Book

  • M. Kessler, A. Lindner and M. Sørensen (Editors) (2012)
    Statistical Methods for Stochastic Differential Equations.
    Chapman & Hall / CRC Press.   Preface and Contents (pdf)

Preprints

  • No preprints available at the moment.

Publications

  • Behme, A., Lindner, A. and Maejima, M. (2016+)
    On the range of exponential functionals of Lévy processes.
    Séminaire de Probabilités, to appear.
    Preprint version
  • Drapatz, M. and Lindner, A. (2016)
    Exchangeability and infinite divisibility.
    In: Podolskij, M., Stelzer, R., Thorbjørnsen, St. and Veraart, A. E. D. (Eds):
    The Fascination of Probability, Statistics and their Applications. In Honour of Ole E. Barndorff-Nielsen, pp. 99-126, Springer, Cham.
    Preprint version
  • Brockwell, P.J. und Lindner, A. (2015)
    Prediction of Lévy-driven CARMA processes.
    J. Econometrics 189, 263-271.
    Preprint version
  • Brockwell, P.J. and Lindner, A. (2015)
    CARMA processes as solutions of integral equations.
    Statist. Probab. Lett. 107, 221-227.
    Preprint version
  • Behme, A. and Lindner, A. (2015)
    On exponential functionals of Lévy processes.
    J. Theor. Probab. 28, 681-720, , published version
    Preprint version
  • Brandes, D.-P. and Lindner, A. (2014)
    Non-causal strictly stationary solutions of random recurrence equations.
    Statist. Probab. Lett. 94, 113-118.
    Preprint version
  • Cohen, S. and Lindner, A. (2013)
    A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process.
    Journal of Statistical Planning and Inference, 143, 1295-1306.
    http://www.sciencedirect.com/science/article/pii/S0378375813000670doi:10.1016/j.jspi.2013.03.022
    Preprint version
  • Brockwell, P.J. and Lindner, A. (2013)
    Integration of CARMA processes and spot volatility modelling.
    J. Time Series Anal. 34156-167.
    Preprint version
  • Brockwell, P.J., Lindner, A. and Vollenbröker, B. (2012)
    Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise.
    Ann. Inst. Statist. Math. 64, 1089-1119.
    Preprint version
  • Bender, C., Lindner, A. and Schicks, M. (2012)
    Finite variation of fractional Lévy processes. 
    J. Theor. Probab. 25, 594-612.
    Preprint version
  • Behme, A. and Lindner, A. (2012)
    Multivariate generalized Ornstein-Uhlenbeck processes. 
    Stoch. Proc. Appl. 122, 1487-1518.
    Preprint version
  • Brockell, P.J. und Lindner, A. (2012)
    Ornstein-Uhlenbeck related models driven by Lévy processes.
    In: M. Kessler, A. Lindner and M. Sørensen (Eds.)
    Statistical Methods for Stochastic Differential Equations.
    Chapman & Hall / CRC Press, 383-427.
    Introduction_pdf  
  • Brockwell, P.J. and Lindner, A. (2012)
    Lévy-driven time series models for financial data. 
    In: T. Subba Rao and C.R. Rao (Eds), Handbook of Statistics, Volume 30, Time Series Analysis: Methods and Applications, pp. 543-563. Elsevier, Amsterdam, 543-563.
    Preprint version
  • Behme, A., Lindner, A. and Maller, R. (2011)
    Stationary solutions of the stochastic differential equation dV_t = V_{t-} dU_t + dL_t with Lévy noise
    Stoch. Proc. Appl. 12191-108.
    Preprint version
  • Lindner, A. and Sato, K. (2011)
    Properties of stationary distributions of a sequence of generalized Ornstein-Uhlenbeck processes.
    Mathematische Nachrichten 284, 2225-2248.
    Preprint version
  • Aoyama, T., Lindner, A. and Maejima, M. (2010)
    A new family of mappings of infinitely divisible distributions related to the Goldie-Steutel-Bondesson class.
    Electron. J. Probab. 15, 1119-1142.
    Preprint version
  • Brockwell, P.J. and Lindner, A. (2010) 
    Strictly stationary solutions of autoregressive moving average equations.
    Biometrika 97765-772.
    Preprint version
  • Klüppelberg, C. and Lindner, A. (2010)
    Stochastic volatility models: Extremal behavior.
    In: Cont, R. (Ed.), Encyclopedia of Quantitative Finance, pp. 1741-1748. Wiley, Chichester.
    Preprint version
  • Brockwell, P.J. and Lindner, A. (2009)
    Existence and uniqueness of stationary Lévy-driven CARMA processes.
    Stoch. Proc. Appl. 119, 2660-2681.
    Preprint version
  • Brachner, C., Fasen, V. and Lindner, A. (2009)
    Extremes of autoregressive threshold models.
    Advances Appl. Probab. 41, 428-451.
    Preprint version
  • Lindner, A. and Sato, K. (2009)
    Continuity properties and infinite divisibility of stationary distributions of some generalised Ornstein-Uhlenbeck processes.
    Ann. Probab. 37, 250-274.
    Preprint version
  • Lindner, A.M. (2009)
    Continuous time approximations to GARCH and stochastic volatility models:
    In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, Th. (Eds.), Handbook of Financial Time Series, pp.43-69. Springer, Berlin.
    Preprint version
  • Lindner, A.M. (2009)
    Stationarity, mixing, distributional properties and moments of GARCH(p,q)-processes: In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, Th. (Eds.),Handbook of Financial Time Series, pp.481-496. Springer, Berlin.
