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Publikationen von Prof. Dr. Holger DreesMonografien
Drees, H. (1998). Habilitation: Estimating the Extreme Value Index, University of Cologne.
Drees, H. (1993). PhD: Refined estimation of the extreme value index. University of Siegen.
Drees, H. (1990). Diploma: Über den Kolmogorov-Smirnov Test beim Signalerkennungsproblem mit Gaußschem weißem Rauschen. University of Dortmund.
Referierte Veröffentlichungen
Drees, H. (2008). Some aspects of extreme value statistics under serial dependence. Extremes 11, 35-53. preprint version: pdf-file
Drees, H., and Müller, P. (2008). Fitting and validation of a bivariate model for large claims. Insurance: Mathematics and Economics 42, 638-650. preprint version: pdf-file
Drees, H., de Haan, L.. and Li, D. (2006). Approximations to the tail empirical distribution function with application to testing extreme value conditions. Journal of Statistical Planning and Inference 136, 3498-3538. preprint version: zipped ps-file, pdf-file
Draisma, G, Drees, H., Ferreira, A. and de Haan, L. (2004). Bivariate tail estimation: dependence in asymptotic independence. Bernoulli 10, 251-280. preprint version: zipped ps-file, pdf-file
Drees, H., Ferreira, A. and de Haan, L. (2004). On the maximum likelihood estimation of tghe extreme value index. Annals of Applied Probability 14, 1179-1201. preprint version: zipped ps-file, pdf-file
Drees, H. (2003). Extreme Quantile Estimation for Dependent Data with Applications to Finance. Bernoulli 9, 617-657. preprint version: zipped ps-file, pdf-file
Drees, H., de Haan, L. and Li, D. (2003). On large deviations for extremes. Statistics & Probability Letters 64, 51-62. preprint version: zipped ps-file, pdf-file
Drees, H. (2002). Tail empirical processes under mixing conditions. In: H.G. Dehling, T. Mikosch and M. Sorensen (eds.), Empirical Process Techniques for Dependent Data, 325-342. Birkhäuser, Boston. preprint version (ps-file)
Drees, H. (2001). Exceedance Probability. In A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.): Encyclopedia of Environmetrics Vol. 2, 728-729, Wiley, Chichester.
Drees, H. (2001). Exceedance over Threshold. In A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.): Encyclopedia of Environmetrics Vol. 2, 715-728, Wiley, Chichester.
Drees, H. (2001). Minimax risk bounds in extreme value theory. Annals of Statistics 29, 266-294. preprint version (ps-file)
Drees, H. (2001). Threshold Models. In A.H. El-Shaarawi und W.W. Piegorsch (Hrsg.): Encyclopedia of Environmetrics Vol. 4, 2181-2187, Wiley, Chichester.
Drees, H. (2000). Weighted Approximations of Tail Processes for ß-Mixing Random Variables. Annals of Applied Probability 10, 1274-1301.preprint version (ps-file)
Drees, H., de Haan, L. and Resnick, S. (2000). How to make a Hill plot. Annals of Statistics 28, 254-274. preprint version (ps-file)
Drees, H. (1999). On fixed-length confidence intervals for a bounded normal mean. Statistics and Probability Letters 44, 399-404. preprint version (ps-file)
Drees, H. and de Haan, L. (1999). Conditions for quantile process approximations. Stochastic Models 15, 485-502.
Drees, H. (1998). A general class of estimators of the extreme value index. Journal of Statistical Planning and Inference 66, 95-112.
Drees, H. (1998). On smooth statistical tail functionals. Scandinavian Journal of Statististics 25, 187-210. preprint version (ps-file)
Drees, H. (1998). Optimal rates of convergence for estimates of the extreme value index. Annals of Statistics 26, 434-448. preprint version (ps-file)
Drees, H. and Huang, X. (1998). Best attainable rates of convergence for estimators of the stable tail dependence function. Journal of Multivariate Analysis 64, 25-47.
Drees, H. and Kaufmann, E. (1998). Selecting the optimal sample fraction in univariate extreme value statistics. Stochastic Processes and Their Applications 75, 149-172.
Drees, H., Milbrodt, H. and Schlüter, V. (1998). Curbing the rising premiums for older policy holders in German private health insurance III. In: Transactions of the 26th International Congress of Actuaries, Birmingham 1998, 85-99.
Drees, H. (1996). Refined Pickands estimator with bias correction. Communications in Statistics 25, 837-851.
Drees, H. and Reiss, R.-D. (1996). Residual life functionals at great age. Communications in Statistics 25, 823-835.
Drees, H., Maas, B. and Milbrodt, H. (1996). Curbing the rising premiums for older policy holders in German private health insurance II (in German, English abstract). Blätter der DGVM XXIII, 581-590.
Drees, H. (1995). Refined Pickands estimators of the extreme value index. Annals of Statistics 23, 2059-2080.
Drees, H. and Milbrodt, H. (1995). Curbing the rising premiums for older policy holders in German private health insurance - a simulation study (in German, English abstract). Blätter der DGVM XXII, 393-418.
Drees, H. and Kaufmann, E. (1994). Poisson approximation of point processes of exceedances under von Mises conditions. In: Galambos, J. et al. (eds.): Extreme Value Theory and Applications, Vol. 3., 95-102.
Drees, H. and Milbrodt, H. (1994). The one-sided Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise. Statistica Neerlandica 48, 103-116.
Drees, H. and Reiss, R.-D. (1992). Tail behavior in Wicksell's corpuscle problem. In: Galambos, J. and Katai, I. (eds.): Probability Theory and Applications. Kluwer Academic Publishers, Dordrecht, 205-220.
Drees, H. and Milbrodt, H. (1991). Components of the two-sided Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise. Journal of Statistical Planning and Inference 29, 325-335.
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