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FORSCHUNGSBERICHT 1999-2001

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Inst.f. Ökonometrie u. Operations Res. Ökonometrische Abteilung

Allgemeine Angaben:
Adenauerallee 24-42, 53113 Bonn
Telefon: 0228 / 73-9200
Fax: 0228 / 73-9189
eMail: ectr@eos.ect.uni-bonn.de
WWW: http://eos.ect.uni-bonn.de

Hauptamtliche Professoren:
Prof. Dr. rer. pol. Peter Schönfeld

Wissenschaftliches Personal:
Universitätsstellen
Dipl.-Volksw. Young Su Cho
Priv.-Doz. Dr. rer. nat. Norbert Christopeit
Dipl.-Volksw. Hwan Kim
Dipl.-Math. Olaf Schwarz
Priv.-Doz. Dr. rer. nat. Hans Joachim Werner

Forschungsschwerpunkte:
Modellselektion, Bootstrap, empirische Maximum-Likelihood-Methode
(Cho)

Adaptive stochastische Kontrolle
(Christopeit)

Nichtparametrische Regeressionsschätzung
(Christopeit)

Stochastik der Finanzmärkte
(Christopeit, Kim)

Adaptive Lernalgorithmen in selbstreferentiellen dynamischen stochastischen Systemen
(Schönfeld, Schwarz)

Beiträge zum allgemeinen singulären linearen Regressionsmodell
(Schönfeld, Werner)

Partielle Matrixordnungen
(Werner)

Veröffentlichungen:

Gülhan Alpargu, George P. H. Styan & Hans Joachim Werner:
Powers, g-Inverses and Core Matrices.
Problem 22-1. IMAGE: The Bulletin of the International Linear Algebra Society, no. 22, April 1999, p. 32.

Gülhan Alpargu, George P. H. Styan & Hans Joachim Werner:
Powers, g-Inverses and Core Matrices.
Solution 22-1.1 to Problem 22-1. IMAGE: The Bulletin of the International Linear Algebra Society, no. 23, October 1999, p. 21.

Gülhan Alpargu & Hans Joachim Werner:
Trace and a Partitioned Matrix. Solution 23-4.1 to Problem 23-4 (proposed by Heinz Neudecker).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 24 , April 2000, p. 10

Hans Joachim Werner:
Problem 619. (Proposed by Götz Trenkler [ The College Mathematics Journal, vol. 29, No. 1, 1998, p. 66].)
Solution mentioned in The College Mathematics Journal, vol. 30, No. 4, 1999, p. 278

Hans Joachim Werner:
The Rank of a Matrix Difference.
Solution 22-3.4 to Problem 22-3 (proposed by Yongge Tian). IMAGE: The Bulletin of the International Linear Algebra Society, no. 23, October 1999, p. 23.

Hans Joachim Werner:
More on BLUPs and BLIMBIPs in the general Gauß-Markov model.
(Abstract), Bulletin of the International Statistical Institute, ISI'99, 52nd Session, Helsinki, August 10-18, 1999, Contributed Papers, Book 3, 1999, p. 429.

Hans Joachim Werner:
Idempotency of a Certain Matrix Quadratic Form. Solution 22-6.1 to Problem 22-6 (proposed by Michel van de Velden, Shuangzhe Liu & Heinz Neudecker).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 23, October 1999, pp. 26-27.

Hans Joachim Werner:
The Equality of Two 4×4 Determinants. Solution 23-2.3 to Problem 23-2 (proposed by S. W. Drury).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 24, April 2000, pp. 7-8.

Hans Joachim Werner:
Linear Combinations and Eigenvalues. Solution 23-6.1 to Problem 23-6 (proposed by Jos M. F. ten Berge).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 24 , April 2000, pp. 13-15.

Hans Joachim Werner:
Two Products Involving Idempotent Matrices. Solution 24-5.3 to Problem 24-5 (proposed by Yongge Tian).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 25, October 2000, p. 11.

Hans Joachim Werner:
Partitioned Positive Semidefinite Matrices. Solution 24-7.1 to Problem 24-7 (proposed by Fuzhen Zhang).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 25, October 2000, p. 13.

Hans Joachim Werner:
An Inequality Involving Hadamard Products. Solution 24-8.2 to Problem 24-8 (proposed by Fuzhen Zhang).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 25, October 2000, pp. 14-15.

Hans Joachim Werner:
Two Rank Equalities Associated with Blocks of an Orthogonal Projector. Solution 25-4.2 to Problem 25-4 (proposed by Yongge Tian).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 26, April 2001, pp. 7.

Hans Joachim Werner:
Generalized Inverse of a Matrix Product. Solution 25-6.2 to Problem 25-6 (proposed by Yongge Tian).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 26, April 2001, pp. 11-12.

Hans Joachim Werner:
Hadamard Products of Square Roots of Correlation Matrices. Solution 25-7.1 to Problem 25-7 (proposed by Fuzhen Zhang).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 26, April 2001, pp. 11-12.

Hans Joachim Werner:
Several Matrix Orderings Involving Matrix Geometric and Arithmetic Means. Solution 25-8.1 to Problem 25-8 (proposed by Fuzhen Zhang).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 26, April 2001, pp. 21-23.

