20022020

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2020

Bayesian Spatial Field Reconstruction with Unknown Distortions in Sensor Networks

Xiang, Q., Nevat, I. & Peters, G., 2020, In : IEEE Transactions on Signal Processing. 68, p. 4336-4351 16 p.

Research output: Contribution to journalArticle

Open Access
File
2 Downloads (Pure)

Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., Apr 2020, In : Journal of the Royal Statistical Society. Series C: Applied Statistics. 69, 2, p. 483-500 18 p.

Research output: Contribution to journalArticle

Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods

Jiang, Y., Macrina, A. & Peters, G. W., 22 Sep 2020, In : Stochastic Analysis and Applications.

Research output: Contribution to journalArticle

File
Open Access
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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

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)

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

2019

An Advanced Estimation Algorithm for Ground-Motion Models with Spatial Correlation

Deyu, M., Huang, C., Peters, G. W. & Galasso, C., 1 Apr 2019, In : Bulletin of the Seismological Society of America. 109, 2, p. 541-566 26 p.

Research output: Contribution to journalArticle

Open Access
File
6 Citations (Scopus)
16 Downloads (Pure)

A Non-parametric Test and Predictive Model for Signed Path Dependence

Dias, F. S. & Peters, G. W., 22 Oct 2019, In : Computational Economics. p. 1-38 38 p.

Research output: Contribution to journalArticle

Open Access
File
19 Downloads (Pure)

Bayesian Cointegration with Linear State Space Models: a case study on the Soybean Crush Spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarossa, G., 21 Nov 2019, (Accepted/In press) In : Journal of the Royal Statistical Society Series C: Applied Statistics. 22 p.

Research output: Contribution to journalArticle

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Fung, M. C., Peters, G. W. & Shevchenko, P. V., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 109-144 36 p.

Research output: Contribution to journalArticle

Open Access
File
37 Downloads (Pure)
Open Access
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1 Downloads (Pure)

Multivariate Long-Memory Cohort Mortality Models

Yan, H., Peters, G. W. & Chan, J. S. K., 23 Dec 2019, In : ASTIN Bulletin.

Research output: Contribution to journalArticle

2018

Designating market maker behaviour in limit order book markets

Panayi, E., Peters, G. W., Danielsson, J. & Zigrand, J-P., Jan 2018, In : Econometrics and Statistics. 5, p. 20-44

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
27 Downloads (Pure)

Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance

Georgescu, D. I., Higham, N. J. & Peters, G. W., 14 Mar 2018, In : Royal Society Open Science. 5, 3, 172348.

Research output: Contribution to journalArticle

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

Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics

Toczydlowska, D. & Peters, G. W., 18 Jul 2018, In : Econometrics. 6, 3, 34.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
43 Downloads (Pure)

General Quantile Time Series Regressions for Applications in Population Demographics

Peters, G., 2018, In : Risks. 6, 3, 97.

Research output: Contribution to journalArticle

Open Access
File
1 Citation (Scopus)
13 Downloads (Pure)
Open Access
File
18 Downloads (Pure)

Location Verification Systems Based on Received Signal Strength With Unknown Transmit Power

Yan, S., Peters, G. W., Nevat, I. & Malaney, R., Mar 2018, In : IEEE Communications Letters. 22, 3, p. 650-653

Research output: Contribution to journalArticle

6 Citations (Scopus)

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)
94 Downloads (Pure)

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)

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
21 Downloads (Pure)
2017

A ruin theoretic design approach for wireless cellular network sharing with facilities

Egan, M., Peters, G. W., Nevat, I., Shirvanimoghaddam, M. & Collings, I. B., Jul 2017, In : Transactions on Emerging Telecommunications Technologies. 28, 7, e3141.

Research output: Contribution to journalArticle

2 Citations (Scopus)

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

Fung, M. C., Peters, G. W. & Shevchenko, P. V., 1 Sep 2017, In : Annals of Actuarial Science. 11, 2, p. 343-389

Research output: Contribution to journalArticle

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Peters, G., Targino, R. & Wüthrich, M., 20 Dec 2017, In : Risks. 5, 4, p. 53

Research output: Contribution to journalArticle

Open Access

Capacity Bounds for Additive Symmetric α -Stable Noise Channels

De Freitas, M. L., Egan, M., Clavier, L., Goupil, A., Peters, G. W. & Azzaoui, N., Aug 2017, In : IEEE Transactions on Information Theory. 63, 8, p. 5115-5123 9 p.

Research output: Contribution to journalArticle

16 Citations (Scopus)

Full Bayesian analysis of claims reserving uncertainty

Peters, G. W., Targino, R. S. & Wüthrich, M. V., 1 Mar 2017, In : Insurance: Mathematics and Economics. 73, p. 41-53 13 p.

Research output: Contribution to journalArticle

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

Targino, R. S., Peters, G. W., Sofronov, G. & Shevchenko, P. V., Jun 2017, In : Methodology and Computing in Applied Probability. 19, 2, p. 487-518 32 p.

Research output: Contribution to journalArticle

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

Optimal Privacy-Preserving Probabilistic Routing for Wireless Networks

Koh, J. Y., Leong, D., Peters, G. W., Nevat, I. & Wong, W-C., 1 Sep 2017, In : IEEE Transactions on Information Forensics and Security. 12, 9, p. 2105-2114

Research output: Contribution to journalArticle

9 Citations (Scopus)

Parameter Estimation in Sensor Networks Under Probabilistic Censoring

Nevat, I., Zhang, P., Frenkel, G. & Peters, G. W., 1 Aug 2017, In : IEEE Transactions on Signal Processing. 65, 15, p. 4047-4058 12 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

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)

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)

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)
39 Downloads (Pure)
2015

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

23 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)

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

3 Citations (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)