Finesso, Lorenzo; Spreij, Peter Synchronous deautoconvolution algorithm for discrete-time positive signals via \(\mathcal{I}\)-divergence approximation. (English) Zbl 07890874 J. Comput. Appl. Math. 451, Article ID 116025, 16 p. (2024). MSC: 93C28 93C55 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, J. Comput. Appl. Math. 451, Article ID 116025, 16 p. (2024; Zbl 07890874) Full Text: DOI arXiv
Michielon, Matteo; Khedher, Asma; Spreij, Peter Proxying credit curves via Wasserstein distances. (English) Zbl 1537.91340 Ann. Oper. Res. 336, No. 1-2, 1351-1367 (2024). MSC: 91G40 91G20 49Q22 PDFBibTeX XMLCite \textit{M. Michielon} et al., Ann. Oper. Res. 336, No. 1--2, 1351--1367 (2024; Zbl 1537.91340) Full Text: DOI OA License
Finesso, Lorenzo; Spreij, Peter The inverse problem of positive autoconvolution. (English) Zbl 07821966 IEEE Trans. Inf. Theory 69, No. 6, 4081-4092 (2023). MSC: 94A12 65J22 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, IEEE Trans. Inf. Theory 69, No. 6, 4081--4092 (2023; Zbl 07821966) Full Text: DOI arXiv
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian volatility learning under microstructure noise. (English) Zbl 1516.62084 Jpn. J. Stat. Data Sci. 6, No. 1, 551-571 (2023). MSC: 62P05 62G20 62M05 62-08 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Jpn. J. Stat. Data Sci. 6, No. 1, 551--571 (2023; Zbl 1516.62084) Full Text: DOI arXiv
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter Weak solutions to gamma-driven stochastic differential equations. (English) Zbl 1532.60114 Indag. Math., New Ser. 34, No. 4, 820-829 (2023). MSC: 60H10 60H05 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Indag. Math., New Ser. 34, No. 4, 820--829 (2023; Zbl 1532.60114) Full Text: DOI arXiv OA License
Belomestny, Denis; van der Meulen, Frank; Spreij, Peter Nonparametric Bayesian inference for stochastic processes with piecewise constant priors. arXiv:2305.07432 Preprint, arXiv:2305.07432 [math.ST] (2023). MSC: 62G20 62M05 BibTeX Cite \textit{D. Belomestny} et al., ``Nonparametric Bayesian inference for stochastic processes with piecewise constant priors'', Preprint, arXiv:2305.07432 [math.ST] (2023) Full Text: DOI arXiv OA License
Derksen, Mike; Spreij, Peter; Van Wijnbergen, Sweder Accounting noise and the pricing of CoCos. (English) Zbl 1508.91556 Int. J. Theor. Appl. Finance 25, No. 7-8, Article ID 2250028, 60 p. (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Derksen} et al., Int. J. Theor. Appl. Finance 25, No. 7--8, Article ID 2250028, 60 p. (2022; Zbl 1508.91556) Full Text: DOI arXiv
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations. (English) Zbl 07594055 Bernoulli 28, No. 4, 2151-2180 (2022). MSC: 62Gxx 60Gxx 62Fxx PDFBibTeX XMLCite \textit{D. Belomestny} et al., Bernoulli 28, No. 4, 2151--2180 (2022; Zbl 07594055) Full Text: DOI arXiv Link
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. On capital allocation for a risk measure derived from ruin theory. (English) Zbl 1490.91169 Insur. Math. Econ. 104, 76-98 (2022). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{G. A. Delsing} et al., Insur. Math. Econ. 104, 76--98 (2022; Zbl 1490.91169) Full Text: DOI arXiv OA License
Michielon, Matteo; Khedher, Asma; Spreij, Peter From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations. (English) Zbl 1470.91284 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150017, 22 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{M. Michielon} et al., Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150017, 22 p. (2021; Zbl 1470.91284) Full Text: DOI arXiv
He, Jian; Khedher, Asma; Spreij, Peter A Kalman particle filter for online parameter estimation with applications to affine models. (English) Zbl 1471.62476 Stat. Inference Stoch. Process. 24, No. 2, 353-403 (2021). MSC: 62M20 62P05 65C35 93E11 PDFBibTeX XMLCite \textit{J. He} et al., Stat. Inference Stoch. Process. 24, No. 2, 353--403 (2021; Zbl 1471.62476) Full Text: DOI arXiv OA License
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment. (English) Zbl 1455.91217 Methodol. Comput. Appl. Probab. 22, No. 3, 927-948 (2020). MSC: 91G05 60G55 60J28 PDFBibTeX XMLCite \textit{G. A. Delsing} et al., Methodol. Comput. Appl. Probab. 22, No. 3, 927--948 (2020; Zbl 1455.91217) Full Text: DOI arXiv OA License
