## Journal Papers |
[Click here for the PDF version of all the publications] |

LAST UPDATED: 26/04/2013.

**Journal Papers Accepted = 39, Journal Papers
Preprint = 20; Conference Papers = 34**

- [
**StatJ-A-#**] - statistics accepted journal papers - [
**RiskJ-A-#**] - Risk, Insurance and Financial Mathematics accepted journal papers -
[
**EngJ-A-#**] - Signal Process Engineering accepted journal papers

### Appeared: Statistical Finance and
Risk Modelling (Total = 16)

**2014**

- [
**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: ]. - [
**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."**[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 ]

**2013**

- [
**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.*]

**2012**

- [
**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]

**2011**

- [
**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]

**2010**

- [
**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]

**2009**

- [
**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 ]

**2007**

- [
**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).

**2006**

- [
**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 = 16)

**2014**

- [
**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:]

**2013**

- [
**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:]

**2012**

- [
**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]

**2010**

- [
**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]

**2009**

- [
**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.

**2006**

- [
**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 = 9)

**2014**

- [
**EngJ-A-9**] Nevat I., Peters G.W., Doucet A. and Yuan J.**"Joint Channel and Frequency Offset Estimation in Dynamic Cooperative Relay Networks****."**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). [arXiv:]

- [
**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) .

**2012**

- [
**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.

**2010**

- [
**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.

**2009**

- [
**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.

**2008**

- [
**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 "

### 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)