Delft Institute of Applied Mathematics
Delft University of Technology
Van Mourik Broekmanweg 6
2628 XE Delft, Netherlands
- Noise fit, estimation error and a Sharpe information criterion. Quantitative Finance, 20(6):1027-1043, 2020. (with D. Paulsen)
- Bernstein - von Mises theorems for statistical inverse problems II: Compound Poisson processes. Electronic Journal of Statistics, 13(2):3513-3571, 2019. (with R. Nickl)
- Shear viscosity computed from the finite-size effects of self-diffusivity in equilibrium molecular dynamics. Journal of Chemical Theory and Computation, 14(11):5959-5968, 2018. (S.H. Jamali, R. Hartkamp, C. Bardas, J. Söhl, T.J.H. Vlugt and O.A. Moultos)
- Nonparametric Bayesian posterior contraction rates for discretely observed scalar diffusions. Annals of Statistics, 45(4):1664-1693, 2017. (with R. Nickl)
- Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift. ESAIM P&S, 20:432-462, 2016. (with M. Trabs)
- High-frequency Donsker theorems for Lévy measures. Probability Theory and Related Fields, 164(1):61-108, 2016. (with R. Nickl, M. Reiß and M. Trabs)
- Uniform central limit theorems for the Grenander estimator. Electronic Journal of Statistics, 9(1):1404-1423, 2015.
- Option calibration of exponential Lévy models: Confidence intervals and empirical results. Journal of Computational Finance, 18(2):91-119, 2014. (with M. Trabs)
- Confidence sets in nonparametric calibration of exponential Lévy models. Finance and Stochastics, 18(3):617-649, 2014.
- A uniform central limit theorem and efficiency for deconvolution estimators. Electronic Journal of Statistics, 6:2486-2518, 2012. (with M. Trabs)
- Polar sets for anisotropic Gaussian random fields. Statistics and Probability Letters, 80(9-10):840-847, 2010.
Most of my papers are also available on arXiv.
- An ultrasonic sensor for human presence detection to assist rescue work in large buildings. ISPRS Annals of Photogrammetry, Remote Sensing and Spatial Information Sciences, IV-4/W7, 135-140, 2018. (T. van Groeningen, H. Driessen, J. Söhl and R. Vôute)
- In the Spring Semester 2020 I lecture Statistics for Stochastic Processes in the national master programme Mastermath.
- In Delft I teach Advanced Statistics and Introduction to Probability and Statistics.
- In Cambridge I was lecturing the course Statistics for Stochastic Processes.
- I am co-organising the Probability and Statistics Seminar in Delft.
- I have been co-organising the Dynstoch 2019 workshop in Delft on 12-14 June 2019.
I am assistant professor in statistics at TU Delft.
My research interests are statistics for stochastic processes, Bayesian statistics, nonparametric statistics, shape restricted inference and applications in finance, forensics and sports.
Before coming to TU Delft I did my postdoc with Richard Nickl at the Statistical Laboratory of the University of Cambridge.
I wrote my PhD thesis under the supervision of Markus Reiß at the Humboldt-Universität zu Berlin.
Links: Statistics Group, People in Statistics