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient. (English) Zbl 1445.62071 Braz. J. Probab. Stat. 34, No. 3, 537-579 (2020). MSC: 62G07 60J60 60J70 60H10 62P20 91B84 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Braz. J. Probab. Stat. 34, No. 3, 537--579 (2020; Zbl 1445.62071) Full Text: DOI arXiv Euclid
Spreij, Peter; Storm, Jaap Diffusion limits for a Markov modulated binomial counting process. (English) Zbl 1434.60110 Probab. Eng. Inf. Sci. 34, No. 2, 235-257 (2020). MSC: 60F17 60F05 60J60 PDFBibTeX XMLCite \textit{P. Spreij} and \textit{J. Storm}, Probab. Eng. Inf. Sci. 34, No. 2, 235--257 (2020; Zbl 1434.60110) Full Text: DOI arXiv
van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik Regime switching affine processes with applications to finance. (English) Zbl 1435.91192 Finance Stoch. 24, No. 2, 309-333 (2020). MSC: 91G20 60J20 PDFBibTeX XMLCite \textit{M. van Beek} et al., Finance Stoch. 24, No. 2, 309--333 (2020; Zbl 1435.91192) Full Text: DOI OA License
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Bayesian wavelet de-noising with the caravan prior. (English) Zbl 1507.62231 ESAIM, Probab. Stat. 23, 947-978 (2019). MSC: 62F15 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., ESAIM, Probab. Stat. 23, 947--978 (2019; Zbl 1507.62231) Full Text: DOI arXiv
Mandjes, Michel; Starreveld, Nicos; Bekker, René; Spreij, Peter Dynamic Erdős-Rényi graphs. (English) Zbl 1482.68181 Steffen, Bernhard (ed.) et al., Computing and software science. State of the art and perspectives. Cham: Springer. Lect. Notes Comput. Sci. 10000, 123-140 (2019). MSC: 68R10 05C80 68Q87 PDFBibTeX XMLCite \textit{M. Mandjes} et al., Lect. Notes Comput. Sci. 10000, 123--140 (2019; Zbl 1482.68181) Full Text: DOI arXiv
Finesso, Lorenzo; Spreij, Peter Approximation of nonnegative systems by moving averages of fixed order. (English) Zbl 1429.93060 Automatica 107, 1-8 (2019). MSC: 93B15 93C28 93C55 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, Automatica 107, 1--8 (2019; Zbl 1429.93060) Full Text: DOI arXiv
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian inference for Gamma-type Lévy subordinators. (English) Zbl 1427.62020 Commun. Math. Sci. 17, No. 3, 781-816 (2019). MSC: 62G05 60G51 62G20 62P05 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Commun. Math. Sci. 17, No. 3, 781--816 (2019; Zbl 1427.62020) Full Text: DOI arXiv
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. An optimization approach to adaptive multi-dimensional capital management. (English) Zbl 1419.91355 Insur. Math. Econ. 84, 87-97 (2019). MSC: 91B30 62P05 62F15 PDFBibTeX XMLCite \textit{G. A. Delsing} et al., Insur. Math. Econ. 84, 87--97 (2019; Zbl 1419.91355) Full Text: DOI arXiv Link
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter A non-parametric Bayesian approach to decompounding from high frequency data. (English) Zbl 1395.62079 Stat. Inference Stoch. Process. 21, No. 1, 53-79 (2018). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 62G07 62F15 62G20 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Stat. Inference Stoch. Process. 21, No. 1, 53--79 (2018; Zbl 1395.62079) Full Text: DOI arXiv OA License
Mandjes, Michel; Spreij, Peter A note on the central limit theorem for the idleness process in a one-sided reflected Ornstein-Uhlenbeck model. (English) Zbl 1528.60084 Stat. Neerl. 71, No. 3, 225-235 (2017). MSC: 60J60 60F17 60K25 PDFBibTeX XMLCite \textit{M. Mandjes} and \textit{P. Spreij}, Stat. Neerl. 71, No. 3, 225--235 (2017; Zbl 1528.60084) Full Text: DOI arXiv
Mandjes, Michel; Spreij, Peter Explicit computations for some Markov modulated counting processes. (English) Zbl 1369.60053 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 63-89 (2016). MSC: 60J27 60J28 60G55 60G44 91G80 PDFBibTeX XMLCite \textit{M. Mandjes} and \textit{P. Spreij}, Springer Proc. Math. Stat. 189, 63--89 (2016; Zbl 1369.60053) Full Text: DOI arXiv
Gugushvili, Shota; Spreij, Peter Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation. (English) Zbl 1357.62200 ESAIM, Probab. Stat. 20, 143-153 (2016). MSC: 62G20 62M05 62F15 60H10 PDFBibTeX XMLCite \textit{S. Gugushvili} and \textit{P. Spreij}, ESAIM, Probab. Stat. 20, 143--153 (2016; Zbl 1357.62200) Full Text: DOI arXiv
