Peter Spreij
Peter Spreij
Universiteit van Amsterdam, Korteweg-de Vries Institute for Mathematics
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Cited by
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An analytic approach to credit risk of large corporate bond and loan portfolios
A Lucas, P Klaassen, P Spreij, S Straetmans
Journal of Banking & Finance 25 (9), 1635-1664, 2001
Nonnegative matrix factorization and I-divergence alternating minimization
L Finesso, P Spreij
Linear Algebra and its Applications 416 (2-3), 270-287, 2006
A kernel type nonparametric density estimator for decompounding
B Van Es, S Gugushvili, P Spreij
Bernoulli 13 (3), 672-694, 2007
Approximate nonnegative matrix factorization via alternating minimization
L Finesso, P Spreij
arXiv preprint math/0402229, 2004
On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
A Klein, P Spreij
Linear Algebra and its Applications 237, 579-590, 1996
Nonparametric volatility density estimation
B Van Es, P Spreij, H Van Zanten
Bernoulli 9 (3), 451-465, 2003
Approximation of stationary processes by hidden Markov models
L Finesso, A Grassi, P Spreij
Mathematics of control, signals, and systems 22 (1), 1-22, 2010
Nonparametric volatility density estimation for discrete time models
B Van Es, P Spreij, H Van Zanten
Journal of Nonparametric Statistics 17 (2), 237-249, 2005
Evolution in games with a continuous action space
M Van Veelen, P Spreij
Economic Theory 39 (3), 355-376, 2009
Tail behaviour of credit loss distributions for general latent factor models
A Lucas, P Klaassen, P Spreij, S Straetmans
Applied Mathematical Finance 10 (4), 337-357, 2003
Deconvolution for an atomic distribution
B Van Es, S Gugushvili, P Spreij
Electronic Journal of Statistics 2, 265-297, 2008
On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process
A Klein, P Spreij
Linear Algebra and its Applications 329 (1-3), 9-47, 2001
On the resultant property of the Fisher information matrix of a vector ARMA process
A Klein, G Mélard, P Spreij
Linear algebra and its applications 403, 291-313, 2005
Software reliability as an application of martingale & filtering theory
G Koch, PJC Spreij
IEEE Transactions on Reliability 32 (4), 342-345, 1983
Markov-modulated Ornstein-Uhlenbeck processes
G Huang, HM Jansen, M Mandjes, P Spreij, K De Turck
Advances in Applied Probability 48 (1), 235-254, 2016
Recursive approximate maximum likelihood estimation for a class of counting process models
P Spreij
Journal of multivariate analysis 39 (2), 236-245, 1991
Affine diffusions with non-canonical state space
P Spreij, E Veerman
Stochastic Analysis and Applications 30 (4), 605-641, 2012
Parameter estimation for a specific software reliability model
P Spreij
IEEE transactions on reliability 34 (4), 323-328, 1985
Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
S Gugushvili, P Spreij
Lithuanian Mathematical Journal 54 (2), 127-141, 2014
Parametric inference for stochastic differential equations: a smooth and match approach
S Gugushvili, P Spreij
arXiv preprint arXiv:1111.1120, 2011
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