|[Click here for the PDF version of all the publications]|
LAST UPDATED: 10/01/2015.
Journal Papers Accepted = 57, Journal Papers
Preprint = 17; Conference Papers = 41
- [StatJ-A-#] - statistics
accepted journal papers (Total #20)
- [RiskJ-A-#] - Risk, Insurance and Financial Mathematics accepted journal papers (Total #23)
[EngJ-A-#] - Signal Process Engineering accepted journal papers (Total #12)
Appeared: Statistical Finance and
Risk Modelling (Total = 23)
- [RiskJ-A-24] Targino R.,Peters G.W., Sofronov G. and Shevchenko P. ``Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times." [arXiv: 1312.0424], to appear Methods in Computing and Applied Probability, 2015.
- [RiskJ-A-23] Panayi E., Peters
G.W. and Septier F.``SMC-ABC
methods for the estimation of stochastic simulation
models of the limit order book."
[arXiv: 1504.05806], To appear in
Handbook of ABC Methods (Editors: Scott Sisson and Yanan
- [RiskJ-A-22] Richards K.A.,Peters G.W. and Dunsmuir W. ``Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets." Journal of Financial Engineering (to appear) [arXiv:1210.7215 ].
- [RiskJ-A-21] Peters G.W. , Panayi E. and Chapelle A.``Trends in Crypto-Currencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective." Invited Paper to: Journal of Financial Perspectives, EY Global Financial Services Institute. [arXiv:1508.04364].
- [RiskJ-A-20] Dong, A. X.D., Chan J. and Peters G.W. ``Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression." ASTIN Bulletin (to appear) [arXiv: 1402.2492].
- [RiskJ-A-19] Panayi E. and Peters G.W. "Stochastic simulation framework for the Limit Order Book using liquidity-motivated agents" International Journal of Financial Engineering (to appear) [arXiv: 1501.02447 ].
- [RiskJ-A-18] Peters G.W. , Chapelle A. and Panayi E. ``Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective." Journal of Banking Regulation (to appear) [arXiv:1409.1451 ].
- [RiskJ-A-17] Targino R., Peters G.W. and Shevchenko P. ``Copula Constrained SMC Samplers for Rare-event Estimation in Risk Management." Insurance: Mathematics and Economics (to appear) [arXiv:1410.1101 ].
- [RiskJ-A-16]Peters G.W., Dong, A. and Kohn, R. ``A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving" Insurance: Mathematics and Economics (to appear) [arXiv:1210.3849 ].
- [RiskJ-A-15] Panayi E., Peters G.W., and Kosmidis I.``Liquidity Commonality does not Imply Liquidity Resilience Commonality: A Functional Characterization for Ultra-High Frequency Cross-Sectional LOB Data." Quantitative Finance, Special Issue on Big Data Analytics [arXiv:1406.5486 ].
- [RiskJ-A-14] Ames, M, Peters G.W., Bagnarosa G. and Kosmidis I.``Exploring the Multivariate Upside and Downside Tail Exposure Risks of Currency Carry Trades via Tail Dependence." Innovations in Quantitative Risk Management; Springer Proceedings in Mathematics & Statistics, Volume 99, Editors: Catherine Glau, Rudi Zagst and Matthias Scherer. [arXiv: 1406.4322].
- [RiskJ-A-13] Del Moral P., Peters G.W., and Verge Ch. (2014) ``An introduction to particle integration methods: with applications to risk and insurance." (to appear in Josef Dick, Frances Y. Kuo, Gareth W. Peters, and Ian H. Sloan (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer-Verlag. ) [arXiv: 1210.3851 ]
- [RiskJ-A-12] Peters G.W., Targino R. and Shevchenko P. ``Understanding Operational Risk Capital Approximations: First and Second Orders." Governance and Regulation, 2(3) [arXiv: 1303.2910 ]. [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
- [RiskJ-A-11]Shevchenko P. andPeters G.W. ``Loss Distributional Approach of Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation." Governance and Regulation. 2(3) [arXiv: ]. [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
- [RiskJ-A-10]Peters G.W., Briers M., Shevchenko P.V. and Doucet A., (2012) ``Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts." Methodology and Computing in Applied Probability, 1-34. [arXiv:1105.5850]
- [RiskJ-A-9]Peters G.W., Shevchenko P., Young M. and Yip W., (2011) ``Analytic Loss Distributional Approach Model for Operational Risk form Alpha-Stable Doubly Stochastic Compound Process and Implications for Capital Allocation". [arXiv:1102.3582] Insurance Mathematics and Economics (to appear).