Finesso, Lorenzo; Spreij, Peter Factor analysis models via I-divergence optimization. (English) Zbl 1345.62085 Psychometrika 81, No. 3, 702-726 (2016). MSC: 62H25 62B10 62P15 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, Psychometrika 81, No. 3, 702--726 (2016; Zbl 1345.62085) Full Text: DOI OA License
Huang, G.; Jansen, H. M.; Mandjes, M.; Spreij, P.; De Turck, K. Markov-modulated Ornstein-Uhlenbeck processes. (English) Zbl 1337.60191 Adv. Appl. Probab. 48, No. 1, 235-254 (2016). MSC: 60J60 60J27 60F17 60F05 60G44 60G15 PDFBibTeX XMLCite \textit{G. Huang} et al., Adv. Appl. Probab. 48, No. 1, 235--254 (2016; Zbl 1337.60191) Full Text: DOI arXiv Euclid
Huang, Gang; Mandjes, Michel; Spreij, Peter Large deviations for Markov-modulated diffusion processes with rapid switching. (English) Zbl 1336.60054 Stochastic Processes Appl. 126, No. 6, 1785-1818 (2016). MSC: 60F10 60J60 PDFBibTeX XMLCite \textit{G. Huang} et al., Stochastic Processes Appl. 126, No. 6, 1785--1818 (2016; Zbl 1336.60054) Full Text: DOI
Finesso, Lorenzo; Spreij, Peter Approximation of nonnegative systems by finite impulse response convolutions. (English) Zbl 1359.94249 IEEE Trans. Inf. Theory 61, No. 8, 4399-4409 (2015). MSC: 94A15 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, IEEE Trans. Inf. Theory 61, No. 8, 4399--4409 (2015; Zbl 1359.94249) Full Text: DOI arXiv
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter Nonparametric Bayesian inference for multidimensional compound Poisson processes. (English) Zbl 1349.62115 Mod. Stoch., Theory Appl. 2, No. 1, 1-15 (2015). MSC: 62G07 60G51 62F15 62G05 62G20 62M30 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., Mod. Stoch., Theory Appl. 2, No. 1, 1--15 (2015; Zbl 1349.62115) Full Text: DOI arXiv
Huang, Gang; Mandjes, Michel; Spreij, Peter Limit theorems for reflected Ornstein-Uhlenbeck processes. (English) Zbl 07862539 Stat. Neerl. 68, No. 1, 25-42 (2014). MSC: 60J60 60F05 60F10 PDFBibTeX XMLCite \textit{G. Huang} et al., Stat. Neerl. 68, No. 1, 25--42 (2014; Zbl 07862539) Full Text: DOI arXiv
Gugushvili, Shota; Spreij, Peter Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations. (English) Zbl 1307.62094 Lith. Math. J. 54, No. 2, 127-141 (2014). MSC: 62G05 62F15 62G20 62M05 60H10 PDFBibTeX XMLCite \textit{S. Gugushvili} and \textit{P. Spreij}, Lith. Math. J. 54, No. 2, 127--141 (2014; Zbl 1307.62094) Full Text: DOI arXiv
Gugushvili, Shota; Spreij, Peter Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion. (English) Zbl 1305.62192 ESAIM, Probab. Stat. 18, 332-341 (2014). MSC: 62G20 62F15 62M05 60J65 PDFBibTeX XMLCite \textit{S. Gugushvili} and \textit{P. Spreij}, ESAIM, Probab. Stat. 18, 332--341 (2014; Zbl 1305.62192) Full Text: DOI arXiv
Klein, André; Spreij, Peter A block Hankel generalized confluent Vandermonde matrix. (English) Zbl 1292.15030 Linear Algebra Appl. 455, 32-72 (2014). MSC: 15B05 15A09 15A23 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 455, 32--72 (2014; Zbl 1292.15030) Full Text: DOI arXiv
Huang, Gang; Mandjes, Michel; Spreij, Peter Weak convergence of Markov-modulated diffusion processes with rapid switching. (English) Zbl 1293.60076 Stat. Probab. Lett. 86, 74-79 (2014). MSC: 60J60 60F05 PDFBibTeX XMLCite \textit{G. Huang} et al., Stat. Probab. Lett. 86, 74--79 (2014; Zbl 1293.60076) Full Text: DOI arXiv
Gugushvili, Shota; Spreij, Peter A note on non-parametric Bayesian estimation for Poisson point processes. arXiv:1304.7353 Preprint, arXiv:1304.7353 [math.ST] (2013). MSC: 62G20 62M30 BibTeX Cite \textit{S. Gugushvili} and \textit{P. Spreij}, ``A note on non-parametric Bayesian estimation for Poisson point processes'', Preprint, arXiv:1304.7353 [math.ST] (2013) Full Text: arXiv OA License
Gugushvili, Shota; Spreij, Peter Parametric inference for stochastic differential equations: a smooth and match approach. (English) Zbl 1277.62195 ALEA, Lat. Am. J. Probab. Math. Stat. 9, No. 2, 609-635 (2012). MSC: 62M05 62G07 62G20 60H10 65C60 PDFBibTeX XMLCite \textit{S. Gugushvili} and \textit{P. Spreij}, ALEA, Lat. Am. J. Probab. Math. Stat. 9, No. 2, 609--635 (2012; Zbl 1277.62195) Full Text: arXiv Link
