Wirtschafts- und Sozialstatistik

CDI-Gebäude,

Room 9

Room 9

+49 231 755 - 3869

+49 231 755 - 5284

Fakultät Statistik

Technische Universität Dortmund

44221 Dortmund

Technische Universität Dortmund

44221 Dortmund

- on appointment

Carsten Jentsch studied mathematics with minor business administration at the TU Braunschweig, where he finished also his PhD in 2010. After a research stay abroad at UC San Diego, he became postdoc at the Econ Department at the University of Mannheim and the Collaborative Research Center SFB 884 “The Political Economy of Reforms”. Since 2015 he is member of the Eliteprogram for Postdocs of the Baden-Württemberg Stiftung. After holding stand-in professor positions at the Universities Bayreuth and Mannheim for several semesters, he is professor at the TU Dortmund since summer term 2018. He is member of the RGS Faculty at the Ruhr Graduate School in Economics.

The research interests of Carsten Jentsch are mathematical statistics with focus on developing methods and implementing estimation and test procedures as well as modeling time series data, spatial data and spatio-temporal data with applications in economic and social sciences. He works on different topics in time series analysis and time series econometrics, where he makes particularly use of spectral domain techniques. Bootstrap methods for dependent data is one of his main research fields. He is interested also in statistical methods for stochastic networks and statistical analysis of text data.

Editor-In-Chief for "Statistical Papers" (since 2018)

Associate Editor for "Statistics" (since 2018)

Associate Editor for "Statistics & Risk Modeling" (since 2017)

Associate Editor for "Statistics & Probability Letters" (since 2016)

Jentsch, C. & Kulik, R. Bootstrapping Hill estimator and tail arrays sums for regularly varying time series

Jentsch, C. & Meyer, M. Finite predictor coefficients and the inverse Yule-Walker matrix: on the extension of Akaike's identity to random fields.

Weiß, C. H. & Jentsch, C. Bootstrap-based Bias Corrections for INAR Count Time Series.

Jentsch, C., Leucht, A., Meyer, M., & C. Beering. Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Working Paper.

Jentsch, C., Lee, E. R. & E. Mammen. Statistical inference on party positions from texts: statistical modeling, bootstrap and adjusting for time effects.

Jentsch, C. & Lunsford, K. (2018+) Proxy SVARs: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States: Comment. To appear in *American Economic Review. *Working Paper.

Weiss, C. H., Steuer, D., Jentsch, C. and Testik, M. C. (2018). Guaranteed Conditional ARL Performance in the Presence of Autocorrelation. *Computational Statistics and Data Analysis,* **128**, 367-379.

Jentsch, C. & C. H. Weiß (2018+). Bootstrapping INAR models. To appear in *Bernoulli*. Working Paper.

Meyer, M., Jentsch, C. and Kreiss, J.-P. (2017). Baxter's Inequality and Sieve Bootstrap for Random Fields. *Bernoulli* **23**, No. 4B, 2988-3020. Working Paper.

Bandyopadhyay, S., Jentsch, C. and Subba Rao, S. (2016). A spectral domain test for stationarity of spatio-temporal data. *Journal of Time Series Analysis, ***38***, no. 2, 326-351.*

Jentsch, C. and Kirch, C. (2016). How much information does dependence between wavelet coefficients contain? *Journal of the American Statistical Association, 111, no. 515, 1330–1345.* pdf, R Code.

Jentsch, C. and Steinmetz, J. (2016). A Connectedness Analysis of German Financial Institutions during the Financial Crisis in 2008. *Banks and Bank Systems, 11*, No. 4.

Jentsch, C. and Leucht, A. (2016). Bootstrapping sample quantiles of discrete data. *Annals of the Institute of Statistical Mathematics ***68, **No. 3, 491-539. Working Paper.

Brüggemann, R., Jentsch, C., and Trenkler, C. (2016). Inference in VARs with Conditional Heteroskedasticity of Unknown Form. *Journal of Econometrics* **191**, 69-85.* *Revised pdf,* *Working Paper.

Jentsch, C. and Politis, D. N. (2015). Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension. *The Annals of Statistics* **43**, No. 3, 1117-1140. pdf, Supplement, R Code.fileadmin/user_upload/Lehrstuehle/IWuS/Forschung/function_MLPB.R

Jentsch, C., Paparoditis, E., and Politis, D. N. (2015). Block bootstrap theory for multivariate integrated and cointegrated time series. *Journal of Time Series Analysis* **36**, No. 3, 416-441. Revised pdf.

Jentsch, C. and Pauly, M. (2015). Testing equality of spectral densities using randomization techniques. *Bernoulli* **21**, No. 2, 697-739. pdf, Supplement.

Jentsch, C. and Subba Rao, S. (2015). A test for second order stationarity of a multivariate time series. *Journal of Econometrics* **185**, No. 1, 124-161. Revised pdf, R Code.fileadmin/user_upload/Lehrstuehle/Ingenieur/Mueller/Lehre/StochIng/Daten/BLECH.DAT

Jentsch, C. and Politis, D. N. (2013) Valid resampling of higher order statistics using linear process bootstrap and autoregressive sieve bootstrap. *Communications in Statistics - Theory and Methods* **42**, No. 7, 1277-1293. pdf.fileadmin/user_upload/SFB_823/Dataset_Projects/Project_B4/Datendokumentation_Basalt_Schleifsegment.txt

Jentsch, C., Kreiss, J.-P., Mantalos, P. and Paparoditis, E. (2012). Hybrid bootstrap aided unit root testing. *Computational Statistics* **27**, No. 4, 779-797. link

Jentsch, C. (2012). A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes. *Journal of Time Series Analysis* **33**, No. 2, 177-192.fileadmin/user_upload/Studium/Vorlesungsverzeichnis/SS2013/Komm._Vorlesungsverzeichnis_SoSe_2013_Robuste_Statistik.pdf pdf.

Jentsch, C. and Mammen, E. (2012). Discussion on the paper ‘‘Bootstrap for dependent data: A review’’ by Jens-Peter Kreiss and Efstathios Paparoditis. *Journal of the Korean Statistical Society* **40**, No. 4, 391-392. link

Jentsch, C. and Pauly, M. (2012). A note on periodogram-based distances for comparing spectral densities. *Statistics and Probability Letters* **82**, No. 1, 158-164. pdf.

Jentsch, C. and Politis, D. N. (2011). The multivariate linear process bootstrap. In: Proceedings of the 17th European Young Statisticians Meeting (EYSM). pdf.

Jentsch, C. und Kreiss, J.-P. (2010). The multiple hybrid Bootstrap - Resampling multivariate linear processes. Journal of Multivariate Analysis 101, No. 10, 2320-2345. pdf.

Jentsch, C. (2010). The Multiple Hybrid Bootstrap and Frequency Domain Testing for Periodic Stationarity, Dissertation, TU Braunschweig. pdf.

Jentsch, C. (2006). Asymptotik eines nicht-parametrischen Kernschätzers für zeitvariable autoregressive Prozesse (in German), Diplomarbeit, TU Braunschweig. pdf.

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