Hans Joachim Werner:
Factorization of Generalized Inverses of Matrix Polynomials. Solution 26-3.1 to Problem 26-3 (proposed by Yongge Tian).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 27, October 2001, pp. 28-29.

Hans Joachim Werner:
Commutativity of EP Matrices. Solution 26-4.3 to Problem 26-4 (proposed by Yongge Tian).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 27, October 2001, p. 32.

Hans Joachim Werner & Bao-Xue Zhang:
Convex Matrix Inequalities. Solution 26-5.2 to Problem 26-5 (proposed by Bao-Xue Zhang).
IMAGE: The Bulletin of the International Linear Algebra Society, no. 27, October 2001, pp. 34-35.

Jürgen Groß, Götz Trenkler & Hans Joachim Werner:
The equality of linear transforms of the ordinary least squares and the best linear unbiased estimator.
Sankhya Series A, vol. 63, 118-127.

Norbert Christopeit
A Note on the Pricing of Perpetual American Options.
Theory Probab. Appl., forthcoming.

Norbert Christopeit & Hans Joachim Werner:
A Necessary and Sufficient Condition of a Sequence of Random Variables Converging to a Normal Distribution. Solution to Problem 00.1.2 (proposed by Hua Liang [Econometric Theory, vol. 16, 2000, p. 143]).
In: Econometric Theory, vol. 17, 2001, pp. 278-281.

Norbert Christopeit & Hans Joachim Werner:
A Necessary and Sufficient Condition for the Convergence of the Sum of Weighting Random Variables to a Normal Distribution. Solution to Problem 00.4.2 (proposed by Hua Liang [Econometric Theory, vol. 16, 2000, p. 619]).
In: Econometric Theory, vol. 17, 2001, pp. 857-858.

Richard William Farebrother, Simo Puntanen, George P. H. Styan & Hans Joachim Werner, eds.:
Seventh Special Issue on Linear Algebra and Statistics.
Linear Algebra and Its Applications, vol. 289, March 1999, iv + 344 pp.

Robert E. Hartwig, Peter Semrl & Hans Joachim Werner:
Characterizations associated with a sum and product.
Solution 19-3a.1 to Problem 19-3. IMAGE: The Bulletin of the International Linear Algebra Society, no. 22, April 1999, p. 25.

Schönfeld, P.:
On the equivalence of two standard F-tests in linear regression.
In: R. Friedmann/L. Knüppel/H. Lütkepohl, eds.: Econometric Studies. A Festschrift in Honour of Joachim Frohn. LIT-Verlag, Münster, 2001, 15 - 29.

Schönfeld, P.:
Least squares in general vector spaces revisited.
Journal of Econometrics, 2002.

Selahattin Kaçiranlar, Sadullah Sakallioglu, Fikri Akdeniz, George P. H. Styan & Hans Joachim Werner:
A new biased estimator in linear regression and a detailed analysis of the widely-analysed dataset of Portland cement.
Sankhya Series B, vol. 61, 1999, 443-459.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner, eds.:
Eighth Special Issue on Linear Algebra and Statistics.
Linear Algebra and Its Applications, vol. 321, December 2000, xi + 412 pp.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
Determinants and G-Inverses.
Solution 21-5.1 to Problem 21-5. IMAGE: The Bulletin of the International Linear Algebra Society, no. 22, April 1999, p. 31.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
Prediction in the equicorrelated regression model.
Solution to Problem 98.3.3 (proposed by Badi H. Baltagi [Econometric Theory, vol. 14 (1998), p. 382]). Solution mentioned in Econometric Theory, vol. 15, 1999, p. 432.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
A determinantal identity.
Solution to Problem 98.4.1 (proposed by Heinz Neudecker & Michel van de Velden [Econometric Theory, vol. 14 (1998), p. 525]). In Econometric Theory, vol. 15, 1999, pp. 632-633.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
The Eigenvalue Decomposition of a Symmetric Matrix. Solution to Problem 99.3.1 (proposed by Richard William Farebrother [Econometric Theory, vol. 15, 1999, p. 427]).
In: Econometric Theory, vol. 16, 2000, pp. 289-292.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
An Upper Bound for the Eigenvalues of the Product of a Symmetric Idempotent an a Non-negative Definite Matrix. Solution to Problem 99.4.4 (proposed by Jan Gaffelman & Michel van de Velden [Econometric Theory, vol. 15, 1999, p. 631]).
Solution mentioned in Econometric Theory, vol. 16, 2000, p. 457.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
Letter to the Editor about ``Simple forms of the best linear unbiased predictor in the general linear regression model" by Silvia N. Elian [The American Statistician, vol. 54, 25-28].
Comment by Puntanen, Styan & Werner and reply. The American Statistician, vol. 54, No. 4, November 2000, 327-328.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
Determinant of a Skew-Symmetric Matrix. Solution to Problem 00.1.1 (proposed by Steve Lawford [Econometric Theory, vol. 16, 2000, p. 143]).
In Econometric Theory, vol. 17, 2001, p. 277.

Simo Puntanen, George P. H. Styan & Hans Joachim Werner:
Relationship Satisfied by Two Representations of a Positive Semi-Definite Matrix. Solution to Problem 00.1.3 (proposed by Heinz Neudecker & Michel van de Velden [Econometric Theory, vol. 16, 2000, p. 143]).
Solution mentioned in Econometric Theory, vol. 17, 2001, p. 859.


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