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
77. Raykov, T., Penev,
S., Zhang, B. (2025). Fitting Covariance Structure Models With
Arbitrary Observed Distributions: Strong Convergence of the Asymptotically
Distribution-Free Estimator. Structural Equation Modeling, https://doi.org/10.1080/10705511.2025.2556028
76. Kosugi, H., Naito,
K., Penev, S. (2025). Semiparametric regression with localized Bregman
divergence. Scandinavian Journal of Statistics, 52(3), 1330-1375. Link to
publication
75. Penev, S. and
Maesono, Y. (2025). Improved Confidence Intervals for Expectiles.
Mathematics 2025, 13, 510.
https://doi.org/10.3390/math13030510
74.
Aya-Moreno,
C., Geenens, G., Penev, S. (2024).
Hellinger-Bhattacharyya cross-validation for shape-preserving multivariate
wavelet thresholding. Book Chapter in: Flexible Nonparametric Curve Estimation.
Hassan Doosti (Ed). Pages 197-227. Springer Nature. Link to the publisher’s web
page
73.
Zhao,
L., Li, G. , Penev, S. (2024). Regularized
Distributionally Robust Optimization with Application to the Index Tracking
Problem. Annals of Operations Research. 337, pp. 397-424. Link to the publisher’s web
page
72. Shabani, B.,
Ali-Lavroff, J., Holloway, D., Penev, S., Dessi, D., Thomas, G. (2023)
Intelligent monitoring of a large catamaran ferry. International Journal of
Maritime Engineering 165(A1), pp. 11-22.
71. Lam, K., Walder, C.,
Penev, S., Nock, R. (2023) LegendreTron: Uprising
Proper Multiclass Loss Learning. Proceedings of the 40th
International Conference on Machine Learning, Honolulu, Hawaii, USA, July
25-27, 2023. Volume 202 of Proceedings of Machine Learning Research, pages
18454-18470. PMLR, ISSN: 2640-3498.
70.
Dentcheva, D., Lin, Y., Penev, S. (2023). Stability and Sample-based
Approximations of Composite Stochastic Optimization Problems. Operations Research, 71(5): 1871-1888.
Link to publication
69. Penev, S., Shevchenko, P., Wu, W. (2022). Myopic
robust index tracking with Bregman divergence. Quantitative Finance, 22,
289-302. Link
to publication
68. Naito, K., Penev, S.
(2021). Regression using localised functional Bregman
divergence. Electronic Journal of Statistics 15(2), 6544-6585. Link
to publication
67. Shabani, B.,
Ali-Lavroff, J., Holloway, D., Penev, S., Dessi, D., Thomas, G. (2021). Using
remote monitoring and machine learning to classify slam events of wave piercing
catamarans. International Journal of Maritime
Engineering (RINA Transactions Part A), Vol. 163, No A3, p.15-30.
66.
Kulinich, M.,
Fan,Y.,
Penev, S., Evans, J., Olson, R. (2021). A Markov chain method for weighting
climate model ensembles. Geoscientific Model Development, 14, 3539-3551.
65. Noghrehchi, F., Stoklosa, J., Penev, S., Warton, D.
(2021). Selecting the model for multiple imputation of missing data: just use
an IC! Statistics in Medicine, 40, 2467-2497.
64.
Noghrehchi,
F., Stoklosa, J., Penev, S. (2020). Multiple imputation and functional methods
in the presence of measurement error and missingness in explanatory
variables. Computational Statistics,
35, 1291-1317.
63.
Penev,
S., Shevchenko, P., Wu, W. (2019). The impact of model risk on dynamic
portfolio selection under multi-period mean-standard-deviation criterion. European Journal of Operational Research, 273, 2, 772-784. 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).
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).
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
C9. Dessi, D., Shabani, B., Ali-Lavroff, J,
Holloway, D., Penev, S, Thomas, G. and Sanchez-Alayo, D. Unsupervised and
Supervised Machine Learning Techniques for Slamming Classification from SHM
Data. 9th International Conference on Hydroelasticity in Marine
Technology. Rome, Italy, July 10th-13th, 2022. CNR-INM Institute of Marine Engineering,
pp. 132-142. ISBN 9788876170546 (2022) [Refereed Conference Paper]
C8.
Shabani,
B., Lavroff, J., Holloway, D., Penev, S., Dessi, D. and Thomas, G. (2020)
Machine learning and cloud computing for remote monitoring of wave piercing
catamarans: a case study using MATLAB on AMAZON web services. Smart Ship
Technology 2020. 14th-15th October 2020, Online
conference, Papers. Pp. 83-93. Published by the Royal Institution of Naval
Architects, London. ISBN No: 978-1-911649-10-6.
C7. Shabani, B., Lavroff,
J., Holloway, D., Penev, S., Dessi, D. and Thomas, G. (2019) Classifying bow
entry events of wave piercing catamarans in random waves using unsupervised and
supervised techniques. International Conference on Marine Industry 4.0, 5th
November 2019, Rotterdam. Papers. Pp. 39—54. Published by the Royal Institution
of Naval Architects, London. ISBN No: 978-1-911649-00-7.
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).
