Dr. Spiridon Penev

Associate Professor, University of New South Wales

 

Book

 

Pierre Del Moral, Spiridon Penev. Stochastic Processes. From Applications to Theory. CRC Press, Taylor & Francis (2017). Link to publisher’s web page

 

 

Papers in refereed Journals and Communications

 

 

63. Penev, S., Shevchenko, P., Wu, W. (2018). The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion.  Europen Journal of Operational Research. Available online: https://www.sciencedirect.com/science/article/pii/S0377221718307215?via%3Dihub

62. Aya Moreno, C., Geenens, G., Penev, S. (2018). Shape-preserving wavelet-based multivariate density estimation. Journal of Multivariate Analysis. 168, 30-47 (2018). Available online: 10.1016/j.jmva.2018.07.002

61. Penev, S., Naito, K. (2018). Locally robust methods and near-parametric asymptotics. Journal of Multivariate Analysis, 167, 395-417 (2018). Link to the publication

 

60. Hanke, M., Penev, S. (2018). Comparing Large-Sample Maximum Sharpe Ratios and Incremental Variable Testing. European Journal of Operational Research  265, 571-579 (2018).  Link to publication

 

59. Hall, P., Penev, S., Tran, J.  (2018) . Wavelet methods for erratic regression means in the presence of measurement error. Statistica Sinica 28, 2289-2307 (2018). Link to publication

 

58. Hanke, M., Penev, S., Shief, W., Weissensteiner, A., Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness. European Journal of Operational Research 263, 2, 510-523 (2017).  Link to publication

57. Fan, Y., Lafaye de Micheaux, P., Penev, S., Salopek, D., Multivariate Nonparametric Test of Independence. Journal of Multivariate Analysis 153, 189-210 (2017).  Link to publication.

56. Dentcheva, D., Penev, S. and Ruszczyński, A. Statistical estimation of composite risk functionals and risk optimization problems. Annals of the Institute of Statistical Mathematics, 69(4), 736-760 (2017),  DOI 10.1007/s10463-016-0559-8.

55. Bannister, H., Goldys, B., Penev, S. and Wu, W., Multiperiod Mean-Standard-Deviation Time Consistent Portfolio Selection. Automatica 73, 15-26 (2016). Link to publication.

54. Penev, S. and Prvan, T., Robust estimation in structural equation models using Bregman and other divergences with t-centre approach to estimate the covariance matrix. ANZIAM Journal 56, C339-C354 (2016).

53. Penev, S, Leonte, D., Lazarov, Z. and Mann, R., Applications of MIDAS regression in analysing trends in water quality. Journal of Hydrology, 511, 151-159 (2014).

52. Raykov, T. and Penev, S., Latent Growth Curve Model Selection: The Potential of Individual Case Residuals. Structural Equation Modeling, 21,20-30 (2014).

51. Penev, S. and Prvan, T., Robust estimation in Structural Equation Models using Bregman Divergences. ANZIAM Journal, 54 (CTAC2012), 574-589 (2013).

50. Matmoura, Y. and Penev, S., Multistage Optimization of Option Portfolio using Higher Order Coherent Risk Measures. European Journal of Operational Research, 227, 190-198 (2013)

49. Maesono, Y. and Penev, S., Improved confidence intervals for quantiles. Annals of the Institute of Statistical Mathematics, 65, 167-189 (2013).

48. Penev, S. Book review, Linear causal modeling with Structural Equations by Stanley Mulaik, Australian & New Zealand Journal of Statistics, 53, 393-395 (2011).

47. Penev, S. and Ruderman, A., On the Behaviour of Tests Based on Sample Spacings for Moderate Samples. Journal of Statistical Planning and Inference, 141, 1240-1249 (2011).

46. Maesono, Y. and Penev, S., Edgeworth Expansion for the Kernel Quantile Estimator. Annals of the Institute of Statistical Mathematics, 63, 617-644 (2011).

45. Dentcheva, D., Penev, S. and Ruszczyński, A., Kusuoka Representation of Higher Order Dual Risk Measures. Annals of Operations Research, 181, 325-335 (2010).

44. Penev, S. and Raykov, T., A method of bias correction for maximal reliability with dichotomous measures. British Journal of Mathematical and Statistical Psychology, 63, 163-175 (2010).

43. Dentcheva, D. and Penev, S., Shape-restricted inference for Lorenz curves using duality theory. Statistics & Probability Letters, 80, 403-412 (2010).

