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Peter Spreij
Peter Spreij
Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
Zweryfikowany adres z uva.nl - Strona główna
Tytuł
Cytowane przez
Cytowane przez
Rok
An analytic approach to credit risk of large corporate bond and loan portfolios
A Lucas, P Klaassen, P Spreij, S Straetmans
Journal of Banking & Finance 25 (9), 1635-1664, 2001
1902001
Nonnegative matrix factorization and I-divergence alternating minimization
L Finesso, P Spreij
Linear Algebra and its Applications 416 (2-3), 270-287, 2006
922006
A kernel type nonparametric density estimator for decompounding
B Van Es, S Gugushvili, P Spreij
852007
On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
A Klein, P Spreij
Linear Algebra and its Applications 237, 579-590, 1996
451996
Nonparametric volatility density estimation
B Van Es, P Spreij, H Van Zanten
Bernoulli 9 (3), 451-465, 2003
432003
Approximate nonnegative matrix factorization via alternating minimization
L Finesso, P Spreij
arXiv preprint math/0402229, 2004
412004
Evolution in games with a continuous action space
M Van Veelen, P Spreij
Economic Theory 39 (3), 355-376, 2009
382009
Markov-modulated ornstein–uhlenbeck processes
G Huang, HM Jansen, M Mandjes, P Spreij, K De Turck
Advances in Applied Probability 48 (1), 235-254, 2016
372016
Approximation of stationary processes by hidden Markov models
L Finesso, A Grassi, P Spreij
Mathematics of control, signals, and systems 22 (1), 1-22, 2010
372010
Nonparametric volatility density estimation for discrete time models
B Van Es, P Spreij, H Van Zanten
Journal of Nonparametric Statistics 17 (2), 237-249, 2005
322005
On the resultant property of the Fisher information matrix of a vector ARMA process
A Klein, G Mélard, P Spreij
Linear algebra and its applications 403, 291-313, 2005
312005
On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process
A Klein, P Spreij
Linear Algebra and its Applications 329 (1-3), 9-47, 2001
302001
Large deviations for Markov-modulated diffusion processes with rapid switching
G Huang, M Mandjes, P Spreij
Stochastic Processes and their Applications 126 (6), 1785-1818, 2016
292016
Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
S Gugushvili, P Spreij
Lithuanian Mathematical Journal 54 (2), 127-141, 2014
292014
Tail behaviour of credit loss distributions for general latent factor models
A Lucas, P Klaassen, P Spreij, S Straetmans
Applied Mathematical Finance 10 (4), 337-357, 2003
292003
Software reliability as an application of martingale & filtering theory
G Koch, PJC Spreij
IEEE Transactions on Reliability 32 (4), 342-345, 1983
261983
Parameter estimation for a specific software reliability model
P Spreij
IEEE transactions on reliability 34 (4), 323-328, 1985
231985
Recursive approximate maximum likelihood estimation for a class of counting process models
P Spreij
Journal of multivariate analysis 39 (2), 236-245, 1991
221991
Deconvolution for an atomic distribution
B Van Es, S Gugushvili, P Spreij
212008
Fast and scalable non-parametric Bayesian inference for Poisson point processes
S Gugushvili, F Van Der Meulen, M Schauer, P Spreij
arXiv preprint arXiv:1804.03616, 2018
202018
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