Dr. Dirk Brandes

Thesis

  • CARMA Models with Random Coefficients and Inference for Renewal Sampled Lévy Driven Moving Average Processes, PhD Thesis, Ulm University 2018, supervisor Prof. Dr. Alexander Lindner. PDF.
  • Strikt stationäre CARMA-Prozesse, Master Thesis, TU Braunschweig 2014, supervisor Prof. Dr. Alexander Lindner.
  • Stationäre Lösungen von AR(1) Gleichungen mit zufälligen Koeffizienten, Bachelor Thesis, TU Braunschweig 2012, supervisor Prof. Dr. Alexander Lindner.

Publications

  • Brandes, D.-P. and Curato, I. V. (2018). On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence. Submitted.
  • Brandes, D.-P. (2017). Continuous time autoregressive moving average processes with random Lévy coefficients. ALEA 14, 219-244.
  • Brandes, D.-P. and Lindner, A. (2014). Non-casual strictly stationary solutions of random recurrence equations. Statist. Probab. Lett. 94, 113-118.

Conferences

  • Conference on non-stationarity, June 04-06, 2018, Cergy-Pontoise, France.
  • 13th German Probability and Statistics Days, February 27 - March 02, 2018, Freiburg, Germany. (Talk)
  • Workshop on Lévy Processes and Time Series: In Honour of Peter Brockwell and Ross Maller, September 11-15, 2017, Ulm, Germany. (Talk)
  • 31st European Meeting of Statistician, July 24-28, 2017, Helsinki, Finland. (Talk)
  • 4th International Workshop on Probability, Analysis and Geometry, September 26-30, 2016, Moscow, Russia. (Talk)
  • 8th International Conference on Lévy Processes, July 25-29, 2016, Angers, France.
  • Satellite Summer School to the 8th International Conference on Lévy Processes, July 18-22, 2016, Lille, France. (Talk)
  • Workshop on Extreme Value and Time Series Analysis, March 21-23, 2016, Karlsruhe, Germany. (Poster)
  • 12th German Probability and Statistics Days, March 01-04, 2016, Bochum, Germany. (Talk)
  • 3rd Workshop on Analysis, Geometry and Probability, September 28 - October 2, 2015, Ulm, Germany.
  • Workshop on Lévy Processes and their Applications, May 28-29, 2015, Mannheim, Germany.

Address

Ulm University
Institute of Mathematical Finance
Helmholtzstraße 18, Room 1.61
89081 Ulm, Germany

Contact

Phone: +49 (0)731 / 50-23654

e-mail:  Dirk Brandes

Office hours: Please make an appointment via e-mail.