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Wirtschafts- und Sozialwissenschaftliche FakultätInstitut für Ökonometrie und Statistik

Liste der Publikationen

Prof. Dr. Friedrich Schmid

Bücher

  • Beschreibende Statistik und Wirtschaftsstatistik, 4th edition (with K. Mosler). 254 pages, Berlin (Springer) 2009.
  • Wahrscheinlichkeitsrechnung und schließende Statistik, 4th edition (with K. Mosler). 347 pages, Berlin (Springer) 2011.
  • Finanzmarktstatistik (with M. Trede), 267 pages, Berlin (Springer) 2006.

Wissenschaftliche Arbeiten

  • A multivariate extension of  the Lorenz-curve based on Copulas and a related multivariate Gini coefficient (with Oliver Grothe and Fabian Kaechele) arXiv:2101.04748v1[stat.ME] 12. Jan 2021

  • Nonparametric Estimation of Copula-based Measures of Multivariate Association from Contingency Tables (with T. Blumentritt), Journal of Statistical Computation and Simulation, Vol. 84, No. 4, 781-797, 2014.

  • Dependence of Stock Returns in Bull and Bear Markets (with J. Dobric and G. Frahm), Dependence Modeling, Vol. 1, 94-110, 2013.

  •  Measuring Large Comovements in Financial Markets (with J. Penzer and R. Schmidt), Quantitative Finance, Vol. 12, No. 7, 1037-1049, 2012.

  • Mutual Information as a measure of multivariate association: Analytical properties and statistical inference (with T. Blumentritt), Journal of Statistical Computation and Simulation, Vol. 82, No. 9, 1257-1274, 2012.

  • Kendall's W reconsidered (with O. Grothe), Communications in Statistics - Simulation and Computation, Vol. 40, No. 2, 285-305, 2011.

  • On testing Equality of Pairwise Rank Correlations in a Multivariate Random Vector (with S. Gaisser), Journal of Multivariate Analysis, Vol. 101, No. 10, 2598-2615, 2010.

  • A Multivariate Version of Hoeffding’s Phi-Square (with S. Gaisser and M. Ruppert), Journal of Multivariate Analysis, Vol. 101, No. 10, 2571-2586, 2010.

  • Statistical Inference for Sharpe's Ratio (with R. Schmidt),
    In: A. Berkelaar, J. Coche, K. Nyholm (eds.) Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds , Palgrave Macmillan, 2010.

  • Copula-Based Measures of Multivariate Association (with T. Blumentritt, S. Gaißer, M. Ruppert, R. Schmidt),
    In: F. Durante, W. Härdle, P. Jaworski, T. Rychlik (eds.) Workshop on Copula Theory and its Applications. Springer, 2010.

  • Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail-dependence (with R. Schmidt), Metrika, Vol. 66, 323-354, 2007.

  • Multivariate conditional versions of Spearman's rho and related measures of tail dependence (with R. Schmidt), Journal of Multivariate Analysis, Vol. 98, No. 6, 1123-1140, 2007.

  • A goodness of fit test for copulas based on Rosenblatt's transformation (with J. Dobric), Computational Statistics & Data Analysis, Vol. 51, No. 9, 4633-4642, 2007.

  • Multivariate Extensions of Spearman's Rho and Related Statistics (with R. Schmidt), Statistics and Probability Letters, Vol. 77, No. 4, 407-416, 2007.

  • Bootstrapping Spearman's multivariate rho (with R. Schmidt), COMPSTAT, Proceedings in Computational Statistics, Edited by Alfredo Rizzi and Maurizio Vichi, 2006.

  • Nonparametric estimation of the coefficient of overlapping-theory and empirical application (with A. Schmidt), Computational Statistics & Data Analysis, Vol. 50, No. 6, 1583-1596, 2006.

  • A note on third degree stochastic dominance, OR Spectrum, Vol. 27, No. 4, 653-655, 2005.

  • Testing Goodness of Fit for Parametric Families of Copulas -- Application to Financial Data
    (with J. Dobric), Communications in Statistics: Simulation and Computation, Vol. 34, No. 4, 1053-1068, 2005.

  • Nonparametric Estimation of the Lower Tail Dependence l in Bivariate Copulas (with J. Dobric) Journal of Applied Statistics, Vol. 32, No. 4, 387-407, 2005.

  • The effect of conditional heteroskedasticity on common statistical procedures for means and variances (with H. Kläver), Allgemeines Statistisches Archiv, Vol. 88, No. 4, 397-407, 2004.

  • Power of tests for stochastic order when observations are paired (with S. Kraft), Allgemeines Statistisches Archiv, Vol. 87, 239-255, 2003.

  • Simple Tests for Peakedness, Fat Tails and Leptokurtosis based on Quantiles (with M. Trede), Computational Statistics & Data Analysis, Vol. 43, No. 1, 1-12, 2003.

  • Nonparametric Tests based on Area-Statistics (with S. Kraft), Communication in Statistics - Simulation and Computation, Vol. 31, No. 4, 619-640, 2002.

  • Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s (with M. Trede), Jahrbücher für Nationalökonomie und Statistik, Vol. 220, No. 3, 315-326, 2000.

  • Nonparametric Tests based on Area-Statistics (with S. Kraft), Bulletin of the International Statistical Institute, 52nd session, 173-174, 1999.

  • Distribution of German Stock Returns Normal Mixtures Revisited (with A. Stich), in: Mathematische Methoden der Wirtschaftswissenschaften, Festschrift für Otto Opitz, hrsg. von Wolfgang Gaul, Martin Schader, Physica: Heidelberg, 272-281, 1999.

  • Nonparametric Tests for Second Order Stochastic Dominance from Paired Observations: Theory and Empirical Application (with M. Trede), in: Wirtschafts- und Sozialstatistik: Theorie und Praxis, Festschrift für Walter Krug, hrsg. von Peter von der Lippe, Norbert Rehm, Heinrich Strecker, Rolf Wiegert, S.31-46, 1997.

  • A Kolmogorov-Type Test for Second Order Stochastic Dominance (with M. Trede), Statistics and Probability Letters, Vol. 37, No. 2, 183-193, 1998.

  • Nonparametric Inference for Second Order Stochastic Dominance (with M. Trede), Discussion Papers in Statistics and Econometrics, February 1996.

  • Testing for First Order Stochastic Dominance in Either Direction (with M. Trede), Computational Statistics, Vol. 11, 165-173, 1996.

  • Testing for First Order Stochastic Dominance: A New Distribution Free Test (with M. Trede), The Statistician, Vol. 45, 371-380, 1996.

  • Power of Tests for Uniformity when Limits are Unknown (with M. Schader), Journal of Applied Statistics, Vol. 24, No. 2, 193-205, 1997.

  • A non standard chi-square-test of fit for testing uniformity with unknown limits, Statistical Papers Vol. 37, No. 4, 365-373, 1996.

  • Modifications of the Kolmogorov, Cramer-von Mises, and Watson Tests for Testing Uniformity with Unknown Limits (with W. Krumbholz und M. Schader), Communications in Statistics, Simulation and Computation, Vol. 25, No. 4, 1093-1104, 1996.

  • An L1-Variant of the Cramer-von Mises Test (with M. Trede), Statistics and Probability Letters, Vol. 26, No. 1, 91-96, 1996.

  • A Distribution Free Test for the Two Sample Problem for General Alternatives (with M. Trede), Computational Statistics and Data Analysis, Vol. 20, No. 4, 409-419, 1995.

  • Zur Messung der interdistributionellen Einkommensungleichheit - inferentielle Verfahren, Allgemeines Statistisches Archiv 79, 278-288, 1995.

  • Zur Messung der interdistributionellen Einkommensungleichheit - theoretische Begründung und deskriptive Verfahren, Allgemeines Statistisches Archiv, Vol. 78, 410-420, 1994.

  • Bounding Distribution Functions and Quantiles from Grouped Data when Group Means are Known, Metron LII, 1994.

  • A General Class of Poverty Measures, Statistische Hefte, Vol. 34, 189-211, 1993.

  • Fitting Parametric Lorenz Curves to Grouped Income Distributions - A Critical Note (with M. Schader), Empirical Economics, Vol. 19, 361-370, 1994.

  • Decomposition of Inequality Measures: Theory and Empirical Application, in: Models and Measurement of Inequality and Welfare (Eichhorn, W. ed.), Springer Verlag, 1994.

  • Measuring Interdistributional Inequality, Bulletin of the International Statistical Institute, 49th Session, 1993.

  • Einkommensdisparität der privaten Haushalte in der Bundesrepublik Deutschland 1950-1988: Einige Ergebnisse der Auswertung von Daten des DIW, Vierteljahreshefte zur Wirtschaftsforschung, Heft 3/4, 1992.

  • Estimating the Asymptotic Covariance Matrix for Maximum Likelihood Estimators from Grouped Data when using the EM Algorithm (with M. Schader), Computational Statistics Quarterly 2, 1991.

  • Zur Sensitivität von Disparitätsmaßen, Allgemeines Statistisches Archiv, Vol. 75, 1991.

  • Charting Small Sample Characteristics of Asymptotic Confidence Intervals for the Binomial Paramater p (with M. Schader), Statistische Hefte (Statistical Papers), Vol. 31, No. 1, 1990.

  • Two Rules of Thumb for the Approximation of the Binomial by the Normal Distribution (with M. Schader), The American Statistician, Vol. 43, No. 1, 1989.

  • Small Sample Properties of the Maximum Likelihood Estimators of the Parameters µ and s from a Grouped Sample of a Normal Population (with M. Schader), Communications in Statistics, Computation and Simulation, Vol. 17, No. 1, 1988.

  • Zur Messung der relativen Konzentration aus gruppierten Daten (with M. Schader), Jahrbücher für Nationalökonomie und Statistik, Vol. 204/5, 1988.

