We discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust...

In many situations, it is crucial to estimate the variance properly. Ordinary variance estimators perform poorly in the presence of shifts in the mean. We investigate an approach based on non-overlapping blocks, which yields good results in change-point scenarios. We show the strong consistency...

We study the problem of intervention effects generating various types of outliers in a linear count time series model. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models within the exponential family framework. Studies about...

In critical care extremely high dimensional time series are generated by clinical information systems. This yields new perspectives of data recording and also causes a new challenge for statistical methodology. Recently graphical correlation models have been developed for analysing the partial...

Clinical information systems can record numerous variables describing the patient’s state at high sampling frequencies. Intelligent alarm systems and suitable bedside decision support are needed to cope with this flood of information. A basic task here is the fast and correct detection of...

Intelligent alarm systems are needed for adequate bedside decision support in critical care. Clinical information systems acquire physiological variables online in short time intervals. To identify complications as well as therapeutic effects procedures for rapid classification of the current...

Methods of dimension reduction are very helpful and almost a necessity if we want to analyze high-dimensional time series since otherwise modelling affords many parameters because of interactions at various time-lags. We use a dynamic version of Sliced Inverse Regression (SIR; Li (1991)), which...