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Mathematics

D-Index
31
Citations
3196
World Ranking
3387
National Ranking
207

Overview

Michael H. Neumann is a researcher affiliated with Friedrich Schiller University Jena in Germany. Their academic work spans multiple fields with significant contributions in Mathematics, Economics, Econometrics and Finance, and Computer Science.

The primary subfields of study for Neumann include:

  • Statistics and Probability
  • Finance
  • Artificial Intelligence
  • Signal Processing
  • Statistics, Probability and Uncertainty

The main research topics covered in their publications are:

  • Statistical Methods and Inference
  • Financial Risk and Volatility Modeling
  • Bayesian Methods and Mixture Models
  • Statistical Distribution Estimation and Applications
  • Advanced Statistical Process Monitoring
  • Monetary Policy and Economic Impact
  • Forecasting Techniques and Applications

Neumann has contributed to the following frequent publication venues:

  • arXiv (Cornell University)
  • Bernoulli
  • Latin American Journal of Probability and Mathematical Statistics
  • Statistica Neerlandica
  • The Annals of Applied Probability

The following papers highlight some of their recent work:

  • Bootstrap for integer-valued GARCH(p, q) processes, 2021, Statistica Neerlandica
  • Mixing properties of integer-valued GARCH processes, 2021, Latin American Journal of Probability and Mathematical Statistics
  • Stationarity and ergodic properties for some observation-driven models in random environments, 2023, The Annals of Applied Probability
  • On Integrated L 1 Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations, 2020, IEEE Transactions on Information Theory
  • Consistency of a nonparametric least squares estimator in integer-valued GARCH models, 2022, Journal of nonparametric statistics

Neumann frequently collaborates with other researchers, including:

  • Anne Leucht
  • Paul Doukhan
  • Lionel Truquet
  • Zinsou Max Debaly
  • Naushad Mamode Khan

Best Publications

  • Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra

    Michael H. Neumann;Rainer von Sachs

  • On the effect of estimating the error density in nonparametric deconvolution

    Michael H. Neumann;O. Hössjer

  • Nonparametric estimation for Lévy processes from low-frequency observations

    Michael H. Neumann;Markus Reiß

  • Exact Risk Analysis of Wavelet Regression

    J. S. Marron;S. Adak;I. M. Johnstone;M. H. Neumann

  • Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options

    Michael Neumann;George Skiadopoulos

  • Absolute regularity and ergodicity of Poisson count processes

    Michael H. Neumann

  • SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON‐GAUSSIAN TIME SERIES

    Michael H. Neumann

  • Simultaneous bootstrap confidence bands in nonparametric regression

    Michael H. Neumann;Jörg Polzehl

  • A Wavelet‐Based Test for Stationarity

    Rainer Von Sachs;Michael H. Neumann

  • Probability and moment inequalities for sums of weakly dependent random variables, with applications

    Paul Doukhan;Michael H. Neumann

  • Regression-type inference in nonparametric autoregression

    Michael H. Neumann;Jens-Peter Kreiss

  • Problems related to confidence intervals for impulse responses of autoregressive processes

    Alexander Benkwitz;Michael H. Neumann;Helmut Lütekpohl

  • Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes

    Rainer Dahlhaus;Michael H. Neumann;Rainer Von Sachs

  • Bootstrapping Neural Networks

    Jürgen Franke;Michael H. Neumann

  • Dependent wild bootstrap for degenerate U- and V-statistics

    Anne Leucht;Michael H. Neumann

  • Wavelet Thresholding: Beyond the Gaussian I.I.D. Situation

    Michael H. Neumann;Rainer von Sachs

  • Fully Data-Driven Nonparametric Variance Estimators

    Michael H. Neumann

  • An exponential inequality under weak dependence

    Raoul S. Kallabis;Michael H. Neumann

  • Deconvolution from panel data with unknown error distribution

    Michael H. Neumann

  • Bootstrap tests for simple structures in nonparametric time series regression

    Jens-Peter Kreiss;Michael H. Neumann;Qiwei Yao

  • Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes

    Rainer Dahlhaus;M. Neumann;R. von Sachs

Frequent Co-Authors

Ralf Schulz
Ralf Schulz University of Koblenz and Landau
Konstantinos Fokianos
Konstantinos Fokianos University of Cyprus
Efstathios Paparoditis
Efstathios Paparoditis University of Cyprus
Hans Peter H. Arp
Hans Peter H. Arp Norwegian University of Science and Technology
Matthias Liess
Matthias Liess Helmholtz Centre for Environmental Research
Enno Mammen
Enno Mammen Heidelberg University
Sarah E. Hale
Sarah E. Hale Norwegian Geotechnical Institute
James Stephen Marron
James Stephen Marron University of North Carolina at Chapel Hill
Urs Berger
Urs Berger Helmholtz Centre for Environmental Research
Hans-Ulrich Prokosch
Hans-Ulrich Prokosch University of Erlangen-Nuremberg

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