- [RiskJ-A-8]Peters G.W., Balikrishnan K., Lasscock B., Mellon M. and Godsill S. (2011) ``Bayesian Cointegrated Vector Autoregression models incorporating alpha-stable noise for inter-day price movements via Approximate Bayesian Computation". to appear Bayesian Analysis. [arXiv:1008.0149v1]
- [RiskJ-A-7]Peters G.W., Byrnes A.D., Shevchenko P.V. (2011) ``Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses ?". Insurance: Mathematics and Economics, 48, 287-303. [arXiv:1010.4406]
- [RiskJ-A-6]Peters G.W., Balkrishnan K. and Lasscock B. (2010) ``Model selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Models". Bayesian Analysis,5(3),465-492. [arXiv:1004.3830]
- [RiskJ-A-5]Peters G.W., Wuethrich M. and Shevchenko P. (2010) ``Chain Ladder Method: Bayesian Bootstrap versus Classical Bootstrap". Insurance: Mathematics and Economics, 47(1), 36-51. [arXiv:1004.2548]
- [RiskJ-A-4]Peters G.W., Shevchenko P. and Wuethrich (2009). ``Dynamic Operational Risk: modelling dependence and combining different sources of information". Journal of Operational Risk, 4(2), 69-104. [arXiv:0904.4074]
- [RiskJ-A-3]Peters G.W., Shevchenko P. and Wuethrich M. (2009) ``Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models". ASTIN Bulletin 39(1), 1-33. [arXiv:0904.1483 ]
- [RiskJ-A-2]Peters G.W., Johansen A. M. and Doucet A. (2007) ``Simulation of the Annual Loss Distribution in Operational Risk via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation". Journal of Operational Risk, 2(3).
- [RiskJ-A-1]Peters G.W. and Sisson S.A. (2006) ``Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3).
Appeared: Statistical Methodology -
MCMC, TDMCMC. SMC and Particle Filtering (Total = 20)
- [StatJ-A-20] Nguyen T., Septier
F., Peters G.W. and Delignon Y.``Efficient Sequential Monte
Carlo Samplers for Bayesian Inference".
[arXiv:1504.0575 ] To appear IEEE Transactions on Signal
- [StatJ-A-19] Septier F. and Peters
G.W. "Langevin and Hamiltonian based
Sequential MCMC for Efficient Bayesian Filtering in
High-Dimensional Spaces" [arXiv:
1504.05715], To appear IEEE Journal of
Selected Topics in Signal Processing 2015.
- [StatJ-A-18] Azzaoui N., Clavier L., Guillin A. and Peters G.W. ``Spectral Measures of alpha-Stable Distributions: An Overview and Natural Applications in Wireless Communications". in "...." Ed. Gareth W. Peters and Tomoko Matsui, Springer Briefs Japan, [arXiv: ]
- [StatJ-A-17] Dean T., Singh S., Jasra
A. and Peters G.W. (2014) ``A Spatiotemporal analysis of
participatory sensing data 'tweets' and extreme
climate events toward real-time urban risk
management". [arXiv: 1505.06188]
(to appear) Computers in Urban Planning and Urban
- [StatJ-A-16] Dean T., Singh S., Jasra A. and Peters G.W. (2014) ``Parameter estimation for Hidden Markov Models with intractable likelihoods". [arXiv:1103.5399] (to appear) Scandinavian Journal of Statistics.
- [StatJ-A-15] Hossack G.R., Peters G.W., and Ludsin S.A. (2014) ``Interspecific Relationships and Environmentally Driven Catchabilities Estimated from Fisheries Data." Canadian Journal of Fisheries and Aquatic Sciences'' (to appear) [arXiv:]
- [StatJ-A-14] Del Moral P., Jacob P., Lee A., Murray L. and Peters G.W. (2013), "Feynman-Kac Particle Integration with Geometric Interacting Jumps" Stochastic Analysis and Applications (to appear) [arXiv:1211.7191 ]
- [StatJ-A-13] Korotsil I., Peters G.W. , and Regan D. (2013) `` Herd immunity effect of HPV vaccination program in Australia under assumption of reduced susceptibility to re-infection following recovery.", Vaccine (to appear) [arXiv: ]
- [StatJ-A-12 ] Peters G.W., Korotsil I. and Regan D. (2013) "HPV Modelling Goes Bayesian: Inference via Advanced Markov chain Monte Carlo Methods.", Book chapter on Modeling and Calibration of Statistical Models in"Human Papilloma virus: Prevalence, Detection and Management"- Book Publisher www.novapublishers.com (76 pages)- [arXiv: ]
- [StatJ-A-11] Hayes K., Hossack G.R., Barry S. and Peters G.W.,(2013) ``Severe uncertainty and information-gap theory: A commentary for ecologists and environmental managers", Methods in Ecology and Evolution. (to appear) [arXiv:]
- [StatJ-A-10] Korotsil I., Peters G.W., Cornebise J. and Regan D. (2012) ``Adaptive Markov Chain Monte Carlo Forward Simulation for Statistical Analysis in Epidemic Modelling of Human Papilloma Virus." (to appear - Statistics in Medicine) [arXiv:1108.3137] .
