Preprints and Publications:
- Noise fit, estimation error and a Sharpe information criterion, submitted. (with D. Paulsen)
- Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions. Annals of Statistics, 45(4):1664-1693, 2017. (with R. Nickl)
- Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift. ESAIM P&S, 20:432-462, 2016. (with M. Trabs)
- High-frequency Donsker theorems for Lévy measures. Probability Theory and Related Fields, 164(1):61-108, 2016. (with R. Nickl, M. Reiß and M. Trabs)
- Uniform central limit theorems for the Grenander estimator. Electronic Journal of Statistics, 9(1):1404-1423, 2015.
- Option calibration of exponential Lévy models: Confidence intervals and empirical results. Journal of Computational Finance, 18(2):91-119, 2014. (with M. Trabs)
- Confidence sets in nonparametric calibration of exponential Lévy models. Finance and Stochastics, 18(3):617-649, 2014.
- A uniform central limit theorem and efficiency for deconvolution estimators. Electronic Journal of Statistics, 6:2486-2518, 2012. (with M. Trabs)
- Polar sets for anisotropic Gaussian random fields. Statistics and Probability Letters, 80(9-10):840-847, 2010.
- This academic year I was teaching Advanced Statistics, Calculus I and Introduction to Probability and Statistics in Delft.
- Last academic year I was lecturing the course Statistics for Stochastic Processes in Cambridge.
I am assistant professor at TU Delft.
My research interests are statistics for stochastic processes, nonparametric statistics, shape restricted inference, empirical processes and applications in finance.
Before coming to TU Delft I did my postdoc with Richard Nickl at the Statistical Laboratory of the University of Cambridge.
I wrote my PhD thesis under the supervision of Markus Reiß at the Humboldt-Universität zu Berlin.
Links: Statistics Group, People in Statistics