Journal Papers

    [Click here for the PDF version of all the publications]

LAST UPDATED: 01/08/2012 -

Please see new address at UCL Department of Statistics.


Preprint

Statistical Methodology - MCMC, TDMCMC, SMC, Particle Filtering:

  • Korotsil I., Peters G.W., and Regan D. (2012) `` Herd immunity effect of HPV vaccination program in Australia in view of current understanding of natural immunity against reinfection." [arXiv: ]
  • Hayes K., Peters G.W., and Ludsin S.A. ``Temporal dependence among commercial HPUE
    series: modelling interspecific interactions and environmentally driven catachabilities in Lake Erie" [arXiv:]
  • Hayes K., Hossack G.R., Barry S. and Peters G.W., ``Severe uncertainty and information-gap theory: A commentary for ecologists and environmental managers".[arXiv:]
  • Dean T., Singh S., Jasra A. and Peters G.W.  ``Parameter estimation for Hidden Markov Models with intractable likelihoods".  [arXiv:1103.5399].
  • Peters G.W., Hayes K., Hossack G. ``Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC)". [arXiv:1005.2238v1].
  • Sisson S.A., Peters G.W., Fan Y. and Briers, M. ``Likelihood Free Samplers".

Statistical Finance and Risk Modelling:

  • Del Moral P., Peters G.W., and Verge Ch. ``An introduction to particle integration methods: with applications to risk and insurance." [arXiv:]
  • Peters G.W., Dong, A. and Kohn, R. ``A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving" [arXiv: ].

Signal Processing and Communications Engineering:

  • Peters G.W., Nevat I., Septier F. and Clavier L. "Generalized Interference Models in Doubly Stochastic Poisson Random Fields for Wideband Communications: the PNSC(α) model" [arXiv:1207.1531].
  • Nevat I., Peters G.W., Collings I. and Yuan J., ``Co-operative Spectrum Sensing with Partial CSI". [arXiv:1104.2355]
  • Nevat I., Peters G.W., Doucet A. and Yuan J.  ``Joint Channel and Frequency Offset Estimation in Dynamic Cooperative Relay Networks." [ ].
  • Nevat I., Peters G.W. and Yuan J. ``Blind Spectrum Sensing in Cognitive Radio over Fading Channels and Frequency Offsets" -[arXiv:1006.3155v1]

Appeared

Statistical Methodology - MCMC, TDMCMC, SMC, Particle Filtering:

  • Korotsil I., Peters G.W., Cornebise J. and Regan D. (2012) ``Adaptive Markov Chain Monte Carlo Forward Simulation for Statistical Analysis in Epidemic Modelling of Human Papilloma Virus." (to appear - Statistics in Medicine)
  • Hossack G.R., Peters G.W. and Hayes K., (2012) ``Estimating nonlinear ecological state space models with flexible observation error". (to appear - Methods in Ecology and Evolution) [arXiv:]
  • Peters G.W., Fan Y. and Sisson S.A. (2012) ``On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation" Statistics and Computing (To Appear). [arXiv:0808.3466v2].
  • Burgman M., Franklin J., Hayes, K., Hossack G.R., Peters G.W. and Sisson S.A., (2012) ``Modelling extreme risks in Ecology" Risk Analysis (To appear). [arXiv:0912.4729]
  • Peters G.W., Sisson S.A. and Fan Y. (2010) ``Likelihood-free Bayesian inference for $\alpha$-stable models". Computational Statistics and Data Anlaysis, 38 pages. [arXiv:0912.4729]
  • Cornebise J. and Peters G.W. (2010) ``Comments on 'Particle Markov Chain Monte Carlo'". Journal of the Royal Statistical Society Series B - comments on read paper, 72(3),269–342. [arXiv:0911.3866]
  • Bornn L., Cornebise J. and Peters G.W. (2010) ``Discussion of 'Riemann manifold Langevin and Hamiltonian Monte Carlo methods' '' by M. Girolami and B. Calderhead. Journal of the Royal Statistical Society Series B - comments on read paper. [arXiv:1011.0057]
  • Peters G.W. and Cornebise J. (2010) ``Comments on 'Particle Markov Chain Monte Carlo'". Journal of the Royal Statistical Society Series B - comments on read paper, 72(3),269–342. [arXiv:0911.3866]
  • Fan Y., Peters G.W. and  Sisson S.A (2009) ``Automating and Evaluating Reversible Jump MCMC Proposal Distributions". Statistics and Computing, 19, 401-429.
  • Pierre Del Moral, Arnaud Doucet, Gareth Peters. "Sharp Propagation of Chaos Estimates for Feynman-Kac Particle Models." Teoriya Veroyatnosteri i ee Primeneniya (to be reprinted in SIAM Theory of Probability and Its Applications), vol. 51, no. 3, (2006)

