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Spreij, Peter

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Author ID: spreij.peter Recent zbMATH articles by "Spreij, Peter"
Published as: Spreij, Peter; Spreij, P.
External Links: ORCID · dblp
Documents Indexed: 68 Publications since 1985

Publications by Year

Citations contained in zbMATH Open

49 Publications have been cited 262 times in 188 Documents Cited by Year
A kernel type nonparametric density estimator for decompounding. Zbl 1129.62030
van Es, Bert; Gugushvili, Shota; Spreij, Peter
35
2007
On Fisher’s information matrix of an ARMAX process and Sylvester’s resultant matrices. Zbl 0843.62087
Klein, André; Spreij, Peter
18
1996
Nonparametric volatility density estimation. Zbl 1044.62037
van Es, Bert; Spreij, Peter; van Zanten, Harry
13
2003
Affine diffusions with non-canonical state space. Zbl 1260.60112
Spreij, Peter; Veerman, Enno
13
2012
On the resultant property of the Fisher information matrix of a vector ARMA process. Zbl 1084.15021
Klein, André; Mélard, Guy; Spreij, Peter
12
2005
Nonnegative matrix factorization and I-divergence alternating minimization. Zbl 1109.15007
Finesso, Lorenzo; Spreij, Peter
12
2006
Evolution in games with a continuous action space. Zbl 1166.91008
van Veelen, Matthijs; Spreij, Peter
12
2009
Nonparametric volatility density estimation for discrete time models. Zbl 1055.62038
van Es, Bert; Spreij, Peter; van Zanten, Harry
10
2005
Deconvolution for an atomic distribution. Zbl 1135.62029
Van Es, Bert; Gugushvili, Shota; Spreij, Peter
9
2008
Markov-modulated Ornstein-Uhlenbeck processes. Zbl 1337.60191
Huang, G.; Jansen, H. M.; Mandjes, M.; Spreij, P.; De Turck, K.
8
2016
Large deviations for Markov-modulated diffusion processes with rapid switching. Zbl 1336.60054
Huang, Gang; Mandjes, Michel; Spreij, Peter
7
2016
Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices. Zbl 1152.62058
Klein, André; Spreij, Peter
7
2009
On Fisher’s information matrix of an ARMA process. Zbl 0890.62069
Klein, André; Spreij, Peter
7
1997
Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations. Zbl 1307.62094
Gugushvili, Shota; Spreij, Peter
7
2014
An explicit expression for the Fisher information matrix of a multiple time series process. Zbl 1092.62087
Klein, André; Spreij, Peter
6
2006
Nonparametric Bayesian inference for multidimensional compound Poisson processes. Zbl 1349.62115
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
5
2015
On the solution of Stein’s equation and Fisher’s information matrix of an ARMAX process. Zbl 1085.15017
Klein, André; Spreij, Peter
5
2005
On Stein’s equation, Vandermonde matrices and Fisher’s information matrix of time series processes. I: The autoregressive moving average process. Zbl 0999.62069
Klein, Andre; Spreij, Peter
5
2001
Spectral characterization of the optimal quadratic variation process. Zbl 0814.60042
Dzhaparidze, Kacha; Spreij, Peter
5
1994
Recursive parameter estimation for counting processes with linear intensity. Zbl 0582.62078
Spreij, Peter
5
1986
Parametric inference for stochastic differential equations: a smooth and match approach. Zbl 1277.62195
Gugushvili, Shota; Spreij, Peter
4
2012
Some results on Vandermonde matrices with an application to time series analysis. Zbl 1061.65005
Klein, André; Spreij, Peter
4
2003
Deconvolution for an atomic distribution: rates of convergence. Zbl 1230.62041
Gugushvili, Shota; van Es, Bert; Spreij, Peter
4
2011
Weak convergence of Markov-modulated diffusion processes with rapid switching. Zbl 1293.60076
Huang, Gang; Mandjes, Michel; Spreij, Peter
4
2014
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion. Zbl 1305.62192
Gugushvili, Shota; Spreij, Peter
3
2014
Recursive approximate maximum likelihood estimation for a class of counting process models. Zbl 0739.62069
Spreij, Peter
3
1991
The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process. Zbl 1096.62085
Klein, André; Spreij, Peter
3
2006
On correlation calculus for multivariate martingales. Zbl 0779.60044
Dzhaparidze, Kacha; Spreij, Peter
3
1993
Estimation of a multivariate stochastic volatility density by kernel deconvolution. Zbl 1207.62086
Van Es, Bert; Spreij, Peter
3
2011