- [StatJ-A-9] Hossack G.R., Peters G.W. and Hayes K., (2012) ``Estimating nonlinear ecological state space models with flexible observation error". (to appear - Methods in Ecology and Evolution) [URL ]
- [StatJ-A-8]Peters G.W., Fan Y. and Sisson S.A. (2012) ``On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation" Statistics and Computing, Volume 22, Issue 6, page 1209-1222. [arXiv:0808.3466v2].
- [StatJ-A-7] Burgman M., Franklin J., Hayes, K., Hossack G.R., Peters G.W. and Sisson S.A., (2012) ``Modelling extreme risks in Ecology" Risk Analysis (To appear). [arXiv:0912.4729]
- [StatJ-A-6]Peters G.W., Sisson S.A. and Fan Y. (2010) ``Likelihood-free Bayesian inference for $\alpha$-stable models". Computational Statistics and Data Anlaysis, 38 pages. [arXiv:0912.4729]
- [StatJ-A-5] Cornebise J. and Peters
G.W. (2010) ``Comments
on 'Particle Markov Chain Monte Carlo'".
Journal of the Royal Statistical Society Series B -
comments on read paper, 72(3),269-342. [arXiv:0911.3866]
(First discussion of SMC-ABC)
- [StatJ-A-4] Bornn L., Cornebise J. and Peters G.W. (2010) ``Discussion of 'Riemann manifold Langevin and Hamiltonian Monte Carlo methods' '' by M. Girolami and B. Calderhead. Journal of the Royal Statistical Society Series B - comments on read paper. [arXiv:1011.0057]
- [StatJ-A-3]Peters G.W. and Cornebise J. (2010) ``Comments on 'Particle Markov Chain Monte Carlo'". Journal of the Royal Statistical Society Series B - comments on read paper, 72(3),269?342. [arXiv:0911.3866]
- [StatJ-A-2] Fan Y., Peters G.W. and Sisson S.A (2009) ``Automating and Evaluating Reversible Jump MCMC Proposal Distributions". Statistics and Computing, 19, 401-429.
- [StatJ-A-1] Pierre Del Moral, Arnaud Doucet, Gareth Peters. "Sharp Propagation of Chaos Estimates for Feynman-Kac Particle Models." Teoriya Veroyatnosteri i ee Primeneniya (to be reprinted in SIAM Theory of Probability and Its Applications), vol. 51, no. 3, (2006)
Appeared: Signal Processing,
Communications and Sensor Networks (Total = 13)
- [EngJ-A-13] Thi Le Thu Nguyen, Francois
Septier, Harizo Rajaona, Gareth W. Peters,
Ido Nevat and Yves Delignon. "A
Bayesian Perspective on Multiple Source Localization
in Wireless Sensor Networks." IEEE
Transactions in Signal Processing (to appear). [arXiv:
- [EngJ-A-12] Zhang P., Nevat I., Peters
G.W., Xiao G. and Pink HP. "Event Detection in Wireless
Sensor Networks in Random Spatial Sensors
Deployments" IEEE Transactions in
Signal Processing (to appear).
- [EngJ-A-11] Yan S., Malaney R., Nevat I. and Peters G.W. : Location Verification Systems for VANETs in Rician Fading Channels "Location Verification Systems for VANETs in Rician Fading Channels." IEEE Transactions on Vehicular Technology (VTC) (to appear).
- [EngJ-A-10] Nevat I., Peters G.W., Septier F. and Matsui T. "Estimation of Spatially Correlated Random Fields in Heterogeneous Wireless Sensor Networks." IEEE Transactions on Signal Processing (to appear).
