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Peter Spreij
Universiteit van Amsterdam, The Netherlands
Articles in Scholarly Journals [Incomplete List]
An explicit expression for the Fisher information matrix of a multiple time series process
Linear Algebra and its Applications, vol. 417, no. 1, pp. 140–149, 2006
Nonnegative matrix factorization and I-divergence alternating minimization?
Linear Algebra and its Applications, vol. 416, no. 2-3, pp. 270–287, 2006
The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process
Linear Algebra and its Applications, vol. 416, no. 1, pp. 160–174, 2006
On the solution of Stein?s equation and Fisher?s information matrix of an ARMAX process
Linear Algebra and its Applications, vol. 396, pp. 1–34, 2005
On the resultant property of the Fisher information matrix of a vector ARMA process
Linear Algebra and its Applications, vol. 403, pp. 291–313, 2005
Nonparametric volatility density estimation for discrete time models
Journal of Nonparametric Statistics, vol. 17, no. 2, pp. 237–249, 2005
Tail behaviour of credit loss distributions for general latent factor models
Applied Mathematical Finance, vol. 10, no. 4, pp. 337–357, 2003
Some Results on Vandermonde Matrices with an Application to Time Series Analysis
SIAM Journal on Matrix Analysis and Applications, vol. 25, no. 1, p. 213, 2003
Information processes for semimartingale experiments
The Annals of Probability, vol. 31, no. 1, pp. 216–243, 2003
Erratum to “An analytic approach to credit risk of large corporate bond and loan portfolios” [Journal of Banking and Finance 25, no. 9, pp. 1635–1664]
Journal of Banking & Finance, vol. 26, no. 1, pp. 201–202, 2002
An analytic approach to credit risk of large corporate bond and loan portfolios
Journal of Banking & Finance, vol. 25, no. 9, pp. 1635–1664, 2001
On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process
Linear Algebra and its Applications, vol. 329, no. 1-3, pp. 9–47, 2001
On the Markov property of a finite hidden Markov chain
Statistics & Probability Letters, vol. 52, no. 3, pp. 279–288, 2001
Some aspects of modeling and statistical inference for financial models
Statistica Neerlandica, vol. 54, no. 3, pp. 265–292, 2000
A representation result for finite Markov chains
Statistics & Probability Letters, vol. 38, no. 2, pp. 183–186, 1998
On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
Linear Algebra and its Applications, vol. 237-238, pp. 579–590, 1996
Spectral characterization of the optional quadratic variation process
Stochastic Processes and their Applications, vol. 54, no. 1, pp. 165–174, 1994
On correlation calculus for multivariate martingales
Stochastic Processes and their Applications, vol. 46, no. 2, pp. 283–299, 1993
Recursive approximate maximum likelihood estimation for a class of counting process models
Journal of Multivariate Analysis, vol. 39, no. 2, pp. 236–245, 1991
Self-exciting counting process systems with finite state space
Stochastic Processes and their Applications, vol. 34, no. 2, pp. 275–295, 1990
An on-line parameter estimation algorithm for counting process observations (Corresp.)
IEEE Transactions on Information Theory, vol. 32, no. 2, pp. 300–303, 1986