On the Markov property of a finite hidden Markov chain. Zbl 0987.60085
Spreij, Peter
3
2001
Approximation of nonnegative systems by finite impulse response convolutions. Zbl 1359.94249
Finesso, Lorenzo; Spreij, Peter
2
2015
A non-parametric Bayesian approach to decompounding from high frequency data. Zbl 1395.62079
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
2
2018
On hidden Markov chains and finite stochastic systems. Zbl 1116.93391
Spreij, Peter
2
2003
Tail behaviour of credit loss distributions for general latent factor models. Zbl 1070.91032
Lucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan
2
2003
Approximation of stationary processes by hidden Markov models. Zbl 1248.93151
Finesso, Lorenzo; Grassi, Angela; Spreij, Peter
2
2010
Self-exciting counting process systems with finite state space. Zbl 0702.60051
Spreij, Peter
2
1990
An on-line parameter estimation algorithm for counting process observations. Zbl 0585.62149
Spreij, Peter
2
1986
A representation result for finite Markov chains. Zbl 1246.60067
Spreij, Peter
2
1998
Explicit computations for some Markov modulated counting processes. Zbl 1369.60053
Mandjes, Michel; Spreij, Peter
1
2016
Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation. Zbl 1357.62200
Gugushvili, Shota; Spreij, Peter
1
2016
Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes. Zbl 1191.94071
Klein, André; Spreij, Peter
1
2010
Transformed statistical distance measures and the Fisher information matrix. Zbl 1239.62061
Klein, André; Spreij, Peter
1
2012
Factor analysis and alternating minimization. Zbl 1144.62043
Finesso, Lorenzo; Spreij, Peter
1
2007
Recursive solution of certain structured linear systems. Zbl 1160.15005
Klein, André; Spreij, Peter
1
2008
Nonparametric methods for volatility density estimation. Zbl 1230.91199
van Es, Bert; Spreij, Peter; van Zanten, Harry
1
2011
On Hellinger processes for parametric families of experiments. Zbl 0945.62008
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko
1
1997
The strong law of large numbers for martingales with deterministic quadratic variation. Zbl 0810.60030
Dzhaparidze, Kacha; Spreij, Peter
1
1993
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
1
2019
Diffusion limits for a Markov modulated binomial counting process. Zbl 1434.60110
Spreij, Peter; Storm, Jaap
1
2020
Diffusion limits for a Markov modulated binomial counting process. Zbl 1434.60110
Spreij, Peter; Storm, Jaap
1
2020
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
1
2019
A non-parametric Bayesian approach to decompounding from high frequency data. Zbl 1395.62079
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
2
2018
Markov-modulated Ornstein-Uhlenbeck processes. Zbl 1337.60191
Huang, G.; Jansen, H. M.; Mandjes, M.; Spreij, P.; De Turck, K.
8
2016
Large deviations for Markov-modulated diffusion processes with rapid switching. Zbl 1336.60054
Huang, Gang; Mandjes, Michel; Spreij, Peter
7
2016
Explicit computations for some Markov modulated counting processes. Zbl 1369.60053
Mandjes, Michel; Spreij, Peter
1
2016
Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation. Zbl 1357.62200
Gugushvili, Shota; Spreij, Peter
1
2016
Nonparametric Bayesian inference for multidimensional compound Poisson processes. Zbl 1349.62115
Gugushvili, Shota; van der Meulen, Frank; Spreij, Peter
5
2015
Approximation of nonnegative systems by finite impulse response convolutions. Zbl 1359.94249
Finesso, Lorenzo; Spreij, Peter
2
2015
Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations. Zbl 1307.62094
Gugushvili, Shota; Spreij, Peter
7
2014
Weak convergence of Markov-modulated diffusion processes with rapid switching. Zbl 1293.60076
Huang, Gang; Mandjes, Michel; Spreij, Peter
4
2014
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion. Zbl 1305.62192
Gugushvili, Shota; Spreij, Peter
3
2014
Affine diffusions with non-canonical state space. Zbl 1260.60112
Spreij, Peter; Veerman, Enno
13
2012
Parametric inference for stochastic differential equations: a smooth and match approach. Zbl 1277.62195
Gugushvili, Shota; Spreij, Peter
4
2012
Transformed statistical distance measures and the Fisher information matrix. Zbl 1239.62061
Klein, André; Spreij, Peter
1
2012
