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


Estimation of mixed fractional stable processes using high-frequency data


Fabian Mies, Mark Podolskij

Annals of Statistics, forthcoming, 2023


Functional Estimation and Change Detection for Nonstationary Time Series


Fabian Mies

Journal of the American Statistical Association, vol. 118(542), 2023, pp. 1011-1022


An Efficient Jump-Diffusion Approximation of the Boltzmann Equation


Fabian Mies, Mohsen Sadr, Manuel Torrilhon

Journal of Computational Physics, vol. 490(112308), 2023


Sequential Gaussian Approximation for Nonstationary Time Series in High Dimensions


Fabian Mies, Ansgar Steland

Bernoulli, vol. 29(4), 2023, pp. 3114/3140


View all

Contact


Fabian Mies


f (dot) mies (at) tudelft (dot) nl


Delft Institute of Applied Mathematics

TU Delft, Netherlands




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