; Miloschewski, Anne; Drton, Mathias; Mukherjee, Sach: High-Dimensional Undirected Graphical Models for Arbitrary Mixed Data. Preprint , 2022 mehr… BibTeX
  • Hollering, Benjamin; Johnson, Joseph; Portakal, Irem; Solus, Liam: Toric Ideals of Characteristic Imsets via Quasi-Independence Gluing. Preprint, 2022 mehr… BibTeX
  • Höhndorf, Lukas; Nagler, Thomas; Koppitz, Phillip; Czado, Claudia; Holzapfel, Florian: Statistical Dependence Analyses of Operational Flight Data Used for Landing Reconstruction Enhancement. Preprint, 2022 mehr… BibTeX
  • Portakal, Irem; Sendra-Arranz, Javier: Nash conditional independence curve. Preprint, 2022 mehr… BibTeX
  • Portakal, Irem; Sturmfels, Bernd: Geometry of Dependency Equilibria. Preprint, 2022 mehr… BibTeX
  • Rusek, Krzysztof; Drton, Mathias: Fine-grained network traffic prediction from coarse data. Preprint, 2022 mehr… BibTeX
  • Sahin, Özge; Bax, Karoline; Paterlini, Sandra; Czado, Claudia: The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology. SSRN Electronic Journal, 2022, 30 pages mehr… BibTeX
  • Sahin, Özge; Czado, Claudia: High-dimensional sparse vine copula regression with application to genomic prediction. Preprint, 2022 mehr… BibTeX
  • Sommer, Emanuel; Bax, Karoline ; Czado, Claudia: Vine Copula based portfolio level conditional risk measure forecasting. Preprint, 2022 mehr… BibTeX
  • Strieder, David; Drton, Mathias: On the choice of the splitting ratio for the split likelihood ratio test. Preprint, 2022 mehr… BibTeX
  • Sturma, Nils; Drton, Mathias; Leung, Dennis: Testing Many and Possibly Singular Polynomial Constraints. Preprint, 2022 mehr… BibTeX
  • Tepegjozova, Marija; Czado, Claudia: Bivariate vine copula based quantile regression. Preprint, 2022 mehr… BibTeX

2021

  • Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, Sandra: ESG, Risk, and (Tail) Dependence. SSRN Electronic Journal, 2021, 29 Pages mehr… BibTeX
  • Chong, Carsten; Delerue, Thomas; Li, Guoying: Mixed semimartingales: Volatility estimation in the presence of rough noise. Preprint, 2021 mehr… BibTeX
  • Czado, Claudia; Van Keilegom, Ingrid: Dependent censoring based on copulas. Preprint, 2021, 33 pages mehr… BibTeX
  • Sahin, Özge and Czado, Claudia: Vine copula mixture models and clustering for non-Gaussian data. Preprint, 2021 mehr… BibTeX
  • Sahin, Özge; Bax, Karoline; Paterlini, Sandra; Czado, Claudia: ESGM: ESG scores and the Missing pillar. SSRN Electronic Journal, 2021, 21 Pages mehr… BibTeX
  • Shi, Hongjian; Drton, Mathias; Hallin, Marc; Han, Fang: Center-Outward Sign- and Rank-Based Quadrant, Spearman, and Kendall Tests for Multivariate Independence. Preprint, 2021 mehr… BibTeX
  • Shi, Hongjian; Drton, Mathias; Han, Fang: On Azadkia-Chatterjee's conditional dependence coefficient. Preprint, 2021 mehr… BibTeX

2019

  • Chong, Carsten: High-frequency analysis of parabolic stochastic {PDE}s with multiplicative noiseHigh-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I. Preprint, 2019 mehr… BibTeX
  • Delerue, Thomas: Normal approximation of the solution to the stochastic wave equation with Lévy noise. Preprint, 2019, 28 mehr… BibTeX
  • Kreuzer, A. and Czado, C.: Bayesian inference for dynamic vine copulas in higher dimensions. Preprint, 2019 mehr… BibTeX
  • Kreuzer, A. and Czado, C.: Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. Preprint, 2019 mehr… BibTeX
  • Kreuzer, A., Dalla Valle, L. and Czado, C.: Bayesian Multivariate Nonlinear State Space Copula Models. Preprint, 2019 mehr… BibTeX

