20022020

Research output per year

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Research Output

2017

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

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)

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)

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)

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

Tutorial on General Quantile Time Series Constructions

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

Research output: Working paper

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)
2016

A Bayesian Perspective on Multiple Source Localization in Wireless Sensor Networks

Nguyen, T. L. T., Septier, F., Rajaona, H., Peters, G. W., Nevat, I. & Delignon, Y., 1 Apr 2016, In : IEEE Transactions on Signal Processing. 64, 7, p. 1684-1699

Research output: Contribution to journalArticle

15 Citations (Scopus)

Achievable rates for additive isotropic α-stable noise channels

Egan, M., De Freitas, M., Clavier, L., Goupil, A., Peters, G. W. & Azzaoui, N., 11 Aug 2016, 2016 IEEE International Symposium on Information Theory (ISIT). IEEE, p. 1874-1878 5 p. (IEEE International Symposium on Information Theory).

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

5 Citations (Scopus)

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Nguyen, T. L. T., Septier, F., Peters, G. W. & Delignon, Y., 1 Mar 2016, In : IEEE Transactions on Signal Processing. 64, 5, p. 1305-1319

Research output: Contribution to journalArticle

5 Citations (Scopus)

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Peters, G., Chen, W. & Gerlach, R., 20 May 2016, In : Risks. 4, 2, p. 14

Research output: Contribution to journalArticle

Event Detection in Sensor Networks with Non-Linear Amplifiers via Mixture Series Expansion

Zhang, P., Nevat, I., Peters, G. W. & Clavier, L., 15 Sep 2016, In : IEEE Sensors Journal. 16, 18, p. 6939-6946 8 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)
25 Citations (Scopus)

Location of Things: Geospatial Tagging for IoT Using Time-of-Arrival

Nevat, I., Peters, G. W., Avnit, K., Septier, F. & Clavier, L., Jun 2016, In : IEEE Transactions on Signal and Information Processing over Networks. 2, 2, p. 174-185 12 p.

Research output: Contribution to journalArticle

12 Citations (Scopus)

Location Verification Systems for VANETs in Rician Fading Channels

Yan, S., Malaney, R., Nevat, I. & Peters, G. W., Jul 2016, In : IEEE Transactions on Vehicular Technology. 65, 7, p. 5652-5664 13 p.

Research output: Contribution to journalArticle

17 Citations (Scopus)

Location Verification Systems Under Spatially Correlated Shadowing

Yan, S., Nevat, I., Peters, G. W. & Malaney, R., Jun 2016, In : IEEE Transactions on Wireless Communications. 15, 6, p. 4132-4144 13 p.

Research output: Contribution to journalArticle

17 Citations (Scopus)

Opening discussion on banking sector risk exposures and vulnerabilities from Virtual currencies: An Operational Risk perspective

Peters, G. W., Chapelle, A. & Panayi, E., 1 Nov 2016, In : Journal of Banking Regulation. 17, 4, p. 239-272 34 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)

Participatory Sensing Data Tweets for Micro-Urban Real-Time Resiliency Monitoring and Risk Management

Murakami, D., Peters, G. W., Yamagata, Y. & Matsui, T., 12 Jan 2016, In : IEEE Access. 4, p. 347-372 26 p.

Research output: Contribution to journalArticle

15 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)
35 Downloads (Pure)

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

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)

143 Citations (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

2015

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Peters, G. & Shevchenko, P. V., 1 May 2015, 1 ed. New York: John Wiley and Sons Inc. 656 p. (Wiley Handbooks in Financial Engineering and Econometrics)

Research output: Book/ReportBook

18 Citations (Scopus)

An Overview of Recent Advances in Monte-Carlo Methods for Bayesian Filtering in High-Dimensional Spaces

Septier, F. & Peters, G., 25 Dec 2015, Theoretical Aspects of Spatial-Temporal Modeling. Peters, G. & Matsui, T. (eds.). Springer, p. 31-61 ( JSS Research Series in Statistics).

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

A spatiotemporal analysis of participatory sensing data "tweets" and extreme climate events toward real-time urban risk management

Yamagata, Y., Murakami, D., Peters, G. W. & Matsui, T., 2015, Proceedings of CUPUM 2015. Ferreira Jr., J. & Goodspeed, R. (eds.). CUPUM

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

1 Citation (Scopus)

Dynamic speech emotion recognition with state-space models

Markov, K., Matsui, T., Septier, F. & Peters, G., 28 Dec 2015, 2015 23rd European Signal Processing Conference (EUSIPCO). IEEE, p. 2077-2081 5 p. (European Signal Processing Conference).

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

3 Citations (Scopus)

Estimation of Spatially Correlated Random Fields in Heterogeneous Wireless Sensor Networks

Nevat, I., Peters, G. W., Septier, F. & Matsui, T., 15 May 2015, In : IEEE Transactions on Signal Processing. 63, 10, p. 2597-2609

Research output: Contribution to journalArticle

22 Citations (Scopus)

Event Detection in Wireless Sensor Networks in Random Spatial Sensors Deployments

Zhang, P., Nevat, I., Peters, G. W., Xiao, G. & Tan, H-P., 15 Nov 2015, In : IEEE Transactions on Signal Processing. 63, 22, p. 6122-6135

Research output: Contribution to journalArticle

15 Citations (Scopus)

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Peters, G., Shevchenko, P. & Cruz, M., 1 Feb 2015, 1 ed. New York: John Wiley and Sons Inc. 928 p. (Wiley Handbooks in Financial Engineering and Econometrics)

Research output: Book/ReportBook

46 Citations (Scopus)

Heavy-tailed features and dependence in limit order book volume profiles in futures markets

Richards, K-A., Peters, G. W. & Dunsmuir, W., 1 Sep 2015, In : International Journal of Financial Engineering. 2, 3, p. 1550033

Research output: Contribution to journalArticle

How to Utilize Sensor Network Data to Efficiently Perform Model Calibration and Spatial Field Reconstruction

Peters, G. W., Nevat, I. & Matsui, T., 2015, Modern Methodology and Applications in Spatial-Temporal Modeling. Springer, p. 25-62 38 p. (JSS Research Series in Statistics).

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

3 Citations (Scopus)

Location spoofing detection for VANETs by a single base station in Rician fading channels

Yan, S., Malaney, R., Nevat, I. & Peters, G. W., 2 Jul 2015, 2015 IEEE 81st Vehicular Technology Conference (VTC Spring). IEEE, 7145917

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

4 Citations (Scopus)

Modern Methodology and Applications in Spatial-Temporal Modeling

Peters, G. W. (ed.) & Matsui, T. (ed.), 2015, Springer. 111 p. (JSS Research Series in Statistics)

Research output: Book/ReportBook

Pass go and collect $200: The profitable union of facilities and small-cells

Egan, M., Peters, G. W., Nevat, I. & Collings, I. B., 10 Sep 2015, 2015 IEEE International Conference on Communications (ICC). IEEE, p. 3423-3428 6 p. (International Conference on Communications (ICC)).

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

1 Citation (Scopus)

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)

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)

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)

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)

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)

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

Open Access

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)

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)
2014

A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving

Peters, G. W., Dong, A. X. D. & Kohn, R., 1 Nov 2014, In : Insurance: Mathematics and Economics. 59, p. 258-278

Research output: Contribution to journalArticle

Open Access
8 Citations (Scopus)