Spreij, Peter; Veerman, Enno Affine diffusions with non-canonical state space. (English) Zbl 1260.60112 Stochastic Anal. Appl. 30, No. 4, 605-641 (2012). Reviewer: Stefan Tappe (Hannover) MSC: 60H10 60J25 91G80 PDFBibTeX XMLCite \textit{P. Spreij} and \textit{E. Veerman}, Stochastic Anal. Appl. 30, No. 4, 605--641 (2012; Zbl 1260.60112) Full Text: DOI arXiv
Klein, André; Spreij, Peter Transformed statistical distance measures and the Fisher information matrix. (English) Zbl 1239.62061 Linear Algebra Appl. 437, No. 2, 692-712 (2012). MSC: 62H05 15B99 62M10 62H99 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 437, No. 2, 692--712 (2012; Zbl 1239.62061) Full Text: DOI arXiv
Spreij, Peter; Veerman, Enno; Vlaar, Peter An affine two-factor heteroskedastic macro-finance term structure model. (English) Zbl 1239.91173 Appl. Math. Finance 18, No. 3-4, 331-352 (2011). MSC: 91G30 91G70 65C05 91G60 PDFBibTeX XMLCite \textit{P. Spreij} et al., Appl. Math. Finance 18, No. 3--4, 331--352 (2011; Zbl 1239.91173) Full Text: DOI
Leijdekker, V. J. G.; Mandjes, M. R. H.; Spreij, P. J. C. Sample-path large deviations in credit risk. (English) Zbl 1235.91169 J. Appl. Math. 2011, Article ID 354171, 28 p. (2011). MSC: 91G40 PDFBibTeX XMLCite \textit{V. J. G. Leijdekker} et al., J. Appl. Math. 2011, Article ID 354171, 28 p. (2011; Zbl 1235.91169) Full Text: DOI arXiv OA License
Gugushvili, Shota; van Es, Bert; Spreij, Peter Deconvolution for an atomic distribution: rates of convergence. (English) Zbl 1230.62041 J. Nonparametric Stat. 23, No. 4, 1003-1029 (2011). MSC: 62G07 62G20 PDFBibTeX XMLCite \textit{S. Gugushvili} et al., J. Nonparametric Stat. 23, No. 4, 1003--1029 (2011; Zbl 1230.62041) Full Text: DOI arXiv
Leijdekker, Vincent; Spreij, Peter Explicit computations for a filtering problem with point process observations with applications to credit risk. (English) Zbl 1226.62087 Probab. Eng. Inf. Sci. 25, No. 3, 393-418 (2011). MSC: 62M20 60G55 62P05 60J65 91G40 60G35 PDFBibTeX XMLCite \textit{V. Leijdekker} and \textit{P. Spreij}, Probab. Eng. Inf. Sci. 25, No. 3, 393--418 (2011; Zbl 1226.62087) Full Text: DOI arXiv
van Es, Bert; Spreij, Peter; van Zanten, Harry Nonparametric methods for volatility density estimation. (English) Zbl 1230.91199 Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 293-312 (2011). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G70 62G07 62G08 62M07 PDFBibTeX XMLCite \textit{B. van Es} et al., in: Advanced mathematical methods for finance. Berlin: Springer. 293--312 (2011; Zbl 1230.91199) Full Text: DOI arXiv
Van Es, Bert; Spreij, Peter Estimation of a multivariate stochastic volatility density by kernel deconvolution. (English) Zbl 1207.62086 J. Multivariate Anal. 102, No. 3, 683-697 (2011). MSC: 62G07 62M09 62P05 62H12 PDFBibTeX XMLCite \textit{B. Van Es} and \textit{P. Spreij}, J. Multivariate Anal. 102, No. 3, 683--697 (2011; Zbl 1207.62086) Full Text: DOI arXiv
Gugushvili, Shota (ed.); Klaassen, Chris (ed.); Spreij, Peter (ed.) Editorial introduction. (English) Zbl 07881745 Stat. Neerl. 64, No. 3, 255-256 (2010). MSC: 00Bxx 62-XX PDFBibTeX XMLCite \textit{S. Gugushvili} (ed.) et al., Stat. Neerl. 64, No. 3, 255--256 (2010; Zbl 07881745) Full Text: DOI
Finesso, Lorenzo; Grassi, Angela; Spreij, Peter Approximation of stationary processes by hidden Markov models. (English) Zbl 1248.93151 Math. Control Signals Syst. 22, No. 1, 1-22 (2010). MSC: 93E03 60J20 PDFBibTeX XMLCite \textit{L. Finesso} et al., Math. Control Signals Syst. 22, No. 1, 1--22 (2010; Zbl 1248.93151) Full Text: DOI arXiv OA License
Klein, André; Spreij, Peter Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes. (English) Zbl 1191.94071 Linear Algebra Appl. 432, No. 8, 1975-1989 (2010). MSC: 94A17 15A23 15B57 62B10 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 432, No. 8, 1975--1989 (2010; Zbl 1191.94071) Full Text: DOI
Finesso, L.; Grassi, A.; Spreij, P. Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models. arXiv:1007.3435 Preprint, arXiv:1007.3435 [math.OC] (2010). MSC: 93E03 60J10 BibTeX Cite \textit{L. Finesso} et al., ``Two-step Nonnegative Matrix Factorization Algorithm for the Approximate Realization of Hidden Markov Models'', Preprint, arXiv:1007.3435 [math.OC] (2010) Full Text: arXiv OA License
