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Michal Pešta

Charles University (from arXiv:1908.10636, 2019) · ORCID · OpenAlex

33 papers in scope · 31 published · 2 on the econ.EM arXiv · 304 citations · h-index 11 (over the papers listed here)

Papers

(2 of 33)

Special issue on “PROBASTAT 2024”
published2025 · Statistical Papers
with Radoslav Harman, Viktor Witkovský
Statistical Papers
Tensor Changepoint Detection and Eigenbootstrap
published2025 · Journal of Time Series Analysis · 2 citations
with Barbora Peštová, Martin Romaňák
Journal of Time Series Analysis
Bagging and regression trees in individual claims reserving
published2025 · Statistical Papers · 3 citations
with Jan Janoušek
Statistical Papers
Copula hurdle GARCH models for multivariate non-negative time series
published2025 · Statistical Papers · 1 citations
with Šárka Hudecová
Statistical Papers
Statistical Prediction and Machine Learning
published2025 · Journal of the American Statistical Association · 1 citations
Journal of the American Statistical Association
Hurdle GARCH models for nonnegative time series
published2024 · Statistica Neerlandica · 3 citations
with Šárka Hudecová
Statistica Neerlandica
Quasi‐Likelihood Estimation in Volatility Models for Semi‐Continuous Time Series
published2024 · Journal of Time Series Analysis · 7 citations
with Šárka Hudecová
Journal of Time Series Analysis
Real-time changepoint detection in a nonlinear expectile model
published2023 · Metrika · 2 citations
with Gabriela Ciuperca, Matúš Maciak
Metrika
Investment disputes and their explicit role in option market uncertainty and overall risk instability
published2023 · Computational Management Science
with Zdeněk Drábek, Miloš Kopa, Matúš Maciak, Sebastiano Vitali
Computational Management Science
Bootstrapping Not Independent and Not Identically Distributed Data
published2022 · Mathematics · 7 citations
with Martin Hrba, Matúš Maciak, Barbora Peštová
Mathematics
FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
published2022 · Astin Bulletin · 10 citations
with Matúš Maciak, Ivan Mizera
Astin Bulletin
Infinitely stochastic micro reserving
published2021 · Insurance Mathematics and Economics · 16 citations
with Matúš Maciak, Ostap Okhrin
Insurance Mathematics and Economics
Changepoint in Error-Prone Relations
published2021 · Mathematics · 4 citations
Mathematics
Changepoint estimation for dependent and non-stationary panels
published2020 · Applications of Mathematics · 12 citations
with Barbora Peštová, Matúš Maciak
Applications of Mathematics
Changepoint in dependent and non-stationary panels
published2020 · Statistical Papers · 24 citations
with Matúš Maciak, Barbora Peštová
Statistical Papers
Implied Volatility Surface Estimation via Quantile Regularization
published2020 · Springer proceedings in mathematics & statistics · 2 citations
with Matúš Maciak, Sebastiano Vitali
Springer proceedings in mathematics & statistics
Infinitely Stochastic Micro Forecasting
working paper2019 · arXiv
with Matúš Maciak, Ostap Okhrin
Paper profile arXiv arXiv:1908.10636
Nuisance-parameter-free changepoint detection in non-stationary series
published2019 · Test · 31 citations · first circulated 2018
with Martin Wendler
Test
Structural breaks in dependent, heteroscedastic, and extremal panel data
published2018 · Kybernetika · 8 citations
with Matúš Maciak, Barbora Peštová
Kybernetika
Dynamic and granular loss reserving with copulae
working paper2018 · arXiv
with Matúš Maciak, Ostap Okhrin
Paper profile arXiv arXiv:1801.01792
Variance Estimation Free Tests for Structural Changes in Regression
published2018 · Springer proceedings in mathematics & statistics · 3 citations
with Barbora Peštová
Springer proceedings in mathematics & statistics
Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics
published2018 · Springer proceedings in mathematics & statistics · 2 citations · first circulated 2016
with Barbora Peštová
Springer proceedings in mathematics & statistics
Abrupt change in mean using block bootstrap and avoiding variance estimation
published2017 · Computational Statistics · 13 citations
with Barbora Peštová
Computational Statistics
Score tests for covariate effects in conditional copulas
published2017 · Journal of Multivariate Analysis · 21 citations
with Irène Gijbels, Marek Omelka, Noël Veraverbeke
Journal of Multivariate Analysis
Change Point Estimation in Panel Data without Boundary Issue
published2017 · Risks · 20 citations · first circulated 2016
with Barbora Peštová
Risks
Shape Constrained Regression in Sobolev Spaces with Application to Option Pricing
published2017 · Springer proceedings in mathematics & statistics · 1 citations
with Zdeněk Hlávka
Springer proceedings in mathematics & statistics
Unitarily invariant errors-in-variables estimation
published2016 · Statistical Papers · 4 citations
Statistical Papers
Block bootstrap for dependent errors-in-variables
published2016 · Communication in Statistics-Theory and Methods · 9 citations
Communication in Statistics-Theory and Methods
Testing structural changes in panel data with small fixed panel size and bootstrap
published2014 · Metrika · 28 citations
with Barbora Peštová
Metrika
Conditional least squares and copulae in claims reserving for a single line of business
published2014 · Insurance Mathematics and Economics · 12 citations · first circulated 2013
with Ostap Okhrin
Insurance Mathematics and Economics
Modeling dependencies in claims reserving with GEE
published2013 · Insurance Mathematics and Economics · 7 citations
with Šárka Hudecová
Insurance Mathematics and Economics
Asymptotic consistency and inconsistency of the chain ladder
published2012 · Insurance Mathematics and Economics · 21 citations
with Šárka Hudecová
Insurance Mathematics and Economics
Total least squares and bootstrapping with applications in calibration
published2012 · Statistics · 30 citations
Statistics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.