Journal Papers -
- New Design Efficiency for "likelihood free"
Sequential Monte Carlo samplers (pdf).
Gareth Peters, Scott Sisson, Yanan Fan
- New On Sequential Monte Carlo, Partial
Rejection Control and Approximate Bayesian Computation (pdf).
Gareth Peters, Yanan Fan, Scott Sisson -
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NEW A Low Complexity MAP Estimation in
Linear Models with a Random Gaussian Mixing Matrix. Ido
Nevat, Gareth
Peters, J Yuan. - submitted IEEE
Wireless Communications Letters (2008)
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NEW Automating and Evaluating
Reversible Jump MCMC Proposal Distributions (pdf),
Y.
Fan, Gareth
Peters, S.A. Sisson. - submitted Statistics and Computing (2008)
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Detection of Gaussian
Constellations in MIMO Systems
Under Imperfect CSI (pdf),
Ido
Nevat, Gareth
Peters, J Yuan. - submitted IEEE
transactions of Wireless Communications.(2008)
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Model
Risk in Claims Reserving within Tweedie's Compound Poisson Models (pdf),
Gareth
Peters,
Pavel Shevchenko and Mario Wuethrich. - Submitted (2008)
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Simulation
of the Annual Loss Distribution in Operational Risk via Panjer
Recursions and Volterra Integral Equations for Value at Risk and
Expected Shortfall Estimation (pdf),
G. W. Peters, A. M.
Johansen and A. Doucet, Journal of Operational Risk, Vol. 2 No. 3, Fall
(2007).
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Bayesian
Inference, Monte Carlo
Sampling and Operational Risk (pdf), Gareth Peters and Scott Sisson, Journal
of Operational Risk, vol. 1, no. 3. (2006)
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Sharp Propagation of Chaos Estimates
for Feynman-Kac Particle Models (pdf), Pierre Del Moral,
Arnaud Doucet,
Gareth
Peters, Teoriya Veroyatnosteri i ee Primeneniya (to be reprinted in
SIAM Theory of Probability and Its Applications), vol. 51, no. 3, (2006).
Text Reviews
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Markov Chain
Monte Carlo: Stochastic Simulation for Bayesian Inference, Second
Edition, Dani Gamerman and Hedibert F.
Lopes, Chapman & Hall/CRC, Review for Statistics in Medicine - (2008)
-
Uncertain
Judgements
Eliciting
Experts Probabilities , OHagan, A. et al., Wiley
Statistics
in Practice, Review for Journal Royal Statistics Society A, Review (pdf). (October
2007 - Vol. 170 Issue 4
Page 861-1198)
Non-Peer Reviewed
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Research
Proposal Grinham Managed Funds: VAR models and CoIntegration Analysis , Peters G. W., (2008).
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Case Study -
Quantifying Operational
Risk, (part of
larger report - Low Probability Large Consequence Events ACERA project
no. 06/02) Franklin J., Sisson S., Teruads V. and Peters G.,
Australian Centre of Excellence for Risk Analysis (draft word), (2007).
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Operational Risk
Combining and
Aggregation Methodology Devlopment - Commonwealth Bank
of Australia Internal Report (2007).
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Operational Risk Captital Allocation
and Capital Sensitivity Methodology and Analysis - Commonwealth
Bank of Australia Internal Report (2006)
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Operational Risk
Quantitative Risk
Assessment Survey Design and Methodology Analysis - Commonwealth
Bank of Australia Internal Report (2005/6)
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Operational Risk OpRA System
Sensitivity Analysis Report (Convolution, Distribution Choice, Number
of Exposures) - Commonwealth
Bank of Australia
Internal Report (2006)
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Operational Risk OpRA System Accuracy
Testing - Commonwealth
Bank of Australia
Internal Report and Analysis (2006)