Torben Staud, PhD

Torben Staud, PhD

Consultant in financial services

Publications

Bootstrapping Estimators based on the Block Maxima Method

Published in Journal of the Royal Statistical Society, Series B (Statistical Methodology), 2025

In this paper bootstrapping of block maxima estimators is considered. Consistency results and limit theorems are provivded. Large scale High Performance Cluster-powered simulation studies are conducted. The application is demonstrated via a case study involving precipation extremes at a weather station in Germany.

Recommended citation: Bücher, A., Staud, T. (2025). "Bootstrapping Estimators based on the Block Maxima Method" To appear in: Journal of the Royal Statistical Society, Series B (Statistical Methodology)

On the maximal correlation coefficient for the bivariate Marshall Olkin distribution

Published in Statistics & Probability Letters, 2024

We prove a formula for the maximal correlation coefficient of the bivariate Marshall Olkin distribution that was conjectured in Lin, Lai, and Govindaraju (2016, Stat. Methodol., 29:1–9).

Recommended citation: Bücher, A., Staud, T. (2025). "On the maximal correlation coefficient for the bivariate Marshall Olkin distribution" Statistics and Probability Letters, Vol. 219, 110323.

Limit theorems for non-degenerate U-statistics of block maxima for time series

Published in Electronic Journal of Statistics, 2024

In this paper U-statistics of multivariate disjoint and sliding block maxima for time series are considered. Limit theorems and finite-sample simulation studies are presented.

Recommended citation: Bücher, A., Staud, T. (2024). "Limit theorems for non-degenerate U-statistics of block maxima for time series " Electron. J. Statist. 18(2): 2850-2885.

Theses