Prof. Dr. rer. nat. Wolfgang Schmid
Professor - aktiv
On the structure and estimation of hierarchical Archimedian copulas, submitted for publication, 2009 (with O. Okhrin and Y. Okhrin).
Nonlinear locally weighted kriging prediction for spatio-temporal environmental processes, to appear in Environmetrics, 2009 (with O. Bodnar).
Multivariate CUSUM chart: properties and enhancements, to appear in AStA - Advances in Statistical Analysis, 2009 (with V. Golosnoy and S. Ragulin).
Discussion on "Optimal Sequential Surveillance for Finance, Public Health, and Other Areas" by M. Frisen, to appear in Sequential Analysis, 2009 (with O. Bodnar).
Misleading signals in simultaneous residual schemes for the mean and the variance of a stationary process, to appear in Communications in Statistics, 2009 (with S. Knoth, M. C. Morais und A. Pacheco).
New characteristics for portfolio surveillance, to appear in Statistics (with V. Golosnoy und I. Okhrin), 2009.
Econometrical analysis of the sample efficient frontier, The European Journal of Finance, 15, 317-335, 2009 (with T. Bodnar).
Statistical inference of the efficient frontier for dependent asset returns, Statistical Papers, 50, 593-604, 2009 (with T. Bodnar and T. Zabolotskyy).
Asset allocation with distorted probability and transaction costs, European Journal of Operational Research, 194, 236-249, 2009 (with R. Kozhan).
Estimation of optimal portfolio compositions for Gaussian returns, Statistics & Decisions, 26, 179-201, 2008 (with T. Bodnar).
Comparing air quality among Italy, Germany, and Poland using BC indexes, Atmospheric Environment, 42, 8412-8421, 2008 (with O. Bodnar, M. Cameletti und A. Fasso).
Discussion on "Is Average Run Length to False Alarm always an Informative Criterion?" by Y. Mei, Sequential Analysis, 27, 392-395, 2008 (with S. Knoth).
EWMA charts for multivariate output: some stochastic ordering results, Communications in Statistics - Theory and Methods, 37, 2653-2663, 2008 (with M.C. Morais, Y. Okhrin and A. Pacheco).
Estimation of the optimal portfolio weights, International Journal of Theoretical and Applied Finance, 11, 249-276, 2008 (with Y. Okhrin).
On the existence of unbiasedestimators for the portfolio weights, AStA - Advances in Statistical Analysis, 92, 29-34, 2007 (with T. Zabolotskyy).
A test for the weights of the global minimum variance portfolio in an elliptical model, Metrika, 67, 127-143, 2008 (with T. Bodnar).
Surveillance of the mean behaviour of multivariate time series, Statistica Neerlandica, 61, p.383-406, 2007 (with O. Bodnar).
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in sigma, Statistics & Decisions, 24, p.397-413, 2007 (with M.C. Morais, Y. Okhrin and A. Pacheco).
Comparison of different estimation techniques for portfolio selection, Advances in Statistical Analysis (AStA) 91, p.109-127, 2007 (with Y. Okhrin).
EWMA control charts for monitoring optimal portfolio weights, Sequential Analysis, 26, p.195-224, 2007 (with V. Golosnoy).
The distribution of the sample variance of the global minimum variance portfolio in elliptical models, Statistics, 41, p.65-75, 2007 (with T. Bodnar).
Eighty years of control charts, Sequential Analysis 26, p.117-122, 2007.
Discussion on "Sequential Design and Estimation in Heteroscedastic Nonparametric Regression" by S. Efromovich, Sequential Analysis, 26, 53-55, 2007 (with Y. Okhrin).
Distributional properties of portfolio weights, Journal of Econometrics, 134, p.235-256, 2006 (with Y. Okhrin).
EWMA charts for monitoring the mean and autocovariances of stationary processes, Statistical Papers, 47, p.595-630, 2006 (with M. Rosolowski).
Multivariate control charts based on a projection approach, Journal of the German Statistical Society (ASTA), 89, p.75-93, 2005 (with O. Bodnar).
Surveillance of the covariance matrix of multivariate nonlinear time series, Statistics, 39, p.221-246, 2005 (with P. Sliwa).
Monitoring the cross-covariances of a multivariate time series, Metrika, 61, p.89-115, 2005 (with P. Sliwa).
Control charts for time series: a review, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.210-236, 2004 (with S. Knoth).
Statistical surveillance of the parameters of a one-factor Cox-Ingersoll-Ross model, Sequential Analysis, 23, p.379-412, 2004 (with D. Tzotchev).
EWMA charts for monitoring the mean and the autocovariances of stationary Gaussian processes, Sequential Analysis, 22, p.257-285, 2003 (with M. Rosolowski).
