Project B1:
Econometric Analysis of Time-variable and Feedback Systems

Director: Prof. Dr. Peter Schönfeld

The main subjects of research unit B1 are:

  1. Adaptive methods in stochastic control and filtering theory, adaptive learning procedures (e.g. least-squares learning) and their convergence to rational expectations equilibria (Christopeit, Schönfeld, Schwarz)

  2. Stochastic financial markets (probabilistic foundations) (Christopeit, Kim)

  3. Asymptotic estimation theory, in particular in feedback systems (parametric) and ARCH models (nonparametric) (Christopeit, Kim, Schönfeld, Schwarz)

  4. Algebraic structures in statistical models, in particular in the linear model (e.g. temporal aggregation in vector autoregressive systems, matrix monotonicity, g-inversion, bi-complementarity, experimental design, missing observations, inequality constraints) (Schönfeld, Werner)


University of Bonn
Institut für Ökonometrie und Operations Research
Ökonometrische Abteilung
Adenauerallee 24-42
D - 53113 Bonn / Germany

Phone: +49+228+73 9200
Fax: +49+228+73 9189


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