Spreij, Peter; Veerman, Enno The affine transform formula for affine jump-diffusions with a general closed convex state space. arXiv:1005.1099 Preprint, arXiv:1005.1099 [math.PR] (2010). MSC: 60J60 91G30 BibTeX Cite \textit{P. Spreij} and \textit{E. Veerman}, ``The affine transform formula for affine jump-diffusions with a general closed convex state space'', Preprint, arXiv:1005.1099 [math.PR] (2010) Full Text: arXiv OA License
van Veelen, Matthijs; Spreij, Peter Evolution in games with a continuous action space. (English) Zbl 1166.91008 Econ. Theory 39, No. 3, 355-376 (2009). Reviewer: Jérôme Renault (Palaiseau) MSC: 91A22 PDFBibTeX XMLCite \textit{M. van Veelen} and \textit{P. Spreij}, Econ. Theory 39, No. 3, 355--376 (2009; Zbl 1166.91008) Full Text: DOI OA License
Klein, André; Spreij, Peter Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices. (English) Zbl 1152.62058 Linear Algebra Appl. 430, No. 2-3, 674-691 (2009). MSC: 62M10 15A99 26B12 62H99 15B57 15A69 62B10 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 430, No. 2--3, 674--691 (2009; Zbl 1152.62058) Full Text: DOI
Klein, André; Spreij, Peter Recursive solution of certain structured linear systems. (English) Zbl 1160.15005 SIAM J. Matrix Anal. Appl. 29, No. 4, 1191-1217 (2008). Reviewer: Hans Havlicek (Wien) MSC: 15A06 15B57 62M10 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, SIAM J. Matrix Anal. Appl. 29, No. 4, 1191--1217 (2008; Zbl 1160.15005) Full Text: DOI Link
Van Es, Bert; Gugushvili, Shota; Spreij, Peter Deconvolution for an atomic distribution. (English) Zbl 1135.62029 Electron. J. Stat. 2, 265-297 (2008). MSC: 62G07 62G20 PDFBibTeX XMLCite \textit{B. Van Es} et al., Electron. J. Stat. 2, 265--297 (2008; Zbl 1135.62029) Full Text: DOI arXiv
Finesso, Lorenzo; Spreij, Peter Approximate factor analysis model building via alternating I-divergence minimization. arXiv:0812.1804 Preprint, arXiv:0812.1804 [math.PR] (2008). MSC: 62H25 62B10 BibTeX Cite \textit{L. Finesso} and \textit{P. Spreij}, ``Approximate factor analysis model building via alternating I-divergence minimization'', Preprint, arXiv:0812.1804 [math.PR] (2008) Full Text: DOI arXiv OA License
Spreij, Peter; Veerman, Enno Negative volatility for a 2-dimensional square root SDE. arXiv:0807.1224 Preprint, arXiv:0807.1224 [math.PR] (2008). BibTeX Cite \textit{P. Spreij} and \textit{E. Veerman}, ``Negative volatility for a 2-dimensional square root SDE'', Preprint, arXiv:0807.1224 [math.PR] (2008) Full Text: arXiv OA License
Spreij, Peter; Veerman, Enno; Vlaar, Peter Multivariate Feller conditions in term structure models: Why do(n’t) we care? arXiv:0804.1039 Preprint, arXiv:0804.1039 [q-fin.ST] (2008). MSC: 62P05 62P20 91B28 BibTeX Cite \textit{P. Spreij} et al., ``Multivariate Feller conditions in term structure models: Why do(n't) we care?'', Preprint, arXiv:0804.1039 [q-fin.ST] (2008) Full Text: arXiv OA License
van Es, Bert; Gugushvili, Shota; Spreij, Peter A kernel type nonparametric density estimator for decompounding. (English) Zbl 1129.62030 Bernoulli 13, No. 3, 672-694 (2007). MSC: 62G07 62M09 65C60 62G20 PDFBibTeX XMLCite \textit{B. van Es} et al., Bernoulli 13, No. 3, 672--694 (2007; Zbl 1129.62030) Full Text: DOI arXiv Euclid
Finesso, Lorenzo; Spreij, Peter Factor analysis and alternating minimization. (English) Zbl 1144.62043 Chiuso, Alessandro (ed.) et al., Modeling, estimation and control. Festschrift in honor of Giorgio Picci on the occasion of his sixty-fifth birthday. Papers presented at the symposium, Venice, Italy, October 4–5, 2007. Berlin: Springer (ISBN 978-3-540-73569-4/pbk). Lecture Notes in Control and Information Sciences 364, 85-96 (2007). MSC: 62H25 65K99 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, Lect. Notes Control Inf. Sci. 364, 85--96 (2007; Zbl 1144.62043) Full Text: arXiv
Klein, André; Spreij, Peter An explicit expression for the Fisher information matrix of a multiple time series process. (English) Zbl 1092.62087 Linear Algebra Appl. 417, No. 1, 140-149 (2006). MSC: 62M10 26B12 15A69 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 417, No. 1, 140--149 (2006; Zbl 1092.62087) Full Text: DOI Link
Klein, André; Spreij, Peter The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process. (English) Zbl 1096.62085 Linear Algebra Appl. 416, No. 1, 160-174 (2006). MSC: 62M10 15A23 62B10 93B15 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 416, No. 1, 160--174 (2006; Zbl 1096.62085) Full Text: DOI arXiv