- [EngJ-A-9] Nevat I., Peters
G.W., Doucet A. and Yuan J. "Joint
Channel and Frequency Offset
Estimation in Dynamic Cooperative
IEEE Transactions on Wireless Communications (to appear).
- [EngJ-A-8] Yan S., Malaney R., Nevat I. and Peters G.W., (2014) "An Information Theoretic Location Verification Systems for Wireless Networks". IEEE Transactions on Vehicular Technology (VTC), (to appear). [asXiv:1211.0737 ]
- [EngJ-A-7] Nevat I., Peters
G.W., and Collings I. (2014) ``Distributed Detection in
Sensor Networks over Fading Channels with Multiple
Antennas at the Fusion Center".
IEEE Transactions on Signal Processing, (to appear).
- [EngJ-A-6] Nevat I., Peters G.W. and I.B. Collings (2014), "Random Field Reconstruction with Quantization in Wireless Sensor Networks" IEEE Transactions on Signal Processing (to appear) .
- [EngJ-A-5]Peters G.W., Nevat I., Yuan J. and Collings I. (2012), ``System Identification in Wireless Relay Networks via Gaussian Process". IEEE Transactions on Vehicular Technology, VOL. 61, NO. 9.
- [EngJ-A-4]Peters G.W., Nevat I., Sisson S.A., Fan Y. and Yuan J. (2010) ``Bayesian Symbol Detection in Wireless Relay Networks via Likelihood Free Inference". IEEE Transactions on Signal Processing, 58, 5206-5218. [arXiv:1007.4603]
- [EngJ-A-3] Nevat I., Peters G.W. and Yuan J. (2010). ``Detection of Gaussian Constellations in MIMO Systems Under Imperfect CSI". IEEE Transactions of Communications,58(4),1151-1160.
- [EngJ-A-2]Peters G.W., Nevat I. and Yuan J. (2009). ``Channel Estimation in OFDM Systems with Unknown Power Delay Profile using Trans-dimensional MCMC". IEEE Transactions on Signal Processing, 57(9), 3545-3561.
- [EngJ-A-1] Nevat I., Peters G.W. and Yuan J. (2008) ``A Low Complexity MAP Estimation in Linear Models with a Random Gaussian Mixing Matrix". IEEE Transactions on Communications, to appear.
- Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition, Dani Gamerman and Hedibert F. Lopes, Chapman & Hall/CRC, Review for Statistics in Medicine - (2008)
- Uncertain Judgements Eliciting Experts Probabilities , OHagan, A. et al., Wiley Statistics in Practice, Review for Journal Royal Statistics Society A, Review (pdf). (October 2007 - Vol. 170 Issue 4 Page 861-1198)
Notes from Presentations:
- Central Limit Theorems for SMC algorithms - CUED Cambridge Seminar Series Part 1 (pdf)
- Central Limit Theorems for SMC algorithms - CUED Cambridge Seminar Series Part 2 (pdf)
Non-Peer Reviewed and Industry White Papers
- Statistical report for the ABC, Peters G. W., (2009)
- Research Proposal Grinham Managed Funds: Dynamic CoIntegration models, Peters G. W., (2009)
- What to expect from graduate school, Peters G. W., ISBA Bulletin, 16(2), (2009). http://www.bayesian.org/bulletin/0906.pdf
- Research Proposal Grinham Managed Funds: VAR models and CoIntegration Analysis , Peters G. W., (2008)
- Case Study - Quantifying Operational Risk, (part of larger report - Low Probability Large Consequence Events ACERA project no. 06/02) Franklin J., Sisson S., Teruads V. and Peters G., Australian Centre of Excellence for Risk Analysis (draft word), (2007)
- Operational Risk Combining and Aggregation Methodology Devlopment - Commonwealth Bank of Australia Internal Report (2007)
- Operational Risk Captital Allocation and Capital Sensitivity Methodology and Analysis - Commonwealth Bank of Australia Internal Report (2006)
- Operational Risk Quantitative Risk Assessment Survey Design and Methodology Analysis - Commonwealth Bank of Australia Internal Report (2005/6)
- Operational Risk OpRA System Sensitivity Analysis Report (Convolution, Distribution Choice, Number of Exposures) - Commonwealth Bank of Australia Internal Report (2006)
- Operational Risk OpRA System Accuracy Testing - Commonwealth Bank of Australia Internal Report and Analysis (2006)