42. Raykov, T. and Penev, S., Evaluation of Reliability Coefficients for Two-Level Models via Latent Variable Analysis. Structural Equation Modeling, 17, 629-641 (2010).

41. Raykov, T. and Penev, S., Testing multivariate mean collinearity via latent variable modelling. British Journal of Mathematical and Statistical Psychology, 63, 481-490 (2010).

40. Raykov, T. and Penev, S., Estimation of Maximal Reliability for Multiple-Component Instruments in Multilevel Designs. British Journal of Mathematical and Statistical Psychology, 62, 129-142 (2009).

39. Dimitrova, D. Kaishev, V. and Penev, S., GeD spline estimation of multivariate Archimedean copulas. Computational Statistics and Data Analysis, 52(7), 3570-3582 (2008).

38. Penev, S. and Raykov, T., On the Relationship Between Maximal Reliability and Maximal Validity of Linear Composites. Multivariate Behavioral Research, 41(2), 105-126 (2006).

37. Penev, S. and Raykov, T., Maximal reliability and power in covariance structure models. British Journal of Mathematical and Statistical Psychology, 59(1), 75-87 (2006).

36. Raykov, T. and Penev, S., A Direct Method for Obtaining Approximate Standard Error and Confidence Interval of Maximal Reliability for Composites with Congeneric Measures. Multivariate Behavioral Research, 41(1), 15-28 (2006).

35. Raykov, T. and Penev, S., Estimation of reliability for multiple-component measuring instruments in test-retest designs. British Journal of Mathematical and Statistical Psychology, 58(2), 285-299 (2005).

34. Penev, S., Peng, H., Schick, A. and Wefelmeyer, W., Efficient estimators for functionals of Markov chains with parametric marginals. Statistics and Probability Letters. 66(3), 335-345 (2004).

33. Hall, P. and Penev, S., Wavelet-based estimation with multiple sampling rates. The Annals of Statistics, 32(5), 1933-1956 (2004). (An earlier variant of this paper containing some proofs can be found here.)

32. Raykov, T. and Penev, S., Improved analytic interval estimation of scale reliability. Book chapter in Kees van Monfort, Johan Oud and Albert Satorra (Eds.) Recent Developments in Structural Equation Modeling: Theory and Applications, Kluwer Academic, 83-93 (2004).

31. Raykov, T. and Penev, S., Exploring Structural Equation Model Misspecifications via Latent Individual Residuals. Book chapter in G. A. Marcoulides and Irini Moustaki (Eds.) Latent Variable and Latent Structure Models, Mahwah, NJ: Lawrence Erlbaum, 121-134 (2002).

30. Raykov, T. and Penev, S., Interval Estimation of Latent Correlations in Structural Equation Models With A Priori Restricted Parameters. Understanding Statistics, 1(3), 139-155 (2002).

29. Hall, P. and Penev, S., Cross-validation for Choosing Resolution Level for Nonlinear Wavelet Curve Estimators. Bernoulli, 7(2), 317-341 (2001).

28. Dechevsky, L., MacGibbon, B. and Penev, S., Numerical Methods for Asymptotically Minimax Non-Parametric Function Estimation with Positivity Constraints I. Sankhyā, Vol. 63, Ser. B, Pt. 2,149-180 (2001).

27. Raykov, T. and Penev, S., The Problem of Equivalent Structural Equation Models: An Individual Residual Perspective. Book chapter in G. A. Marcoulides and R.E. Schumaker (Eds.) New Developments and Techniques in Structural Equation Modeling, Mahwah, NJ: Lawrence Erlbaum, 297-321 (2001).

26. Penev, S. and Raykov,T.,  A Wiener Germ Approximation of the Noncentral Chi Square Distribution and of Its Quantiles. Computational Statistics, 15(2), 219-228 (2000).

25. Penev, S., Maximum Likelihood Based Approximations of the Pitman Estimator in a Location Family. In N. Mastorakis (Editor) Recent Advances in Applied and Theoretical Mathematics, World Scientific and Engineering Society Press, 173-180 (2000).

24. Raykov, T. and Penev, S., On Structural Equation Model Equivalence. Multivariate Behavioral Research, Vol. 34(2), 199-244 (1999).

23. Dechevsky, L., Ramsay, J., Penev, S., Penalized Wavelet Estimation with Besov Regularity Constraints. Mathematica Balkanica (N.S.), vol. 13, Fasc. 3-4, 257-376 (1999).