Finesso, Lorenzo; Spreij, Peter Nonnegative matrix factorization and I-divergence alternating minimization. (English) Zbl 1109.15007 Linear Algebra Appl. 416, No. 2-3, 270-287 (2006). Reviewer: Ralf Gramlich (Darmstadt) MSC: 15A23 15B48 PDFBibTeX XMLCite \textit{L. Finesso} and \textit{P. Spreij}, Linear Algebra Appl. 416, No. 2--3, 270--287 (2006; Zbl 1109.15007) Full Text: DOI arXiv
Klein, André; Mélard, Guy; Spreij, Peter On the resultant property of the Fisher information matrix of a vector ARMA process. (English) Zbl 1084.15021 Linear Algebra Appl. 403, 291-313 (2005). Reviewer: Valeriu Prepeliţă (Bucureşti) MSC: 15B57 15A23 15A69 62B10 62H12 62M10 PDFBibTeX XMLCite \textit{A. Klein} et al., Linear Algebra Appl. 403, 291--313 (2005; Zbl 1084.15021) Full Text: DOI Link
Klein, André; Spreij, Peter On the solution of Stein’s equation and Fisher’s information matrix of an ARMAX process. (English) Zbl 1085.15017 Linear Algebra Appl. 396, 1-34 (2005). Reviewer: Michal Zajac (Bratislava) MSC: 15A24 15A09 62F12 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 396, 1--34 (2005; Zbl 1085.15017) Full Text: DOI
van Es, Bert; Spreij, Peter; van Zanten, Harry Nonparametric volatility density estimation for discrete time models. (English) Zbl 1055.62038 J. Nonparametric Stat. 17, No. 2, 237-251 (2005). MSC: 62G07 62P05 62M07 PDFBibTeX XMLCite \textit{B. van Es} et al., J. Nonparametric Stat. 17, No. 2, 237--251 (2005; Zbl 1055.62038) Full Text: DOI arXiv
Finesso, Lorenzo; Spreij, Peter Approximate Nonnegative Matrix Factorization via Alternating Minimization. arXiv:math/0402229 Preprint, arXiv:math/0402229 [math.OC] (2004). MSC: 93E03 BibTeX Cite \textit{L. Finesso} and \textit{P. Spreij}, ``Approximate Nonnegative Matrix Factorization via Alternating Minimization'', Preprint, arXiv:math/0402229 [math.OC] (2004) Full Text: arXiv
Lucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan Tail behaviour of credit loss distributions for general latent factor models. (English) Zbl 1070.91032 Appl. Math. Finance 10, No. 4, 337-357 (2003). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Lucas} et al., Appl. Math. Finance 10, No. 4, 337--357 (2003; Zbl 1070.91032) Full Text: DOI
van Es, Bert; Spreij, Peter; van Zanten, Harry Nonparametric volatility density estimation. (English) Zbl 1044.62037 Bernoulli 9, No. 3, 451-465 (2003). MSC: 62G07 62P05 62M05 PDFBibTeX XMLCite \textit{B. van Es} et al., Bernoulli 9, No. 3, 451--465 (2003; Zbl 1044.62037) Full Text: DOI arXiv
Spreij, Peter On hidden Markov chains and finite stochastic systems. (English) Zbl 1116.93391 Stat. Probab. Lett. 62, No. 2, 189-201 (2003). MSC: 93E03 60G42 60J10 93E11 PDFBibTeX XMLCite \textit{P. Spreij}, Stat. Probab. Lett. 62, No. 2, 189--201 (2003; Zbl 1116.93391) Full Text: DOI arXiv
Klein, André; Spreij, Peter Some results on Vandermonde matrices with an application to time series analysis. (English) Zbl 1061.65005 SIAM J. Matrix Anal. Appl. 25, No. 1, 213-223 (2003). MSC: 65C60 62M10 15B57 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, SIAM J. Matrix Anal. Appl. 25, No. 1, 213--223 (2003; Zbl 1061.65005) Full Text: DOI
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko Information processes for semimartingale experiments. (English) Zbl 1020.60019 Ann. Probab. 31, No. 1, 216-243 (2003). Reviewer: Fritz Liese (Rostock) MSC: 60G07 60H30 PDFBibTeX XMLCite \textit{K. Dzhaparidze} et al., Ann. Probab. 31, No. 1, 216--243 (2003; Zbl 1020.60019) Full Text: DOI
Boshuizen, Frans; Spreij, Peter Calculating mortgages. (Dutch) Zbl 1239.91171 Nieuw Arch. Wiskd. (5) 3, No. 1, 42-48 (2002). MSC: 91G30 60H10 PDFBibTeX XMLCite \textit{F. Boshuizen} and \textit{P. Spreij}, Nieuw Arch. Wiskd. (5) 3, No. 1, 42--48 (2002; Zbl 1239.91171)
Spreij, Peter The Itô formula without stochastic integration. (Dutch) Zbl 1239.60001 Nieuw Arch. Wiskd. (5) 3, No. 1, 21-22 (2002). MSC: 60-03 01A60 60H05 PDFBibTeX XMLCite \textit{P. Spreij}, Nieuw Arch. Wiskd. (5) 3, No. 1, 21--22 (2002; Zbl 1239.60001)