Statistical Finance and Risk Modelling:

  • Peters G.W., Briers M., Shevchenko P.V. and Doucet A., (2012) ``Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts." (to appear - Methodology and Computing in Applied Probability) [arXiv:1105.5850]
  • Peters G.W., Shevchenko P., Young M. and Yip W., (2011) ``Analytic Loss Distributional Approach Model for Operational Risk form Alpha-Stable Doubly Stochastic Compound Process and Implications for Capital Allocation". [arXiv:1102.3582] Insurance Mathematics and Economics (to appear).
  • Peters G.W., Balikrishnan K., Lasscock B., Mellon M. and Godsill S. (2011) ``Bayesian Cointegrated Vector Autoregression models incorporating alpha-stable noise for inter-day price movements via Approximate Bayesian Computation". to appear Bayesian Analysis. [arXiv:1008.0149v1]
  • Peters G.W., Byrnes A.D., Shevchenko P.V. (2011) ``Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses ?". Insurance: Mathematics and Economics, 48, 287-303. [arXiv:1010.4406]
  • Peters G.W., Balkrishnan K. and Lasscock B. (2010) ``Model selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Models".Bayesian Analysis,5(3),465-492. [arXiv:1004.3830]
  • Peters G.W., Wuethrich M. and Shevchenko P. (2010) ``Chain Ladder Method: Bayesian Bootstrap versus Classical Bootstrap". Insurance: Mathematics and Economics, 47(1), 36-51. [arXiv:1004.2548]
  • Peters G.W., Shevchenko P. and Wuethrich (2009).  ``Dynamic Operational Risk: modelling dependence and combining different sources of information". Journal of Operational Risk, 4(2), 69-104. [arXiv:0904.4074]
  • Peters G.W., Shevchenko P. and Wuethrich M. (2009) ``Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models". ASTIN Bulletin 39(1), 1-33. [arXiv:0904.1483 ]
  • Peters G.W., Johansen A. M. and Doucet A. (2007) ``Simulation of the Annual Loss Distribution in Operational Risk via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation". Journal of Operational Risk, 2(3).
  • Peters G.W. and Sisson S.A. (2006) ``Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3).

Signal Processing and Communications Engineering:

  • Peters G.W., Nevat I., Yuan J. and Collings I. (2012), ``System Identification in Wireless Relay Networks via Gaussian Process". (to appear) IEEE Transactions on Vehicular Technology.
  • Peters G.W., Nevat I., Sisson S.A., Fan Y. and Yuan J. (2010) ``Bayesian Symbol Detection in Wireless Relay Networks via Likelihood Free Inference". IEEE Transactions on Signal Processing, 58, 5206-5218. [arXiv:1007.4603]
  • Nevat I., Peters G.W. and Yuan J. (2010). ``Detection of Gaussian Constellations in MIMO Systems Under Imperfect CSI". IEEE Transactions of Communications,58(4),1151-1160.
  • Peters G.W., Nevat I. and Yuan J. (2009). ``Channel Estimation in OFDM Systems with Unknown Power Delay Profile using Trans-dimensional MCMC". IEEE Transactions on Signal Processing, 57(9), 3545-3561.
  • Nevat I., Peters G.W. and Yuan J. (2008) ``A Low Complexity MAP Estimation in Linear Models with a Random Gaussian Mixing Matrix". IEEE Transactions on Communications, to appear.

Text Reviews

  • 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 and Industry White Papers

  • Statistical report for the ABC, Peters G. W., (2009)
  • Research Proposal Grinham Managed Funds: Dynamic CoIntegration models, Peters G. W., (2009)
  • What to expect from graduate school, Peters G. W., ISBA Bulletin, 16(2), (2009). http://www.bayesian.org/bulletin/0906.pdf
  • Research Proposal Grinham Managed Funds: VAR models and CoIntegration Analysis , Peters G. W., (2008)
  • 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)
  • Operational Risk Combining and Aggregation Methodology Devlopment - Commonwealth Bank of Australia Internal Report (2007)
  • Operational Risk Captital Allocation and Capital Sensitivity Methodology and Analysis - Commonwealth Bank of Australia Internal Report (2006)
  • Operational Risk Quantitative Risk Assessment Survey Design and Methodology Analysis - Commonwealth Bank of Australia Internal Report (2005/6)
  • Operational Risk OpRA System Sensitivity Analysis Report (Convolution, Distribution Choice, Number of Exposures) - Commonwealth Bank of Australia Internal Report (2006)
  • Operational Risk OpRA System Accuracy Testing - Commonwealth Bank of Australia Internal Report and Analysis (2006)