20022020

Research output per year

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Research Output

Wind storm estimation using a heterogeneous sensor network with high and low resolution sensors

Nevat, I., Peters, G. W., Septier, F. & Matsui, T., 10 Sep 2015, 2015 IEEE International Conference on Communications (ICC). IEEE, p. 4865-4870 6 p. (International Conference on Communications (ICC)).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

Ames, M., Bagnarosa, G., Peters, G., Shevchenko, P. V. & Matsui, T., 20 Sep 2016, SSRN, 29 p.

Research output: Working paper

Which risk factors drive oil futures price curves?

Ames, M., Bagnarosa, G., Matsui, T., Peters, G. W. & Shevchenko, P. V., Mar 2020, In : Energy Economics. 87, 104676.

Research output: Contribution to journalArticle

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, M., Bagnarosa, G. & Peters, G. W., 1 May 2017, In : Journal of International Money and Finance. 73, p. 162-187

Research output: Contribution to journalArticle

5 Citations (Scopus)

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Ames, M., Peters, G. W., Bagnarosa, G. & Kosmidis, I., 10 Jan 2015, Innovations in Quantitative Risk Management.. Springer, p. 163-181 19 p. (Springer Proceedings in Mathematics & Statistics; vol. 99).

Research output: Chapter in Book/Report/Conference proceedingChapter

Open Access
4 Citations (Scopus)

Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Ames, M., Bagnarosa, G., Peters, G. W. & Shevchenko, P. V., 25 Feb 2018, In : Journal of Forecasting. p. 1-27 27 p.

Research output: Contribution to journalArticle

Open Access
File
20 Downloads (Pure)

Understanding operational risk capital approximations: First and second orders

Peters, G., Targino, R. & Shevchenko, P., 1 Jan 2013, In : Journal of Governance and Regulation. 2, 3

Research output: Contribution to journalArticle

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Peters, G. & Panayi, E., 1 Jan 2016, Banking Beyond Banks and Money: A Guide to Banking Services in the Twenty-First Century. Springer, p. 239-279 (New Economic Windows).

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

151 Citations (Scopus)

Understanding Cyber-Risk and Cyber-Insurance

Peters, G., Shevchenko, P. V. & Cohen, R. D., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Freund, J. & Fairman, D. (eds.). Risk Books

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Tutorial on General Quantile Time Series Constructions

Peters, G., 21 Oct 2017, SSRN, 33 p.

Research output: Working paper

Open Access

Timing information in wireless communications and optimal location verification frameworks

Yan, S., Malaney, R., Nevat, I. & Peters, G. W., Feb 2014, 2014 Australian Communications Theory Workshop (AusCTW), 3-5 Feb. 2014. IEEE, p. 144-149

Research output: Chapter in Book/Report/Conference proceedingConference contribution

6 Citations (Scopus)

Theoretical Aspects of Spatial-Temporal Modeling

Peters, G. W. (ed.) & Matsui, T. (ed.), 2015, Springer. 124 p. (JSS Research Series in Statistics)

Research output: Book/ReportBook

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G. W., Mar 2018, In : Methodology and Computing in Applied Probability. 20, 1, p. 237-271

Research output: Contribution to journalArticle

Open Access
File
11 Downloads (Pure)

System identification in wireless relay networks via Gaussian process Iterated Conditioning on the Modes estimation

Nevat, I., Peters, G. W., Yuan, J. & Collings, I. B., Apr 2012, 2012 IEEE Wireless Communications and Networking Conference (WCNC). IEEE, p. 369-374 (IEEE Wireless Communications and Networking Conference.).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

System Identification in Wireless Relay Networks Via a Gaussian Process

Peters, G. W., Nevat, I., Yuan, J. & Collings, I. B., Nov 2012, In : IEEE Transactions on Vehicular Technology. 61, 9, p. 3969-3983

Research output: Contribution to journalArticle

2 Citations (Scopus)

Survival models for the duration of bid-ask spread deviations

Panayi, E. & Peters, G., 16 Oct 2014, 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, p. 9-16 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Supplement to: 'Spectral Characterization of the Family α-Stable Processes that Generalize Gaussian Process Models.'

