Statistics for Stochastic Processes

Submitted by vetter@math.un… on Tue, 09/05/2023 - 16:15
University
Kiel University
Faculty/school/department
Department of Mathematics
Size of the team
number of researchers number of supporting staff number of PhD students
1
1
3
PI
PI name
Mathias Vetter
PI email
vetter@math.uni-kiel.de
PI bio

2001-2006: Diploma in Mathematics (Ruhr-Universität Bochum)

2006-2008: PhD in Mathematical Statistics (Ruhr-Universität Bochum, supervision by Holger Dette and Mark Podolskij)

2008-2013: PostDoc (various positions, mostly in Bochum)

2013-2015: Professor for Stochastics (Philipps-Universität Marburg)

2015-present: Professor for Probability Theory and Mathematical Statistics (Christian-Albrechts-Universität zu Kiel)

Contact person and e-mail
Contact person
Mathias Vetter
Contact person e-mail
vetter@math.uni-kiel.de
WWW
https://www.math.uni-kiel.de/stochastik/de/vetter/prof.-dr.-mathias-vetter
Short description of research profile

Fields of research:

  • Statistics for Stochastic Processes in Continuous Time 
  • Time Series Analysis
  • Econometrics
  • Nonparametric Statistics
Research area
NATURAL SCIENCES » Mathematics
Scientific Themes (keywords)
Statistics
Stochastic Processes
Time Series
Publications

Representative publications

M. Vetter (2021): A universal approach to estimate the conditional variance in semimartingale limit theorems. Annals of the Institute of Statistical Mathematics 73, 1089-1125.
O. Martin und M. Vetter (2018): Testing for simultaneous jumps in case of asynchronous observations. Bernoulli 24, 3522-3567.
M. Bibinger, M. Jirak und M. Vetter (2017): Nonparametric change-point analysis of volatility. Annals of Statistics 45, 1542-1578.
A. Bücher, M. Hoffmann, M. Vetter und H. Dette (2017): Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process. Bernoulli 23, 1335-1364.
M. Vetter (2015): Estimation of integrated volatility of volatility with applications to goodness-of-fit testing. Bernoulli 21, 2393-2418.

Link to extended list of publication

https://www.math.uni-kiel.de/stochastik/de/vetter/publikationen