Peter Spreij

Universiteit van Amsterdam, The Netherlands

Articles in Scholarly Journals [Incomplete List]

1. 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
2. Nonnegative matrix factorization and I-divergence alternating minimization?
   Linear Algebra and its Applications, vol. 416, no. 2-3, pp. 270–287, 2006
3. 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
4. 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
5. 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
6. Nonparametric volatility density estimation for discrete time models
   Journal of Nonparametric Statistics, vol. 17, no. 2, pp. 237–249, 2005
7. Tail behaviour of credit loss distributions for general latent factor models
   Applied Mathematical Finance, vol. 10, no. 4, pp. 337–357, 2003
8. 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
9. Information processes for semimartingale experiments
   The Annals of Probability, vol. 31, no. 1, pp. 216–243, 2003
10. 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
11. 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
12. 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
13. On the Markov property of a finite hidden Markov chain
    Statistics & Probability Letters, vol. 52, no. 3, pp. 279–288, 2001
14. Some aspects of modeling and statistical inference for financial models
    Statistica Neerlandica, vol. 54, no. 3, pp. 265–292, 2000
15. A representation result for finite Markov chains
    Statistics & Probability Letters, vol. 38, no. 2, pp. 183–186, 1998
16. 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
17. Spectral characterization of the optional quadratic variation process
    Stochastic Processes and their Applications, vol. 54, no. 1, pp. 165–174, 1994
18. On correlation calculus for multivariate martingales
    Stochastic Processes and their Applications, vol. 46, no. 2, pp. 283–299, 1993
19. Recursive approximate maximum likelihood estimation for a class of counting process models
    Journal of Multivariate Analysis, vol. 39, no. 2, pp. 236–245, 1991
20. Self-exciting counting process systems with finite state space
    Stochastic Processes and their Applications, vol. 34, no. 2, pp. 275–295, 1990
21. An on-line parameter estimation algorithm for counting process observations (Corresp.)
    IEEE Transactions on Information Theory, vol. 32, no. 2, pp. 300–303, 1986