    Preprint version
  • Bertoin, J., Lindner, A. and Maller, R. (2008)
    On continuity properties of the law of integrals of Lévy process:
    In: Donati-Martin, C., Émery, M., Rouault, A. and Stricker, C. (Eds.), Séminaire de Probabilités XLI, Lect. Notes Math. 1934, pp. 137-159. Springer.
    Preprint version
  • Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M. (2007)
    Method of moment estimation in the COGARCH(1,1) model.
    The Econometrics Journal 10, 320-341.
    Preprint version
  • Barndorff-Nielsen, O.E. and Lindner, A. (2007)
    Lévy copulas: dynamics and transforms of Upsilon type.
    Scan. J. Statistics 34, 298-316.
    Preprint version
  • Brockwell, P.J., Chadraa, E. and Lindner, A. (2006)
    Continuous time GARCH processes.
    Ann. Appl. Probab. 16, 790-826.
    Preprint version
  • Casazza, P., Christensen, O., Li, S. and Lindner, A. (2006)
    Density results for frames of exponentials.
    In: Heil, C. (Ed.), Harmonic Analysis and Applications. In Honor of John J. Benedetto, pp. 359-369, Birkhäuser. 
    Preprint version
  • Klüppelberg, C., Lindner, A. and Maller, R. (2006)
    Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models.
    In: Kabanov, Y., Liptser, R. and Stoyanov, J. (Eds.), The Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance, pp. 393-419. Springer, Berlin.
    Preprint version
  • Fasen, V., Klüppelberg, C. and Lindner, A. (2006)
    Extremal behavior of stochastic volatility models.
    In: Grossinho, M.d.R., Shiryaev, A.N., Esquivel, M and Oliviera, P.E. (Eds.),Stochastic Finance, pp. 107--155. Springer, New York.
    Preprint version
  • Lindner, A. and Maller, R. (2005)
    Lévy integrals and stationarity of generalised Ornstein-Uhlenbeck processes.
    Stoch. Proc. Appl. 115, 1701-1722.
    Preprint version
  • Klüppelberg, C. and Lindner, A. (2005)
    Extreme value theory for moving average processes with light-tailed innovations.
    Bernoulli 11, 381-410.
    Preprint version
  • Casazza, P., Christensen, O., Lindner, A. and Vershynin, R. (2005)
    Frames and the Feichtinger Conjecture.
    Proc. Amer. Math. Soc. 133, 1025-1033.
    Preprint version
  • Klüppelberg, C., Lindner, A. and Maller, R. (2004)
    A continuous time GARCH process driven by a Lévy process: stationarity and second order behaviour.
    J. Appl. Probab. 41, 601-622.
    Preprint version
  • Jaschke, S., Klüppelberg, C. and Lindner, A. (2004)
    Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
    J. Multivariate Anal. 88, 252-273.
    Preprint version
  • Christensen, O. and Lindner, A. (2002)
    Decomposition of Riesz frames and wavelets into a finite union of linearly independent sets.
    Lin. Alg. Appl. 355, 147-159.
    Preprint version
  • Lindner, A. (2002)
    Growth estimates for sine-type functions and applications to Riesz bases of exponentials.
    Approx. Theory Appl. (N.S.) 18, 26-41.
    Preprint version
  • Casazza, P., Christensen, O., Li, S. and Lindner, A. (2002)
    On Riesz Fischer sequences and lower frame bounds.
    Z. Anal. Anwend. 21, 305-314.
    Preprint version
  • Christensen, O. and Lindner, A. (2001)
    Lower bounds for finite Gabor and Wavelet systems.
    Approx. Theory Appl. (N.S.) 17, 18-29.
    Preprint version
  • Christensen, O. and Lindner, A. (2001)
    Frames containing a Riesz basis and approximation of the inverse frame operator.
    In: Hausmann, W., Jetter, K. und Reimer, M. (Eds.), Recent Progress in Multivariate Approximations, pp. 89-100. Birkhäuser.
    Preprint version
  • Christensen, O. and Lindner, A. (2001)
    Frames of exponentials: lower frame bounds for finite subfamilies and approximation of the inverse frame operator.
    Lin. Alg. Appl. 323, 117-130.
    Preprint version
  • Lindner, A. (2000)
    A universal constant for exponential Riesz sequences.
    Z. Anal. Anwend. 19, 553-559.
    Preprint version
  • Lindner, A. (1999)
    On lower bounds of exponential frames.
    J. Fourier Anal. Appl. 5, 187-194.
    Preprint version

Conference Proceedings

  • Christensen, O. and Lindner, A.M. (2000)
    Lower bounds for finite wavelet and Gabor systems.
    Wavelet Applications in Signal and Image Processes VIII (Eds. Aldroubi, A., Laine, A.F. und Unser, M.A.), 31 July - 4 August 2000, San Diego, USA. Proceedings of SPIE, Vol. 4119, pp. 420-424.
  • Christensen, O. und Lindner, A. (1999)
    Estimates of lower frame bounds for finite exponential frames and an application to an infinite dimensional problem.
    Proceedings of the 1999 International Workshop on Sampling Theory and Applications, August 11 - 14, 1999, Leon, Norway, pp. 88-90.

Theses

  • Lindner, A.M. (2004) Dependence modelling of financial data - discrete and continuous time models. Habilitationsschrift, TU München.
  • Lindner, A. (1999) Über exponentielle Rahmen, insbesondere exponentielle Riesz-Basen. Doctoral-Thesis, Univ. Erlangen-Nürnberg.
  • Lindner, A. (1998) Untere Schranken für exponentielle Rahmen. Diploma thesis, Univ. Erlangen-Nürnberg.