Journal Papers

 [Click here for the PDF version of all the publications]

LAST UPDATED: 26/04/2013.   Journal Papers = 32, Journal Papers Preprint = 13; Conference Papers = 26

Preprint

  1. [StatJ-Pre-#] - statistics preprint journal papers
  2. [RiskJ-Pre-#] - Risk, Insurance and Financial Mathematics preprint journal papers
  3. [EngJ-Pre-#] - Signal Process Engineering preprint journal papers

Statistical Methodology - MCMC, TDMCMC, SMC, Particle Filtering: (Total = 4)

  • [StatJ-Pre-4] Hayes K., Peters G.W., and Ludsin S.A. ``Modelling nonlinear dependence in multi-species and multi-fishery CPUE data."[arXiv:]
  • [StatJ-Pre-3] Dean T., Singh S., Jasra A. and Peters G.W. ``Parameter estimation for Hidden Markov Models with intractable likelihoods". [arXiv:1103.5399].
  • [StatJ-Pre-2] Peters G.W., Hayes K., Hossack G. ``Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC)". [arXiv:1005.2238v1].
  • [StatJ-Pre-1] Sisson S.A., Peters G.W., Fan Y. and Briers, M. ``Likelihood Free Samplers".

Statistical Finance and Risk Modelling: (Total = 4)

  • [RiskJ-Pre-4] Panayi E.,Peters G.W., Danielsson J. and Zigrand J.P. ``Structural Models for Intra-day Liquidity and Resilience in Limit Order Book." [arXiv: ].
  • [RiskJ-Pre-3] Matthew Ames, Guillaume Bagnarosa and Peters G.W. ``Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades." [arXiv: 1303.4314 ].
  • [RiskJ-Pre-2] Richards K.A.,Peters G.W. and Dunsmuir W. ``Heavy-Tailed Features and Empirical Analysis of the Limite Order Book Volume Profiles in Futures Markets." [arXiv:1210.7215 ].
  • [RiskJ-Pre-1]Peters G.W., Dong, A. and Kohn, R. ``A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving" [arXiv:1210.3849 ].

Signal Processing and Communications Engineering: (Total = 5)

  • [EngJ-Pre-5] Nevat I., Peters G.W. and I.B. Collings, "Random Field Reconstruction in Wireless Sensor Networks from Incomplete Observations" [asXiv: ].
  • [EngJ-Pre-4] Yan S., Malaney R., Nevat I. and Peters G.W., "An Information Theoretic Location Verification Systems for Wireless Networks" [asXiv:1211.0737 ].
  • [EngJ-Pre-3] Peters G.W., Nevat I., Septier F. and Clavier L. "Generalized Interference Models in Doubly Stochastic Poisson Random Fields for Wideband Communications: the PNSC(a) model" [asXiv: 1207.1531].
  • [EngJ-Pre-2] Nevat I., Peters G.W., Doucet A. and Yuan J. ``Joint Channel and Frequency Offset Estimation in Dynamic Cooperative Relay Networks." [ ].
  • [EngJ-Pre-1] Nevat I., Peters G.W. and Yuan J. ``Quick Cooperative Spectrum Sensing forAmplify-and-Forward Cognitive Networks " -[arXiv:1006.3155v1]

Appeared

  1. [RiskJ-A-#] - Risk, Insurance and Financial Mathematics Accepted journal papers
    [StatJ-A-#] - statistics Accepted journal papers
  2. [EngJ-A-#] - Signal Process Engineering Accepted journal papers

Statistical Finance and Risk Modelling: (Total = 13)

  • [RiskJ-Pre-13] Del Moral P., Peters G.W., and Verge Ch. ``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." (to appear - Governance and Regulation ) [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." (to appear - Governance and Regulation) [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." (to appear - Methodology and Computing in Applied Probability) [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).

Statistical Methodology - MCMC, TDMCMC, SMC, Particle Filtering: (Total = 14)

  • [StatJ-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]
  • [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)

Signal Processing and Communications Engineering: (Total = 5)

  • [EngJ-A-5]Peters G.W., Nevat I., Yuan J. and Collings I. (2012), ``System Identification in Wireless Relay Networks via Gaussian Process". (to appear) IEEE Transactions on Vehicular Technology.
  • [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.

Working Papers

  • Peters G.W.,Tatsuya. K., Matsui T., Nevat I. and Takeda K. "Modelling Early and Late Reverberation via Composite Spatial-Temporal Gaussian Processes"
  • Peters G.W., Gerlach R. " Cointegrated Vector Autoregression models with Non-Linear Dynamic Dependence Structures: analysis of futures data pre and post global financial crisis"
  • Peters G.W., Hosack G.R, Danbacher J.M. and Hayes K.R. "Multi-species generalized Cox processes incorporating non-linear dependence arising from environmental stochasticity for: overdispersed, zero-inflated, or incomplete population models."
  • Nevat I., Peters G.W., Matsui T. and I.B. Collings, "Models for Spatially Correlated Quantized Data over Wireless Sensor Networks."
  • Nevat I., Peters G.W., "Sensor Set Selection in Quantized Wireless Sensor Networks."
  • Nevat I., Peters G.W.,``Localization in Wireless Sensor Networks via Sequential Sensor Selection," to be submitted to IEEE Transactions on Signal Processing.
  • Peters G.W., Veerhuis P., Shevchenko P. "Calibration and Filtering for Multi-factor Arbitrage Free Dynamic Nelson-Siegel Term Structure Models: Analysis of Unconventional Monetary Policy During the Global Financial Crisis in Australia "

    Journal Papers (not appearing) - Technical Reports

    • Del Moral P., Doucet A. and Peters G.W., (Version 1 - 2002, Revised - 2004) "Sequential Monte Carlo Samplers" - Technical Report - CUED - Cambridge University (pdf).

    Text Reviews

    • 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)