Azzaoui, N., Peters, G., Guillin, A. & Egan, M., 12 Jan 2017, SSRN, 42 p.

Research output: Working paper

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components

Toczydlowska, D., Peters, G. W., Fung, M. C. & Shevchenko, P. V., Sep 2017, In : Risks. 5, 3, 42.

Research output: Contribution to journalArticle

Open Access
File
29 Downloads (Pure)

Statistical modelling for precision agriculture: A case study in optimal environmental schedules for Agaricus Bisporus production via variable domain functional regression

Panayi, E., Peters, G. W., Kyriakides, G. & Gao, Z-K. (ed.), 29 Sep 2017, In : PLoS ONE. 12, 9, p. e0181921

Research output: Contribution to journalArticle

Open Access
File
2 Citations (Scopus)
20 Downloads (Pure)

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Peters, G., Shevchenko, P. V., Cohen, R. D. & Maurice, D., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Freund, J. & Fairman, D. (eds.). Risk Books

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Man Chung Fung, S., Peters, G. & Shevchenko, P. V., 31 Jul 2015.

Research output: Contribution to conferencePaper

3 Citations (Scopus)

Standardized Measurement Approach for Operational Risk: Pros and Cons

Peters, G., Shevchenko, P. V., Hassani, B. & Chapelle, A., 4 Jun 2016, SSRN, 18 p.

Research output: Working paper

Spectrum sensing in cooperative cognitive networks with partial CSI

Nevat, I., Han, C., Peters, G. W. & Yuan, J., 29 Jul 2011, 2011 IEEE Statistical Signal Processing Workshop (SSP). IEEE, p. 373-376 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

Spectral Measures of Alpha-Stable Distributions: An Overview and Natural Applications in Wireless Communications

Peters, G., Azzaoui, N., Clavier, L. & Guillin, A., 20 Dec 2015, Theoretical Aspects of Spatial-Temporal Modeling. Springer, p. 69-94 (JSS Research Series in Statistics).

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process

Nagarajan, S. G., Peters, G. & Nevat, I., 27 Apr 2018, SSRN, 37 p.

Research output: Working paper

Spatial Field Reconstruction and Sensor Selection in Heterogeneous Sensor Networks With Stochastic Energy Harvesting

Zhang, P., Nevat, I., Peters, G., Septier, F. & Osborne, M. A., 1 May 2018, In : IEEE Transactions on Signal Processing. 66, 9, p. 2245-2257

Research output: Contribution to journalArticle

Open Access
File
14 Citations (Scopus)
93 Downloads (Pure)

Some recent developments in Markov Chain Monte Carlo for cointegrated time series

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., 8 Nov 2017, In : ESAIM: Proceedings and Surveys. 59, p. 76-103 28 p.

Research output: Contribution to journalArticle

Open Access
File
43 Downloads (Pure)

Skew-t copula for dependence modelling of impulsive (α-stable) interference

Yan, X., Clavier, L., Peters, G. W., Azzaoui, N., Septier, F. & Nevat, I., 10 Sep 2015, 2015 IEEE International Conference on Communications (ICC). IEEE, p. 4816-4821 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Citations (Scopus)

Signal strength based wireless Location Verification under spatially correlated shadowing

Yan, S., Malaney, R., Nevat, I. & Peters, G. W., 28 Aug 2014, 2014 IEEE International Conference on Communications (ICC). IEEE, p. 2617-2623 7 p. (International Conference on Communications (ICC)).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

6 Citations (Scopus)

Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Peters, G. W., Shevchenko, P. V., Hassani, B. & Chapelle, A., Sep 2016, In : Journal of Operational Risk. 11, 3, p. 1-49 49 p.