2018

  • Czado, C., Müller, D., Nagler, T.: Dependence Modelling in Ultra High Dimensions with Vine Copulas. Projektarbeit, 2018 mehr… BibTeX
  • Jäger, W.S., Nagler, T., Czado, C. and McCall, R.T.: A Statistical Simulation Method for Joint Time Series of Non-stationary Hourly Wave Parameters. Preprint, 2018 mehr… BibTeX
  • Möller, A., Spazzini, L., Kraus, D., Nagler, T. and Czado, C.: Vine copula based post-processing of ensemble forecasts for temperature. Preprint, 2018 mehr… BibTeX

2017

  • Aue, A. and Klepsch, J.: Estimating functional time series by moving average model fitting. Preprint, 2017 mehr… BibTeX
  • Killiches, M. and Czado, C.: A D-vine copula based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Preprint, 2017 mehr… BibTeX
  • Killiches, M., Kraus, D., and Czado, C.: Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas. Preprint, 2017 mehr… BibTeX
  • Kraus, D. and Czado, C.: Growing simplified vine copula trees: improving Dißmann's algorithm. Preprint, 2017 mehr… BibTeX
  • Kreuzer, A., Erhardt, T., Nagler, T., and Czado, C.: Heavy tailed spatial autocorrelation models. Preprint, 2017 mehr… BibTeX
  • Müller, D. and Czado C.: Dependence Modeling in Ultra High Dimensions with Vine Copulas and the Graphical Lasso. Preprint, 2017 mehr… BibTeX
  • Schallhorn, N., Kraus, D., Nagler, T., and Czado, C.: D-vine quantile regression with discrete variables. Preprint, 2017 mehr… BibTeX

2016

  • Barthel, N., Geerdens, C., Killiches, M., Janssen, P., and Czado, C.: Vine copula based inference of multivariate event time data. Preprint, 2016 mehr… BibTeX
  • Müller, D. and Czado C.: Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence. Preprint, 2016 mehr… BibTeX
  • Thomakos, D., Klepsch, J., and Politis, D.: Multivariate NoVaS and Inference on Conditional Correlations. Technical Report, 2016 mehr… BibTeX

2015

  • Behme, A. and Schnurr, A.: A one-sided symbol for Itô-Lévy processes. Preprint, 2015 mehr… BibTeX

2014

  • Behme, A., Lindner, A., and Maejima, M.: On the range of exponential functionals of Lévy processes. Preprint, 2014 mehr… BibTeX

2012

  • Bauer, A. and Czado, C.: Pair-copula Bayesian networks. Preprint , 2012 mehr… BibTeX
  • Schepsmeier, U. and Stöber, J.: Web supplement: Derivatives and Fisher information of bivariate copulas. Preprint, 2012 mehr… BibTeX

2010

  • Ferrazzano, V.: Windspeed recording process and related issues. Preprint, 2010, mehr… BibTeX
  • Czado, C., Haug, S.: Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 mehr… BibTeX
  • Foygel, Rina; Drton, Mathias: Exact block-wise optimization in group lasso and sparse group lasso for linear regression. Preprint, 2010 mehr… BibTeX
  • Hofmann, M. and Czado, C.: Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models. Preprint, 2010 mehr… BibTeX
  • Kumeth, A., Klüppelberg, C., and Steinkohl, C.: Modelling the value and measuring the risk of private equity. Preprint, 2010 mehr… BibTeX

2009

  • Czado, C., Min, A., Baumann, T., Dakovic, R.: Pair-copula constructions for modeling exchange rate dependence. Preprint, 2009 mehr… BibTeX
  • Czado, C., Pfettner, J, Gschlößl, S., Schiller, F.: Nonnested model comparison of GLM and GAM count regression models for life insurance data. Preprint, 2009 mehr… BibTeX
  • Eike Brechmann: Linear Mixed Models Applied to Bank Branch Deposit Data. Projektarbeit, 2009 mehr… BibTeX
  • Erhardt, V., Czado, C.: Generalized estimating equations for longitudinal generalized Poisson count data with regression effects on the mean and dispersion level. Preprint, 2009 mehr… BibTeX
  • Florian Fuchs: Probabilistic Analysis of Multivariate GARCH Models. Projektarbeit, 2009 mehr… BibTeX
  • Pigorsch, C. and Stelzer, R.: A multivariate Ornstein-Uhlenbeck type stochastic volatility model. Preprint, 2009 mehr… BibTeX