Deconvolution for an atomic distribution: rates of convergence. Zbl 1230.62041
Gugushvili, Shota; van Es, Bert; Spreij, Peter
4
2011
Estimation of a multivariate stochastic volatility density by kernel deconvolution. Zbl 1207.62086
Van Es, Bert; Spreij, Peter
3
2011
Nonparametric methods for volatility density estimation. Zbl 1230.91199
van Es, Bert; Spreij, Peter; van Zanten, Harry
1
2011
Approximation of stationary processes by hidden Markov models. Zbl 1248.93151
Finesso, Lorenzo; Grassi, Angela; Spreij, Peter
2
2010
Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes. Zbl 1191.94071
Klein, André; Spreij, Peter
1
2010
Evolution in games with a continuous action space. Zbl 1166.91008
van Veelen, Matthijs; Spreij, Peter
12
2009
Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices. Zbl 1152.62058
Klein, André; Spreij, Peter
7
2009
Deconvolution for an atomic distribution. Zbl 1135.62029
Van Es, Bert; Gugushvili, Shota; Spreij, Peter
9
2008
Recursive solution of certain structured linear systems. Zbl 1160.15005
Klein, André; Spreij, Peter
1
2008
A kernel type nonparametric density estimator for decompounding. Zbl 1129.62030
van Es, Bert; Gugushvili, Shota; Spreij, Peter
35
2007
Factor analysis and alternating minimization. Zbl 1144.62043
Finesso, Lorenzo; Spreij, Peter
1
2007
Nonnegative matrix factorization and I-divergence alternating minimization. Zbl 1109.15007
Finesso, Lorenzo; Spreij, Peter
12
2006
An explicit expression for the Fisher information matrix of a multiple time series process. Zbl 1092.62087
Klein, André; Spreij, Peter
6
2006
The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process. Zbl 1096.62085
Klein, André; Spreij, Peter
3
2006
On the resultant property of the Fisher information matrix of a vector ARMA process. Zbl 1084.15021
Klein, André; Mélard, Guy; Spreij, Peter
12
2005
Nonparametric volatility density estimation for discrete time models. Zbl 1055.62038
van Es, Bert; Spreij, Peter; van Zanten, Harry
10
2005
On the solution of Stein’s equation and Fisher’s information matrix of an ARMAX process. Zbl 1085.15017
Klein, André; Spreij, Peter
5
2005
Nonparametric volatility density estimation. Zbl 1044.62037
van Es, Bert; Spreij, Peter; van Zanten, Harry
13
2003
Some results on Vandermonde matrices with an application to time series analysis. Zbl 1061.65005
Klein, André; Spreij, Peter
4
2003
On hidden Markov chains and finite stochastic systems. Zbl 1116.93391
Spreij, Peter
2
2003
Tail behaviour of credit loss distributions for general latent factor models. Zbl 1070.91032
Lucas, André; Klaassen, Pieter; Spreij, Peter; Straetmans, Stefan
2
2003
On Stein’s equation, Vandermonde matrices and Fisher’s information matrix of time series processes. I: The autoregressive moving average process. Zbl 0999.62069
Klein, Andre; Spreij, Peter
5
2001
On the Markov property of a finite hidden Markov chain. Zbl 0987.60085
Spreij, Peter
3
2001
A representation result for finite Markov chains. Zbl 1246.60067
Spreij, Peter
2
1998
On Fisher’s information matrix of an ARMA process. Zbl 0890.62069
Klein, André; Spreij, Peter
7
1997
On Hellinger processes for parametric families of experiments. Zbl 0945.62008
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko
1
1997
On Fisher’s information matrix of an ARMAX process and Sylvester’s resultant matrices. Zbl 0843.62087
Klein, André; Spreij, Peter
18
1996
Spectral characterization of the optimal quadratic variation process. Zbl 0814.60042
Dzhaparidze, Kacha; Spreij, Peter
5
1994
On correlation calculus for multivariate martingales. Zbl 0779.60044
Dzhaparidze, Kacha; Spreij, Peter
3
1993
The strong law of large numbers for martingales with deterministic quadratic variation. Zbl 0810.60030
Dzhaparidze, Kacha; Spreij, Peter
1
1993
Recursive approximate maximum likelihood estimation for a class of counting process models. Zbl 0739.62069
Spreij, Peter
3
1991
Self-exciting counting process systems with finite state space. Zbl 0702.60051
Spreij, Peter
2
1990
Recursive parameter estimation for counting processes with linear intensity. Zbl 0582.62078
Spreij, Peter
5
1986
An on-line parameter estimation algorithm for counting process observations. Zbl 0585.62149
Spreij, Peter
2
1986
all top 5

