Publications

Ongoing research projects

• Graphical models for stable processes, joint work with Sebastian Engelke
• Infinitely divisible exponent measure priors for multivariate survival functions
• Asymptotic distribution and bootstrap of Kernel-Stein-discrepancy estimators, joint work with Aleksey Min and Veronika Reimoser
• Generative neural networks for Lévy processes, joint work with Dominik de Witte

Preprints

• Generative neural networks for characteristic functions, submitted
• Distribution free MMD tests for model selection with estimated parameters, submitted, joint work with Jean-David Fermanian and Aleksey Min

Published papers

• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences, Journal of Multivariate Analysis, 2023
• Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes, Extremes, 2023, joint work with Matthias Scherer and Jan-Frederik Mai
• A corrected Clarke test for model selection and beyond, Journal of Econometrics, 2023, joint work with Jean-David Fermanian and Aleksey Min

Theses

• Dissertation: Exchangeable Minimum-Infinitely Divisible Sequences: Characterization, Simulation And A Detour To Model Selection, 2023
• Master thesis: Clarke’s Test For Non-Nested Model Comparison, 2019