2008

  • Böcker, K. and Hillebrand, M.: Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation. Technical report, 2008 mehr… BibTeX
  • Christoph Ferstl: Estimation of the Spectral Measure in Elliptical Regularly Varying Models. Projektarbeit, 2008 mehr… BibTeX
  • Holger Schabenberger,: Estimating the Trend in Bank-Branch Deposits in the New York State Using Multilevel Models. Projektarbeit, 2008 mehr… BibTeX
  • Oliver Pfaffel: Wishart Processes. Projektarbeit, 2008 mehr… BibTeX

2007

  • Marquardt T. and James, L.F.: Generating long memory models based on CARMA processes. Technical report, 2007 mehr… BibTeX
  • Resnick, S.: Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws. John-von-Neumann Lectures, 2007, mehr… BibTeX

2006

  • Haug, S., Czado, C.: A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 mehr… BibTeX
  • Hillebrand, M.: Modeling and estimating dependent loss given default. Risk (September 2006), 2006 mehr… BibTeX
  • Klüppelberg, C. and Peng, L.: Empirical likelihood methods for an AR(1) process with ARCH(1) errors. Discussion Paper 386 beim SFB 386 "Diskrete Strukturen"., 2006 mehr… BibTeX

2005

  • Kostadinov, K.: Non-parametric estimation of elliptical copulae with application to credit risk. Preprint, 2005 mehr… BibTeX

2004

  • Barndorff-Nielsen, O.E., Lindner, A.M.: Some aspects of Lévy copulas. Thiele Centre, Aarhus University, Denmark, 2004, mehr… BibTeX
  • Irmingard Eder: Modell zur Analyse der Marktanteilsentwicklung in einem Markt für Vermögensgegenstände mit endogenen Preisen. Projektarbeit, 2004 mehr… BibTeX
  • Kuhn, G.: Tails of credit default portfolios. – Discussion Paper 410 beim SFB 386 "Diskrete Strukturen". Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… BibTeX
  • Lindner, A., Szimayer, A.: A limit theorem for copulas. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… BibTeX

2003

  • Ulrich Mauthner: Simulation des Varianz-Gamma-Prozesses und numerische Berechnung des Capital-at-Risk. Projektarbeit, 2003 mehr… BibTeX

2002

  • Brockwell, P. J.: Autoregressions generated by the tent map. Preprint, 2002 mehr… BibTeX
  • Klüppelberg, C., Severin, M.: Prediction of outstanding insurance claims. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2002, mehr… BibTeX
  • Kunz, A.: On extremes of multivariate stationary diffusion processes in Euclidean norm. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2002, mehr… BibTeX
  • Kunz, A.: Maxima of diffusion processes of gradient field type with respect to the level sets of the potential. Lehrstuhl für Mathematische Statistik, Technische Universität München, (Technical Reports: Mathematical Statistics), 2002, mehr… BibTeX

2001

  • Czado, C.: Individual migraine risk management using binary state space mixed models. Preprint, 2001 mehr… BibTeX
  • Kafetzaki-Boulamatsis, M., Tasche, D.: Combined market and credit risk stress testing based on the Merton model. RiskLab report, 2001, mehr… BibTeX

2000

  • Borkovec, M., and Szimayer, A.: How to explain a corporate credit spread. Lehrstuhl für Mathematische Statistik, 2000, mehr… BibTeX
  • Emmer, S., Klüppelberg, C. , and Korn, R.: Optimal portfolios with bounded downside risks. Lehrstuhl für Mathematische Statistik, 2000, mehr… BibTeX

1994

  • Czado, C.: Modeling overdispersion in binomial regression. Preprint, 1994 mehr… BibTeX
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