Cited by 263 Authors

32 Spreij, Peter
15 Klein, André
11 Gugushvili, Shota
9 Comte, Fabienne
8 Duval, Céline
7 Mélard, Guy
6 Mandjes, Michel Robertus Hendrikus
5 van Es, Bert
4 Finesso, Lorenzo
4 Genon-Catalot, Valentine
4 Hall, Peter Gavin
4 Larsson, Martin
4 Meister, Alexander
3 Cavicchioli, Maddalena
3 Kappus, Johanna
3 Lacour, Claire
3 Shaiju, A. J.
3 van der Meulen, Frank Henri
3 van Veelen, Matthijs
2 Allen, Benjamin L.
2 Argasinski, Krzysztof
2 Azmoodeh, Ehsan
2 Belomestny, Denis
2 Dattner, Itai
2 De Moor, Bart L. R.
2 De Turck, Koen
2 Dedecker, Jérôme
2 Dzhaparidze, Kacha
2 García, Julián
2 Hernández-Lerma, Onésimo
2 Hingu, Dharini
2 Huang, Gang
2 Jaber, Eduardo Abi
2 Kurisu, Daisuke
2 Ledoux, James
2 Lee, Mihee
2 Marron, James Stephen
2 Mayerhofer, Eberhard
2 Mendoza-Palacios, Saul
2 Nickl, Richard
2 Pulido, Sergio
2 Rao, K. S. Mallikarjuna
2 Shen, Haipeng
2 Söhl, Jakob
2 Stelzer, Robert
2 Storm, Jaap
2 Takahashi, Norikazu
2 Tappe, Stefan
2 Taupin, Marie-Luce
2 Teichmann, Josef
2 Valkeila, Esko
2 van Zanten, Harry
2 Vanluyten, Bart
2 Wallace, Rodrick
2 Willems, Jan Camiel
2 Yavin, Yaakov
2 Zahaf, Toufik
1 Abraham, Kweku
1 Adlam, Ben
1 Agüero, Juan-Carlos
1 Bansal, Naveen K.
1 Bao, Yong
1 Bauckhage, Christian
1 Bec, Mélina
1 Blom, Joke G.
1 Bo, Yu
1 Bøgsted, Martin
1 Bohte, Sander M.
1 Borggaard, Jeff T.
1 Bouchard, Bruno
1 Boxma, Onno Johan
1 Brockwell, Peter J.
1 Broom, Mark
1 Brushe, Gary D.
1 Buckdahn, Rainer
1 Budhiraja, Amarjit S.
1 Burch, Christina
1 Butucea, Cristina
1 Cahen, Ewan Jacov
1 Canciello, Giacomo
1 Capobianco, Enrico
1 Carlini, Enrico
1 Cavallo, Alberto
1 Chagny, Gaëlle
1 Chesneau, Christophe
1 Chu, Moody T.
1 Coca, Alberto J.
1 Costa, Manon
1 Cuchiero, Christa
1 Cui, Zhenyu
1 Das, Sonjoy
1 Delaigle, Aurore
1 Denis, Christophe
1 Dion-Blanc, Charlotte
1 Dupuis, Paul G.
1 Filipović, Damir
1 Fontana, Claudio
1 Frankowska, Hélène
1 Gadat, Sébastien
1 Ganguly, Arnab
...and 163 more Authors
all top 5