22. Maesono, Y., Penev, S. I., Higher Order Relations Between Cornish-Fisher Expansions and Inversions of Saddlepoint Approximations. Journal of the Japan Statistical Society, 28(1), 21-38 (1998).

21. Raykov, T. and Penev, S.,  A Multivariate Two-Group Effect Size Measure. Quality and Quantity, 32, 247-255 (1998).

20. Raykov, T. and Penev, S., Nested Structural Equation models: Noncentrality and Power of Restriction Test. Structural Equation Modeling, Issue 5, 229-246 (1998).

19. Dechevsky, L. and Penev, S., On Shape-preserving Wavelet Estimators of Cumulative Distribution Functions and Densities. Stochastic Analysis and Applications, 16, 3, 423-462 (1998).

18. Penev, S. and Dechevsky, L., On Non-negative Wavelet-based Density Estimators. Journal of Non-parametric Statistics , 7 , 365-394 (1997).

17. Hall, P., Penev, S., Kerkyacharian, G. and Picard, D., Numerical Performance of Block Thresholded Wavelet Estimators. Statistics and Computing , 7(2), 115-124 (1997).

16. Raykov, T. and Penev, S., Structural Equation Modeling and the Latent Linearity Hypothesis in Social and Behavioral Research. Quality and Quantity 31 (1), 57-78 (1997).

15. Dechevsky, L. T. and Penev, S. I., On Shape-preserving Probabilistic Wavelet Approximators. Stochastic Analysis and Applications, 15(2), 187-215 (1997).

14. Raykov, T. and Penev, S., Initial Value Dependence: A Note on Comparison of Two Methods for its Use. Biometrical Journal , 38 (5) , 631-639 (1996).

13. Raykov, T. and Penev, S., A Binomial Test of Model Fit: Comments on an Approach to Structural Equation Model Fit Assessment. Structural Equation Modeling , 2(2), 146-151 (1995).

12. Penev, S., Saddlepoint Approximation in the Linear Structural Relationship Model. Communications in Statistics, Simulation and Computation, 24(2), 349-366 (1995).

11. Penev, S. and Raykov, T., On Choosing Estimators in a Simple Linear Errors-in-Variables model. Communications in Statistics-Theory Meth., 22(9), 2429-2444 (1993).

10. Penev, S., Stability of Nonparametric Procedures Against Dependence. SIAM Theory of Probability and Its Applications , 37(2) , 353-355 (1993).

9. Penev, S. I., Efficient Estimation of the Stationary Distribution for Exponentially Ergodic Markov Chains. Journal of Statistical Planning and Inference , 27(1), 105-123 (1991).

8. Penev, S., Convolution Theorem for Estimating the Stationary Distribution of Markov Chains. Comptes rendus de l'Academie bulgare des sciences. 43(3), 29-32 (1990).

7. Penev, S. I., Asymptotic Properties of a Test that Given Distribution Belongs to a Parametric Family. University Annual Applied Mathematics 25(4), 39-48 (1989)( in Bulgarian, English summary).

6. Shishkov, B. B., Penev, S. I., Asymptotically Optimum Algorithms for Detection of Signals in a Background of Correlated Inference and White Noise. Soviet J. Comm. Tech. Electron, 11, 146-151 (1989).

5. Penev, S., Der lokalasymptotische Minimaxsatz und seine Erweiterungen. Österreichische Zeitschrift für Statistik und Informatik, 16 Jahrgang, 3, 157-177. Austria (1986) (in German).

4. Penev, S. I., Asymptotic Equivalence of Identification Procedures for Complex Systems. International Journal of Systems Science , 17(4), 629-637 (1986).

3. Penev, S. I., On a Model with Errors in Variables Described by Stochastic Differential Equations. Statistics, 16(4), 485-493 (1985).

2. Penev, S. I., Asymptotic Estimation and Hypothesis Testing for the Parameters of Diffusion Processes by Discrete Observations. University Annual Applied Mathematics 20(2), 177-186 (1984) (in Bulgarian, English summary).

1. Penev, S. I., On the Multivariate Nonlinear Model with Errors in Variables. University Annual Applied Mathematics , 19(2), 133-144 (1983) (in Bulgarian, English summary).

Refereed published Conference or Symposium papers

C6. Maesono, Y., Penev, S. I., Higher Order Relations Cornish-Fisher Expansions and Inversions of Saddlepoint Approximations. Computing Science and Statistics , (L. Billard and N. Fisher, eds.), Vol. 28, (1997), 242-247, Interface Foundation of North America, Inc., Fairfax Station, VA 22039-7460.

