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Peter Spreij

Identifiers

  • name variant Peter Spreij 0.60 · backfill

Papers (28)

  1. A Kalman particle filter for online parameter estimation with applications to affine models stat.CO · 2019 · author #3
  2. Nonparametric Bayesian volatility estimation stat.ME · 2018 · author #4
  3. Nonparametric Bayesian inference for multidimensional compound Poisson processes math.ST · 2014 · author #3
  4. Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation math.ST · 2014 · author #2
  5. Approximation of Nonnegative Systems by Finite Impulse Response Convolutions math.OC · 2013 · author #2
  6. A note on non-parametric Bayesian estimation for Poisson point processes math.ST · 2013 · author #2
  7. Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion math.ST · 2013 · author #2
  8. Limit theorems for reflected Ornstein-Uhlenbeck processes math.PR · 2013 · author #3
  9. A block Hankel generalized confluent Vandermonde matrix math.RA · 2013 · author #2
  10. Non-parametric Bayesian drift estimation for stochastic differential equations math.ST · 2012 · author #2
  11. Parametric inference for stochastic differential equations: a smooth and match approach math.ST · 2011 · author #2
  12. Deconvolution for an atomic distribution: rates of convergence math.ST · 2010 · author #3
  13. The affine transform formula for affine jump-diffusions with a general closed convex state space math.PR · 2010 · author #1
  14. Affine diffusions with non-canonical state space math.PR · 2010 · author #1
  15. Nonparametric methods for volatility density estimation stat.ME · 2009 · author #2
  16. Multivariate Nonparametric Volatility Density Estimation math.ST · 2009 · author #2
  17. Sample-path Large Deviations in Credit Risk math.PR · 2009 · author #3
  18. Multivariate Feller conditions in term structure models: Why do(n't) we care? q-fin.ST · 2008 · author #1
  19. Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk q-fin.CP · 2008 · author #2
  20. Deconvolution for an atomic distribution math.ST · 2007 · author #3
  21. Approximation of stationary processes by Hidden Markov Models math.OC · 2006 · author #3
  22. A kernel type nonparametric density estimator for decompounding math.ST · 2005 · author #3
  23. The Bezoutian and Fisher's information matrix of an ARMA process math.ST · 2005 · author #2
  24. Nonnegative Matrix Factorization and I-Divergence Alternating Minimization math.OC · 2004 · author #2
  25. Approximate Nonnegative Matrix Factorization via Alternating Minimization math.OC · 2004 · author #2
  26. Nonparametric volatility density estimation for discrete time models math.ST · 2002 · author #2
  27. On hidden Markov chains and finite stochastic systems math.PR · 2001 · author #1
  28. Nonparametric Volatility Density Estimation math.ST · 2001 · author #2

Mentions

  • 1412.7739 #3 · backfill · confidence 0.70 Peter Spreij
  • 1409.2767 #2 · backfill · confidence 0.70 Peter Spreij
  • 1306.0914 #2 · backfill · confidence 0.70 Peter Spreij
  • 1304.7353 #2 · backfill · confidence 0.70 Peter Spreij
  • 1304.6536 #2 · backfill · confidence 0.70 Peter Spreij
  • 1304.0332 #3 · backfill · confidence 0.70 Peter Spreij
  • 1303.5869 #2 · backfill · confidence 0.70 Peter Spreij
  • 1206.4981 #2 · backfill · confidence 0.70 Peter Spreij
  • 1111.1120 #2 · backfill · confidence 0.70 Peter Spreij
  • 1007.1906 #3 · backfill · confidence 0.70 Peter Spreij
  • 1005.1099 #1 · backfill · confidence 0.70 Peter Spreij
  • 1004.0429 #1 · backfill · confidence 0.70 Peter Spreij
  • 0910.5185 #2 · backfill · confidence 0.70 Peter Spreij
  • 0910.4337 #2 · backfill · confidence 0.70 Peter Spreij
  • 0909.5610 #3 · backfill · confidence 0.70 Peter Spreij
  • 0804.1039 #1 · backfill · confidence 0.70 Peter Spreij
  • 0802.1407 #2 · backfill · confidence 0.70 Peter Spreij
  • 0709.3413 #3 · backfill · confidence 0.70 Peter Spreij

Frequent Coauthors