Cited in 88 Serials

16 Linear Algebra and its Applications
11 Stochastic Processes and their Applications
9 Electronic Journal of Statistics
8 Statistics & Probability Letters
7 Bernoulli
7 Journal of Nonparametric Statistics
6 The Annals of Statistics
5 Journal of Multivariate Analysis
5 Journal of Statistical Planning and Inference
5 Statistical Inference for Stochastic Processes
4 Journal of Time Series Analysis
4 Journal of the Korean Statistical Society
3 Automatica
3 Journal of Econometrics
3 Mathematical Methods of Statistics
3 Journal of Theoretical Biology
2 Scandinavian Journal of Statistics
2 Annals of the Institute of Statistical Mathematics
2 Applied Mathematics and Computation
2 Systems & Control Letters
2 Mathematical and Computer Modelling
2 The Annals of Applied Probability
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Computational Optimization and Applications
2 Electronic Journal of Probability
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Data Mining and Knowledge Discovery
2 Econometric Theory
2 Dynamic Games and Applications
2 Statistics and Computing
2 Modern Stochastics. Theory and Applications
1 Advances in Applied Probability
1 International Journal of Systems Science
1 Journal of Mathematical Biology
1 Lithuanian Mathematical Journal
1 Linear and Multilinear Algebra
1 Mathematical Biosciences
1 Metrika
1 Psychometrika
1 Bulletin of Mathematical Biology
1 The Annals of Probability
1 Journal of the American Statistical Association
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Differential Equations
1 Journal of Economic Theory
1 Insurance Mathematics & Economics
1 Stochastic Analysis and Applications
1 Bulletin of the Iranian Mathematical Society
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistics
1 Probability Theory and Related Fields
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 MCSS. Mathematics of Control, Signals, and Systems
1 Queueing Systems
1 Journal of Scientific Computing
1 Signal Processing
1 Annals of Operations Research
1 Economics Letters
1 Numerical Algorithms
1 Games and Economic Behavior
1 European Journal of Operational Research
1 Journal of Statistical Computation and Simulation
1 SIAM Review
1 Computational Statistics and Data Analysis
1 Stochastics and Stochastics Reports
1 Journal of Mathematical Sciences (New York)
1 Fractals
1 Economic Theory
1 Monte Carlo Methods and Applications
1 Finance and Stochastics
1 Taiwanese Journal of Mathematics
1 International Journal of Theoretical and Applied Finance
1 Extremes
1 Probability in the Engineering and Informational Sciences
1 Methodology and Computing in Applied Probability
1 Brazilian Journal of Probability and Statistics
1 Entropy
1 Communications on Pure and Applied Analysis
1 Journal of Applied Mathematics and Computing
1 Statistical Applications in Genetics and Molecular Biology
1 Statistical Methods and Applications
1 Sankhyā. Series A
1 Stochastic Systems
1 Journal of Dynamics and Games
1 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences
1 Transactions of A. Razmadze Mathematical Institute

Citations by Year