## Journal Papers |
[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)

**2015**

- [
**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 Fan), Springer.

- [
**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 ].

**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: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 ]

**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 = 20)

**2015
**

- [
**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 Processing, 2015.

**[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 Management.

**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 = 13)

**2015**

**[EngJ-A-13**] Thi Le Thu Nguyen, Francois Septier, Harizo Rajaona,, Ido Nevat and Yves Delignon.**Gareth W. Peters****"A Bayesian Perspective on Multiple Source Localization in Wireless Sensor Networks."**IEEE Transactions in Signal Processing (to appear). [arXiv: 1504.05837v1]

**[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**IEEE Transactions on Vehicular Technology (VTC) (to appear).**"Location Verification Systems for VANETs in Rician Fading Channels."**IEEE Transactions on Signal Processing (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."**

**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.

### 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)