Publications (29)
A note on non-parametric Bayesian estimation for Poisson point processes
Shota Gugushvili, Peter Spreij
Nonparametric Bayesian inference for multidimensional compound Poisson processes
Shota Gugushvili, Frank van der Meulen, Peter Spreij
Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
Shota Gugushvili, Peter Spreij
Negative volatility for a 2-dimensional square root SDE
Peter Spreij, Enno Veerman
On hidden Markov chains and finite stochastic systems
Peter Spreij
The Bezoutian and Fisher's information matrix of an ARMA process
Andre Klein, Peter Spreij
Nonparametric Bayesian volatility estimation
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
Sample-path Large Deviations in Credit Risk
Vincent Leijdekker, Michel Mandjes, Peter Spreij
A Kalman particle filter for online parameter estimation with applications to affine models
Jian He, Asma Khedher, Peter Spreij
Non-parametric Bayesian drift estimation for stochastic differential equations
Shota Gugushvili, Peter Spreij
Nonparametric methods for volatility density estimation
Bert van Es, Peter Spreij, Harry van Zanten
Deconvolution for an atomic distribution
Bert van Es, Shota Gugushvili, Peter Spreij
A kernel type nonparametric density estimator for decompounding
Bert van Es, Shota Gugushvili, Peter Spreij
Nonnegative Matrix Factorization and I-Divergence Alternating Minimization
Lorenzo Finesso, Peter Spreij
The affine transform formula for affine jump-diffusions with a general closed convex state space
Peter Spreij, Enno Veerman
Parametric inference for stochastic differential equations: a smooth and match approach
Shota Gugushvili, Peter Spreij
Multivariate Nonparametric Volatility Density Estimation
Bert van Es, Peter Spreij
Affine diffusions with non-canonical state space
Peter Spreij, Enno Veerman
Approximate Nonnegative Matrix Factorization via Alternating Minimization
Lorenzo Finesso, Peter Spreij
Approximation of stationary processes by Hidden Markov Models
Lorenzo Finesso, Angela Grassi, Peter Spreij
Deconvolution for an atomic distribution: rates of convergence
Shota Gugushvili, Bert van Es, Peter Spreij
Approximation of Nonnegative Systems by Finite Impulse Response Convolutions
Lorenzo Finesso, Peter Spreij
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Vincent Leijdekker, Peter Spreij
Nonparametric volatility density estimation for discrete time models
Bert van Es, Peter Spreij, Harry van Zanten
Posterior contraction rate for non-parametric Bayesian estimation of the dispersion coefficient of a stochastic differential equation
Shota Gugushvili, Peter Spreij
Nonparametric Volatility Density Estimation
Bert van Es, Peter Spreij, Harry van Zanten
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Peter Spreij, Enno Veerman, Peter Vlaar
A block Hankel generalized confluent Vandermonde matrix
Andre Klein, Peter Spreij
Limit theorems for reflected Ornstein-Uhlenbeck processes
Gang Huang, Michel Mandjes, Peter Spreij