Research output: Contribution to journalArticle

Open Access
File
17 Citations (Scopus)
38 Downloads (Pure)

Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models

Del Moral, P., Doucet, A. & Peters, G. W., 2007, In : Theory of Probability and its Applications. 51, 3, p. 459-485 27 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)

Severe uncertainty and info-gap decision theory

Hayes, K. R., Barry, S. C., Hosack, G. R. & Peters, G. W., Jul 2013, In : Methods in Ecology and Evolution. 4, 7, p. 601-611 11 p.

Research output: Contribution to journalArticle

20 Citations (Scopus)

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Targino, R. S., Peters, G. W. & Shevchenko, P. V., Mar 2015, In : Insurance: Mathematics and Economics. 61, p. 206-226 21 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)

Sequential Monte Carlo Samplers

Peters, G., 1 Sep 2005, 200 p.

Research output: ThesisMaster's Thesis

Open Access
File
36 Downloads (Pure)

Sequential Monte Carlo-ABC Methods for Estimation of Stochastic Simulation Models of the Limit Order Book

Peters, G., Panayi, E. & Septier, F., 7 Dec 2018, Handbook of Approximate Bayesian Computation. Sisson, S. A., Fan, Y. & Beaumont, M. (eds.). Chapman & Hall, (Handbooks of Modern Statistical Methods).

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Sensor Selection and Random Field Reconstruction for Robust and Cost-effective Heterogeneous Weather Sensor Networks for the Developing World

Zhang, P., Nevat, I., Peters, G. W., Fruehwirt, W., Huang, Y., Anders, I. & Osborne, M., 12 Nov 2017.

Research output: Contribution to conferencePaper

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Approaches

Dong, A. X. D., Chan, J. S. K. & Peters, G. W., 1 Sep 2015, In : ASTIN Bulletin: The Journal of the IAA. 45, 3, p. 503-550

Research output: Contribution to journalArticle

6 Citations (Scopus)

Riemannian tangent space mapping and elastic net regularization for cost-effective EEG markers of brain atrophy in Alzheimer's disease

Fruehwirt, W., Gerstgrasser, M., Zhang, P., Weydemann, L., Waser, M., Schmidt, R., Benke, T., Dal-Bianco, P., Ransmayr, G., Grossegger, D., Garn, H., Peters, G. W., Roberts, S. & Dorffner, G., 8 Dec 2017.

Research output: Contribution to conferencePaper

Open Access

Receiver study for cooperative communications in convolved additive α-stable interference plus Gaussian thermal noise

Gu, W., Peters, G., Clavier, L., Septier, F. & Nevat, I., 25 Oct 2012, 2012 International Symposium on Wireless Communication Systems (ISWCS). IEEE, p. 451-455 5 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Citations (Scopus)

Rank estimation in cointegrated vector auto-regression models via automated Trans-dimensional Markov chain Monte Carlo

Peters, G. W., Lasscock, B. & Balakrishnan, K., 23 Jan 2012, 2011 4th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP). IEEE, p. 41-44 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Random Field Reconstruction With Quantization in Wireless Sensor Networks

Nevat, I., Peters, G. W. & Collings, I. B., 1 Dec 2013, In : IEEE Transactions on Signal Processing. 61, 23, p. 6020-6033

Research output: Contribution to journalArticle

33 Citations (Scopus)

Quantifying the uncertain effects of climate change on building energy consumption across the United States

Fonseca, J. A., Nevat, I. & Peters, G. W., 14 Aug 2020, In : Applied Energy. 277, 115556.

Research output: Contribution to journalArticle

Open Access
File
1 Downloads (Pure)

Quantifying Operational Risk

Peters, G. & Terauds, V., 1 Sep 2007, Australian Centre for Excellence in Risk Analysis. 50 p. (Low Probability Large Consequence Events, Australian Center for Excellence in Risk Analysis, Project no. 06/02)

Research output: Book/ReportCommissioned report

6 Citations (Scopus)

Probabilistic routing in wireless networks with privacy guarantees

Koh, J. Y., Peters, G. W., Nevat, I. & Leong, D., 1 Feb 2020, In : Computer Communications. 151, p. 228-237 10 p.

Research output: Contribution to journalArticle