Alexander Aue

On the Reaction Time of Moving Sum Detectors.
Preprint (with L. Horváth, M. Kühn and J. Steinebach).

Limit Laws in Transaction-Level Asset Price Models.
Preprint (with L. Horváth and C. Hurvich).

Quasi-likelihood Estimation in Stationary and Nonstationary Autoregressive Models With Random Coefficients.
Preprint (with L. Horváth).

Mean Shift Testing with Correlated Data.
Preprint (with M. Robbins, C. Gallagher and R. Lund).

Local Bandwidth Selection Via Second Derivative Segmentation.
Preprint (with T.C.M. Lee and H. Wang).

Break Detection in the Covariance Structure of Multivariate Time Series Models.
The Annals of Statistics 37 (2009), 4046-4087 (with S. Hörmann, L. Horváth and M. Reimherr).

Estimation of a Change-Point in the Mean of Functional Data.
Journal of Multivariate Analysis 100 (2009), 2254-2269 (with R. Gabrys, L. Horváth and P. Kokoszka).

Delay Times of Sequential Procedures for Multiple Time Series Regression Models.
Journal of Econometrics 149 (2009), 174-190 (with L. Horváth and M.L. Reimherr).

On Distinguishing Between Random Walk and Change in the Mean Alternatives.
Econometric Theory 25 (2009), 411-441 (with L. Horváth, M. Hušková and S. Ling).

Extreme Value Theory for Stochastic Integrals of Legendre Polynomials.
Journal of Multivariate Analysis 100 (2009), 1029-1043 (with L. Horváth and M. Hušková).

Monitoring Shifts in Mean: Asymptotic Normality of Stopping Times.
Test 17 (2008), 515-530 (with L. Horváth, P. Kokoszka and J. Steinebach).

Near-Integrated Random Coefficient Autoregressive Time Series.
Econometric Theory 24 (2008), 1343-1372.

Testing for Changes in Polynomial Regression.
Bernoulli 14 (2008), 637-660 (with L. Horváth, M. Hušková and P. Kokoszka).

Extreme Value Distribution of a Recursive-type Detector in a Linear Model.
Extremes 11 (2008), 135-166 (with M. Kühn).

Selection from a Stable Box.
Bernoulli 14 (2008), 125-139 (with I. Berkes and L. Horváth).

A Note on the Existence of Solutions to a Stochastic Recurrence Equation.
Acta Scientiarum Mathematicarum 73 (2007), 831-843 (with I. Berkes and L. Horváth).

Rescaled Range Analysis in the Presence of Stochastic Trend.
Statistics & Probability Letters 77 (2007), 1165-1175 (with L. Horváth and J. Steinebach).

A Limit Theorem for Mildly Explosive Autoregression with Stable Errors.
Econometric Theory 23 (2007), 201-220 (with L. Horváth).

Discriminating between Level Shifts and Random Walks: a Delay Time Approach.
In: Conference Proceedings, Prague Stochastics 2006, 73-80 (with L. Horváth and Zs. Horváth).

Change-Point Monitoring in Linear Models.
Econometrics Journal 9 (2006), 373-403 (with L. Horváth, M. Hušková and P. Kokoszka).

Strong Approximation for the Sums of Squares of Augmented GARCH Sequences.
Bernoulli 12 (2006), 583-608 (with I. Berkes and L. Horváth).

Testing for Parameter Stability in RCA(1) Time Series.
Journal of Statistical Planning and Inference 136 (2006), 3070-3089.

Estimation in Random Coefficient Autoregressive Models.
Journal of Time Series Analysis 27 (2006), 61-76 (with L. Horváth and J. Steinebach).

Statistical Terminology.
In: Encyclopedia of Actuarial Science, Vol. 3, Wiley, Chichester (2004), 1593-1596.

Strong Approximation for RCA(1) Time Series with Applications.
Statistics & Probability Letters 68 (2004), 369-382.

Delay Time in Sequential Detection of Change.
Statistics & Probability Letters 67 (2004), 221-231 (with L. Horváth).

Approximations for the Maximum of a Vector-Valued Stochastic Process with Drift.
Periodica Mathematica Hungarica 47 (2003), 1-15 (with L. Horváth).

A Note on Estimating the Change-Point of a Gradually Changing Stochastic Process.
Statistics & Probability Letters 56 (2002), 177-191 (with J. Steinebach).