Since October 2023, I am Assistant Professor of Statistics at TU Delft, Netherlands. Previously, I was interim professor of Computational Statistics at RWTH Aachen University, Germany.
My research interests include:
- Multiscaling stochastic processes
- Nonstationary time series
- Changepoint testing
- Nonparametric testing and estimation
- High-frequency financial econometrics
Recent Publications and Preprints
Projection inference for high-dimensional covariance matrices with structured shrinkage targets
Fabian Mies, Ansgar Steland
Electronic Journal of Statistics, vol. 18(1), 2024, pp. 1643-1676
Efficiently Computable Safety Bounds for Gaussian Processes in Active Learning
Jörn Tebbe, Christoph Zimmer, Ansgar Steland, Markus Lange-Hegermann, Fabian Mies
AISTATS, 2024
Estimation of mixed fractional stable processes using high-frequency data
Fabian Mies, Mark Podolskij
Annals of Statistics, vol. 51(5), 2023, pp. 1946-1964
An Efficient Jump-Diffusion Approximation of the Boltzmann Equation
Fabian Mies, Mohsen Sadr, Manuel Torrilhon
Journal of Computational Physics, vol. 490(112308), 2023
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