Tail behaviour of a general family of control charts, Statistics & Decisions, 21, p.77-90, 2003 (with Y. Okhrin).
Monitoring the mean and the variance of a stationary process, Statistica Neerlandica, 56, p.77-100, 2002 (with S. Knoth).
Sequential methods for detecting changes in the variance of economic time series, Sequential Analysis, 20, p.235-262, 2001 (with S. Schipper).
Control charts for GARCH processes, Nonlinear Analysis, 47, p.2049-2060, 2001 (with S. Schipper).
Simultaneous Shewhart-type charts for the mean and the variance of a time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.61-79, 2001 (with S. Knoth and A. Schöne).
On distributional properties of GARCH processes, Journal of Time Series Analysis, 22, p.339-352, 2001 (with M. Pawlak).
Sequential control of non-stationary processes by kernel control charts, Allgemeines Statistisches Archiv, 84, p.315-336, 2000 (with A. Steland).
On the joint distribution of a quadratic and a linear form in normal variables, Journal of Multivariate Analysis, 72, p.163-182, 2000 (with A. Schöne).
The influence of parameter estimation on the ARL of Shewhart-type charts for time series, Statistical Papers, 41, p.173-196, 2000 (with H. Kramer).
On the run length of the EWMA scheme - a monotonicity result for normal variables, Journal of Statistical Planning and Inference, 79, p.289-297, 1999 (with A. Schöne and S. Knoth).
Monitoring changes in GARCH models, Allgemeines Statistisches Archiv, 83, p.281-307, 1999 (with T. Severin).
On the robustness of Shewhart type charts, Economic Quality Control, 13, p.107-115, 1998 (with H. Kramer).
Statistical process control and its application in finance, Contributions to Economics: Risk Measurement, Econometrics and Neural Networks, Physica-Verlag, Hei, p.83-104, 1998 (with T. Severin).
On the average delay of control schemes, Advances in Stochastic Models for Reliability, Quality and Safety, E. von Collani, J. Franz, U. Jens, p.341-360, 1998 (with H. Kramer).
The effects of autocorrelation on the R-chart and the S²-chart, Sankhyã, Ser. B, 59, p.229-255, 1997 (with R. Amin).
Zur Anwendung der Statistischen Prozesskontrolle in der Wertpapieranalyse, Solutions, 1, p.71-81, 1997 (with T. Severin).
EWMA charts for multivariate time series, Sequential Analysis, 16, p.131-154, 1997 (with H. Kramer).
Some properties of the EWMA control chart in the presence of data correlation, Annals of Statistics, 25, p.1277-1283, 1997 (with A. Schöne).
CUSUM control schemes for Gaussian processes, Statistical Papers, 38, p.191-217, 1997.
On EWMA charts for time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-T. Wilrich (Eds.), Physica-Verlag, Heidelb, p.115-137, 1997.
A comparison of several procedures for identifying outliers in contaminated ARMA processes, Computational Statistics, 11, p.175-195, 1996 (with T. Flak and R. Sigmund).
Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors, Finanzmarkt und Portfolio Management, 10, p.45-52, 1996 (with F. Herrmann and R. Zagst).
An outlier test for linear processes - II. Large contamination, Metrika, 43, p.31-42, 1996 (with T. Flak).
An outlier test for time series based on a 2-sided predictor, Journal of Time Series Analysis, 17, p.497-510, 1996.
Extreme sums of strictly stationary sequences of m-dependent variables, Sankhyã, Ser. A, 57, p.186-201, 1995 (with T. Flak).
On the run length of a Shewhart chart for correlated data, Statistical Papers, 36, p.111-130, 1995.
Robustness of the standard deviation and other measures of dispersion, Biometrical Journal, 36, p.411-427, 1994 (with W. Gaus and J. Högel).
An outlier test for linear processes, Metrika, 40, p.299-318, 1993 (with T. Flak).
An optimal decision rule for identifying outliers in time series, Österreichische Zeitschrift für Statistik und Informatik, 22, p.119-133, 1992.
How to locate outliers in a time series if a starting-block is present, Sankhyã, Ser. B, 53, p.359-383, 1991.
Discussion of a LR test for detecting outliers in time series data, Statistics & Decisions, 8, p.271-294, 1990.
Outliers in a multivariate autoregressive-moving average process, Stochastic Processes and their Applications, p.117-133, 1990.
Identification of a type I outlier in an autoregressive model, Statistics, 20, p.531-545, 1989.
Asymptotical behaviour of a test of discordancy for an increasing number of outliers, Statistics & Decisions, 6, p.245-260, 1988.
The multiple outlier problem in time series analysis, Australian Journal of Statistics, 28, p.400-413, 1986.