  • Maximum-Likelihood-Schätzung aus gruppierten Daten - eine Übersicht (with M. Schader), OR-Spektrum, Vol. 10, No. 1, 1988.

  • On the X²-test for a Negative Binomial Distribution (with M. Schader), O. Opitz, B. Rauhut (Hrsg.) Ökonomie und Mathematik, Springer Verlag, 1987.

  • Optimal Grouping of Data from Some Skew Distributions (with M. Schader), Computational Statistics Quarterly 3, 1986.

  • How Robust is One Way ANOVA with respect to within Group Correlation? (with M. Schader), COMPSTAT 1986, Prodeecing in Computational Statistics, Physica-Verlag, Wien, 1986.

  • Distribution Function and Percentage Points for the Central and Noncentral F-Distribution (with M. Schader), Statistische Hefte, Vol. 27, No. 1, 1986.

  • Properties of Ordinary Least Squares Estimates, t- and F- Tests in a Generalized Linear Model with Symmetrically Dependent Error Terms, Methods of Operations Research, Vol. 55, 1985.

  • Computation of M-L-Estimates for the Parameters of a Negative Binomial Distribution from Grouped Data. A Comparison of the Scoring, Newton- Raphson and E-M Algorithm (with M. Schader), Applied Stochastic Models and Data Analysis, Vol. 1, No. 1, 11-23, 1985.

  • Signifikanzniveau und Gütefunktionen von Parametertests für µ and s² bei identisch normalverteilten, aber symmetrisch abhängigen Beobachtungen (with M. Schader), Allgemeines Statistisches Archiv, Vol. 69, 1985.
  • Rejection Probabilities in Small Samples when Testing the Hypothesis "X is Normally Distributed" with a ?²-Test of Fit using various Estimation Methods for µ and s (with M. Schader), Methods of Operations Research, Vol. 55, 1985.
  • Distribution Functions and Percentage Points for Central and Noncentral ?², t- and F-Distributions. A Collection of Computer Programs in Fortran (with M. Schader), Discussion Papers in Statistics and Quantitative Economics Nr. 18, Hochschule der Bundeswehr Hamburg, September 1984.
  • Computation of Maximum Likelihood Estimates for µ and s from a Grouped Sample of a Normal Population. A Comparison of Algorithms (with M. Schader), Statistische Hefte, Vol. 25, 1984.
  • Maximum Likelihood Estimation of µ and s from a Grouped Sample of a Normal Population (with M. Schader), Discussion Papers in Statistics and Quantitative Economics Nr. 15, Hochschule der Bundeswehr Hamburg, Februar 1983.
  • Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms, Discussion Papers in Statistics and Quantitative Economics Nr.12, Hochschule der Bundeswehr Hamburg, März 1982.
  • Kleinste-Quadrate-Schätzer in nichtlinearen Regressionsmodellen (überarbeitete und um ein Kapitel über Prognose erweiterte Habilitationsschrift), Vandenhoek & Ruprecht, Göttingen, 1997.
  • A Note on the Strong Consistency of Least Squares Estimators in Linear Regression Models, Methods of Operations Research, Vol. 41, 1981.
  • Skalierungsverfahren, Handwörterbuch der Wirtschaftswissenschaften (HdWW), Gustav Fischer, J.C.B. Mohr (Paul Siebeck), Vandenhoeck & Ruprecht, Göttingen, 1981.
  • Spezifikations- und Schätzprobleme bei Dynamischen Systemen (with H. Hauptmann), Anwendungen der Systemtheorie und Kybernetik in Wirtschaft und Verwaltung, Wirtschaftskybernetik und Systemanalyse, Vol. 6, Duncker & Humboldt, 1980.

  • Über ein Problem der mehrdimensionalen Skalierung, Statistische Hefte, Vol. 21, No. 2, 140-144, 1980.

  • Asymptotische Eigenschaften von "Minimum-Absolute-Deviation- Schätzern" in nichtlinearen Regressionsmodellen, Methods of Operations Research, Vol. 37, 1980.

  • Eine Verallgemeinerung des "Steiner-Weber-Problems" der betriebswirtschaftlichen Standorttheorie, Discussion Papers in Operations Research Nr.11, Hochschule der Bundeswehr Hamburg, Winter 1978/79.

  • Strong Consistency of Non-linear Least Squares Estimators in the Presence of Stochastic Regressors, Statistische Hefte, Vol. 19, No. 4, 218-230, 1978.

  • Zur ökonometrischen Behandlung dynamischer Modelle mit stetigem Zeitparameter, Dissertation, Vandenhoek & Ruprecht, Göttingen, 1977.

  • Econometric Estimation for Models of Cyclical Growth (with H. Hauptmann), COMPSTAT 1976, Proceedings in Computational Statistics, Physica-Verlag, 1976.

  • Estimation of Parameters in Stochastic Differential Equations (with H. Hauptmann), COMPSTAT 1976, Proceedings in Computational Statistics, Physica-Verlag, 1976.