We derive the limiting null distributions of the standard and OLS based CUSUM-tests for structural change of the coecients of a linear regression model in the context of long memory disturbances. We show that both tests behave fundamentally different in a long memory environment, as compared to...

Finanzmarktdaten wie Zinsen, Aktien- oder Wechselkurse und andere spekulative Preise setzen sich durch verschiedene Besonderheiten von sonstigen ökonomischen Zeitreihendaten ab. Dieser Artikel untersucht die Konsequenzen dieser Besonderheiten für die rationale Bewertung von Finanzinstrumenten...

A class of self-designing clinical trials is considered which according to an effective but simple, finite learning algorithm consists of automatically adaptively planned weighted group sequential trials with a decision about rejection of the null-hypothesis at each step, but the full...

This paper deals with the problem of estimating the location parameter of a two parameter exponential distribution in case of contaminated data. Since in this case the sample minimum is an extremely unreliable estimator, robust alternatives are necessary. We investigate two types of estimators...