Dzhaparidze, K.; Spreij, P.; Valkeila, E. Information concept in filtered experiments. (English) Zbl 1057.94007 Teor. Jmovirn. Mat. Stat. 67, 38-56 (2002) and Theory Probab. Math. Stat. 67, 43-62 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 94A17 62B10 PDFBibTeX XMLCite \textit{K. Dzhaparidze} et al., Teor. Ĭmovirn. Mat. Stat. 67, 38--56 (2002; Zbl 1057.94007)
Spreij, Peter On the Markov property of a finite hidden Markov chain. (English) Zbl 0987.60085 Stat. Probab. Lett. 52, No. 3, 279-288 (2001). Reviewer: Vjatscheslav Vasiliev (Tomsk) MSC: 60J10 93E11 62M20 PDFBibTeX XMLCite \textit{P. Spreij}, Stat. Probab. Lett. 52, No. 3, 279--288 (2001; Zbl 0987.60085) Full Text: DOI
Klein, Andre; Spreij, Peter On Stein’s equation, Vandermonde matrices and Fisher’s information matrix of time series processes. I: The autoregressive moving average process. (English) Zbl 0999.62069 Linear Algebra Appl. 329, No. 1-3, 9-47 (2001). MSC: 62M10 15A24 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 329, No. 1--3, 9--47 (2001; Zbl 0999.62069) Full Text: DOI
Dzhaparidze, K.; Spreij, P. J. C.; van Zanten, J. H. Some aspects of modeling and statistical inference for financial models. (English) Zbl 1018.62095 Stat. Neerl. 54, No. 3, 265-292 (2000). MSC: 62P05 62M05 PDFBibTeX XMLCite \textit{K. Dzhaparidze} et al., Stat. Neerl. 54, No. 3, 265--292 (2000; Zbl 1018.62095) Full Text: DOI Link
Spreij, Peter A representation result for finite Markov chains. (English) Zbl 1246.60067 Stat. Probab. Lett. 38, No. 2, 183-186 (1998). MSC: 60G42 60G44 60J10 60J27 PDFBibTeX XMLCite \textit{P. Spreij}, Stat. Probab. Lett. 38, No. 2, 183--186 (1998; Zbl 1246.60067) Full Text: DOI
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko On Hellinger processes for parametric families of experiments. (English) Zbl 0945.62008 Kabanov, Yu. M. (ed.) et al., Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 41-61 (1997). MSC: 62B15 PDFBibTeX XMLCite \textit{K. Dzhaparidze} et al., in: Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 41--61 (1997; Zbl 0945.62008)
Klein, André; Spreij, Peter On Fisher’s information matrix of an ARMA process. (English) Zbl 0890.62069 Csiszár, I. (ed.) et al., Stochastic differential and difference equations. Papers from the conference, Györ, Hungary, August 21–24, 1996. Boston, MA: Birkhäuser. Prog. Syst. Control Theory. 23, 273-284 (1997). MSC: 62M10 93E12 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, in: Stochastic differential and difference equations. Papers from the conference, Györ, Hungary, August 21--24, 1996. Boston, MA: Birkhäuser. 273--284 (1997; Zbl 0890.62069)
Klein, André; Spreij, Peter On Fisher’s information matrix of an ARMAX process and Sylvester’s resultant matrices. (English) Zbl 0843.62087 Linear Algebra Appl. 237-238, 579-590 (1996). MSC: 62M10 15A99 15A24 PDFBibTeX XMLCite \textit{A. Klein} and \textit{P. Spreij}, Linear Algebra Appl. 237--238, 579--590 (1996; Zbl 0843.62087) Full Text: DOI
Spreij, Peter A crash course in stochastic calculus with applications to mathematical finance. (English) Zbl 0917.60004 CWI Q. 9, No. 4, 357-388 (1996). MSC: 60-01 60H05 60H10 60H30 91B28 PDFBibTeX XMLCite \textit{P. Spreij}, CWI Q. 9, No. 4, 357--388 (1996; Zbl 0917.60004)
Dzhaparidze, Kacha; Spreij, Peter On optimality of regular projective estimators for semimartingale models. III: One step improvements. (English) Zbl 0897.60045 Stochastics Stochastics Rep. 56, No. 1-2, 63-74 (1996). MSC: 60G35 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastics Stochastics Rep. 56, No. 1--2, 63--74 (1996; Zbl 0897.60045) Full Text: DOI
Spreij, P. J. C. On Markov chains and filtrations (neither wine, nor bottles). (English) Zbl 0888.60066 Shiryaev, A. N. (ed.) et al., Frontiers in pure and applied probability II. Proceedings of the fourth Russian-Finnish symposium on probability theory and mathematical statistics. Moscow (Russia), October 3-8, 1993. Moskva: TVP. Front. Pure Appl. Probab. 8, 187-194 (1996). MSC: 60J25 PDFBibTeX XMLCite \textit{P. J. C. Spreij}, Front. Pure Appl. Probab. 8, 187--194 (1996; Zbl 0888.60066)
Dzhaparidze, Kacha; Spreij, Peter On optimality of regular projective estimators for semimartingale models. II: Asymptotically linear estimators. (English) Zbl 0826.60036 Stochastics Stochastics Rep. 47, No. 3-4, 247-268 (1994). MSC: 60G42 62F10 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastics Stochastics Rep. 47, No. 3--4, 247--268 (1994; Zbl 0826.60036) Full Text: DOI