C5. Penev, S. I., Stability of Nonparametric Procedures Against Markov Dependence. Invited paper. Proceedings of the Twentieth Conference of the Union of Bulgarian Mathematicians, Sofia. Bulgarian Academy of Sciences Publishing House, 51-60 (1991)

C4. Arnaudov,J., Bonchev,E., Jordanov, I., Penev, S. and Venkov, G., The Computer Aided Learning (CAL) in Mathematics for Engineers. Proceedings of the International Conference on Computer Aided Training in Science and Technology, 9-13 July 1990, Barcelona, 359-362. CIMNE Pineridge Press (1990).

C3. Penev, S. I., A Personal Computer Program for Statistical Analysis of Nonlinear Errors-in-Variables Models. Statistical Data Analysis SDA' 87. Varna. Proceedings of the Conference. Sofia, BAN, 247- 252 (1989).

C2. Penev, S. I., Parameter Estimation by Stochastic Differential Equations Using Unequally Spaced Data. Differential Equations and Applications. Proceedings of the Third Conference, June 30-July 6 1985, Rousse, 865-868 (1987).

C1. Penev, S. I., Parametric Statistical Inference for Multivariate Diffusion Processes Using Discrete Observations. Mathematics and Education in Mathematics. Proceedings of the Fourteenth Spring Conference of the Union of Bulgarian Mathematicians, Sunny Beach, 1985, 501-510, Sofia, BAN (1985).

Any other published work

O2. Arabadjieva, B., Yoakimov, S., Karapenev, H., Penev, S., Topchijska, L., Handbook on statistical data analysis (textbook for students). Technical University of Sofia Press, (1992).

O1. Yoakimov, S., Karapenev, H., Petkov, M., Arabadjieva, B., Topchijska, L., Penev, S., Examples and Problems in Probability Theory (textbook for students). Technical University of Sofia Press, (1988).

Technical Reports

T11. Dechevsky, L., MacGibbon, B. and Penev, S., Numerical Methods for Asymptotically Minimax Non-parametric Function Estimation with Positivity Constraints I. Les Cahiers du GERAD G-2000-33 GERAD, Canada (2000).

T10. Dechevsky, L.T. and Penev, S.I., Weak Penalized Least Squares Wavelet Regression Estimation. Report No. S99-1, Department of Statistics, School of Mathematics, The University of New South Wales (1999).

T9. Dechevsky, L.T. and Penev, S.I., On Penalized Wavelet Estimation. Report No. S98-15, Department of Statistics, School of Mathematics, The University of New South Wales (1998).

T8. Penev, S. and Raykov, T., A Wiener Germ Approximation of the Noncentral Chi Square Distribution and of Its Quantiles. Report No. S97-6, Department of Statistics, School of Mathematics, The University of New South Wales Statistics (1997).

T7. Maesono, Y., Penev, S., Higher Order Relations Between Cornish-Fisher Expansions and Inversions of Saddlepoint Approximations. Report No. S96-11 (1996).

T6. Penev, S. and Dechevsky, L., On non-negative wavelet-based density estimators. Report No. S95-11, Department of Statistics, School of Mathematics, The University of New South Wales (1995).

T5. Raykov, T. and Penev, S., Structural Equation Modeling and the Latent Linearity Hypothesis. Report No. S94-12, Department of Statistics, School of Mathematics, The University of New South Wales (1994).

T4. Dechevsky, L.T. and Penev, S. I., On Shape-preserving Wavelet Estimators of Cumulative Distribution Functions and Densities. Report No. S93-11, Department of Statistics, School of Mathematics, The University of New South Wales, (1993)

T3. Dechevsky, L.T. and Penev, S. I., On Shape-preserving Wavelet Approximators of Cumulative Distribution Functions and Densities. Report No. S93-10, Department of Statistics, School of Mathematics, The University of New South Wales (1993)

T2. Penev, S. I., Saddlepoint Approximation for the Slope- Estimator in the Classical Linear Structural Relationship Model. Report No. S92-4, Department of Statistics, School of Mathematics, The University of New South Wales (1992).

T1. Höschel, H.P. and Penev, S., Least-squares Curve-fitting for Nonlinear Models with Errors in Variables and Globally Convergent Gauss-Newton Procedures. Discussion paper 8025, Center for Operations Research & Econometrics. Universite Catholique de Louvain. Belgium (1980).