Dzhaparidze, Kacha; Spreij, Peter Spectral characterization of the optimal quadratic variation process. (English) Zbl 0814.60042 Stochastic Processes Appl. 54, No. 1, 165-174 (1994). Reviewer: A.Gut (Uppsala) MSC: 60G48 60H05 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastic Processes Appl. 54, No. 1, 165--174 (1994; Zbl 0814.60042) Full Text: DOI
Dzhaparidze, Kacha; Spreij, Peter The strong law of large numbers for martingales with deterministic quadratic variation. (English) Zbl 0810.60030 Stochastics Stochastics Rep. 42, No. 1, 53-65 (1993). Reviewer: V.Koval’ (Ternopil) MSC: 60F15 60G44 62F10 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastics Stochastics Rep. 42, No. 1, 53--65 (1993; Zbl 0810.60030) Full Text: DOI Link
Dzhaparidze, Kacha; Spreij, Peter On optimality of regular projective estimators in semimartingale models. (English) Zbl 0794.60036 Stochastics Stochastics Rep. 43, No. 3-4, 161-178 (1993). Reviewer: M.P.Moklyachuk (Kiev) MSC: 60G35 93E11 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastics Stochastics Rep. 43, No. 3--4, 161--178 (1993; Zbl 0794.60036) Full Text: DOI Link
Dzhaparidze, Kacha; Spreij, Peter On correlation calculus for multivariate martingales. (English) Zbl 0779.60044 Stochastic Processes Appl. 46, No. 2, 283-299 (1993). Reviewer: Yu.S.Mishura (Kiev) MSC: 60G44 PDFBibTeX XMLCite \textit{K. Dzhaparidze} and \textit{P. Spreij}, Stochastic Processes Appl. 46, No. 2, 283--299 (1993; Zbl 0779.60044) Full Text: DOI
Spreij, Peter Recursive approximate maximum likelihood estimation for a class of counting process models. (English) Zbl 0739.62069 J. Multivariate Anal. 39, No. 2, 236-245 (1991). MSC: 62M09 62L12 60F05 60G44 PDFBibTeX XMLCite \textit{P. Spreij}, J. Multivariate Anal. 39, No. 2, 236--245 (1991; Zbl 0739.62069) Full Text: DOI
Spreij, P. J. C. Counting process systems. Identification and stochastic realization. Slightly revised version of the author’s thesis prepared at CWI. (English) Zbl 0703.62085 CWI Tract, 71. Amsterdam: Centrum voor Wiskunde en Informatica. 135 p. (1990). Reviewer: M.Kohlmann MSC: 62M05 93E12 60G55 93E03 93E10 62F12 62-02 PDFBibTeX XMLCite \textit{P. J. C. Spreij}, Counting process systems. Identification and stochastic realization. Slightly revised version of the author's thesis prepared at CWI. Amsterdam: Centrum voor Wiskunde en Informatica (1990; Zbl 0703.62085)
Spreij, Peter Minimality and reducibility of conditionally Poisson systems with finite state space. (English) Zbl 0712.60056 Stochastics Stochastics Rep. 31, No. 1-4, 55-77 (1990). Reviewer: N.Semejko MSC: 60G55 60H15 PDFBibTeX XMLCite \textit{P. Spreij}, Stochastics Stochastics Rep. 31, No. 1--4, 55--77 (1990; Zbl 0712.60056) Full Text: DOI
Spreij, Peter Self-exciting counting process systems with finite state space. (English) Zbl 0702.60051 Stochastic Processes Appl. 34, No. 2, 275-295 (1990). Reviewer: T.Duncan MSC: 60G55 60J75 93E03 93E99 PDFBibTeX XMLCite \textit{P. Spreij}, Stochastic Processes Appl. 34, No. 2, 275--295 (1990; Zbl 0702.60051) Full Text: DOI
Spreij, Peter An on-line parameter estimation algorithm for counting process observations. (English) Zbl 0585.62149 IEEE Trans. Inf. Theory 32, 300-303 (1986). MSC: 62M09 PDFBibTeX XMLCite \textit{P. Spreij}, IEEE Trans. Inf. Theory 32, 300--303 (1986; Zbl 0585.62149) Full Text: DOI
Spreij, Peter Recursive parameter estimation for counting processes with linear intensity. (English) Zbl 0582.62078 Stochastics 18, 277-312 (1986). MSC: 62M09 PDFBibTeX XMLCite \textit{P. Spreij}, Stochastics 18, 277--312 (1986; Zbl 0582.62078) Full Text: DOI Link
Spreij, Peter Parameter estimation for a specific software reliability model. (English) Zbl 0609.62131 IEEE Trans. Reliab. 34, 323-328 (1985). MSC: 62N05 68N99 PDFBibTeX XMLCite \textit{P. Spreij}, IEEE Trans. Reliab. 34, 323--328 (1985; Zbl 0609.62131) Full Text: DOI
Koch, G.; Spreij, P. J. C. Software reliability as an application of martingale and filtering theory. (English) Zbl 0533.68033 IEEE Trans. Reliab. 32, 342-345 (1983). MSC: 68N99 60G99 PDFBibTeX XMLCite \textit{G. Koch} and \textit{P. J. C. Spreij}, IEEE Trans. Reliab. 32, 342--345 (1983; Zbl 0533.68033) Full Text: DOI