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1

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]

André Lucas, Pieter Klaassens, Peter Spreij, Stefan Straetmans

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 62 KB

english, 2002

2

Regime switching affine processes with applications to finance

van Beek, Misha, Mandjes, Michel, Spreij, Peter, Winands, Erik

Journal:

Finance and Stochastics

Year:

2020

Language:

english

File:

PDF, 845 KB

english, 2020

3

An analytic approach to credit risk of large corporate bond and loan portfolios

André Lucas, Pieter Klaassen, Peter Spreij, Stefan Straetmans

Journal:

Journal of Banking & Finance

Year:

2001

Language:

english

File:

PDF, 636 KB

english, 2001

4

Estimation of a multivariate stochastic volatility density by kernel deconvolution

Bert Van Es, Peter Spreij

Journal:

Journal of Multivariate Analysis

Year:

2011

Language:

english

File:

PDF, 520 KB

english, 2011

5

An explicit expression for the Fisher information matrix of a multiple time series process

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2006

Language:

english

File:

PDF, 123 KB

english, 2006

6

On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process

Andre Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2001

Language:

english

File:

PDF, 253 KB

english, 2001

7

On the Markov property of a finite hidden Markov chain

Journal:

Statistics & Probability Letters

Year:

2001

Language:

english

File:

PDF, 119 KB

english, 2001

8

On hidden Markov chains and finite stochastic systems

Journal:

Statistics & Probability Letters

Year:

2003

Language:

english

File:

PDF, 185 KB

english, 2003

9

Evolution in games with a continuous action space

Matthijs van Veelen, Peter Spreij

Journal:

Economic Theory

Year:

2009

Language:

english

File:

PDF, 360 KB

english, 2009

10

Transformed statistical distance measures and the fisher information matrix

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2012

Language:

english

File:

PDF, 425 KB

english, 2012

11

Software Reliability as an Application of Martingale & Filtering Theory

Koch, G., Spreij, P.J.C.

Journal:

IEEE Transactions on Reliability

Year:

1983

Language:

english

File:

PDF, 695 KB

english, 1983

12

Some Results on Vandermonde Matrices with an Application to Time Series Analysis

Klein, André, Spreij, Peter

Journal:

SIAM Journal on Matrix Analysis and Applications

Year:

2003

Language:

english

File:

PDF, 157 KB

english, 2003

13

Weak convergence of Markov-modulated diffusion processes with rapid switching

Huang, Gang, Mandjes, Michel, Spreij, Peter

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 359 KB

english, 2014

14

Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations*

Gugushvili, Shota, Spreij, Peter

Journal:

Lithuanian Mathematical Journal

Year:

2014

Language:

english

File:

PDF, 217 KB

english, 2014

15

An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model

Spreij, Peter, Veerman, Enno, Vlaar, Peter

Journal:

Applied Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 371 KB

english, 2011

16

Access to Health Care for Undocumented Migrants: A Comparative Policy Analysis of England and the Netherlands

Grit, K., den Otter, J. J., Spreij, A.

Journal:

Journal of Health Politics Policy and Law

Year:

2012

Language:

english

File:

PDF, 215 KB

english, 2012

17

Tail behaviour of credit loss distributions for general latent factor models

Lucas, André, Klaassen, Pieter, Spreij, Peter, Straetmans, Stefan

Journal:

Applied Mathematical Finance

Year:

2003

Language:

english

File:

PDF, 275 KB

english, 2003

18

Large deviations for Markov-modulated diffusion processes with rapid switching

Huang, Gang, Mandjes, Michel, Spreij, Peter

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 370 KB

english, 2016

19

A note on the central limit theorem for the idleness process in a one-sided reflected Ornstein-Uhlenbeck model

Mandjes, Michel, Spreij, Peter

Journal:

Statistica Neerlandica

Year:

2017

Language:

english

File:

PDF, 138 KB

english, 2017

20

Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment

Delsing, G. A., Mandjes, M. R. H., Spreij, P. J. C., Winands, E. M. M.

Journal:

Methodology and Computing in Applied Probability

Year:

2019

Language:

english

File:

PDF, 806 KB

english, 2019

21

Recursive approximate maximum likelihood estimation for a class of counting process models

Journal:

Journal of Multivariate Analysis

Year:

1991

Language:

english

File:

PDF, 427 KB

english, 1991

22

Recursive estimation for a class of counting processes

Journal:

Stochastic Processes and their Applications

Year:

1987

Language:

english

File:

PDF, 68 KB

english, 1987

23

Self-exciting counting process systems with finite state space

Journal:

Stochastic Processes and their Applications

Year:

1990

Language:

english

File:

PDF, 1.27 MB

english, 1990

24

On correlation calculus for multivariate martingales

Kacha Dzhaparidze, Peter Spreij

Journal:

Stochastic Processes and their Applications

Year:

1993

Language:

english

File:

PDF, 863 KB

english, 1993

25

On the solution of Stein’s equation and Fisher’s information matrix of an ARMAX process

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2005

Language:

english

File:

PDF, 381 KB

english, 2005

26

On the resultant property of the Fisher information matrix of a vector ARMA process

André Klein, Guy Mélard, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2005

Language:

english

File:

PDF, 304 KB

english, 2005

27

Nonnegative matrix factorization and I-divergence alternating minimization

Lorenzo Finesso, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2006

Language:

english

File:

PDF, 219 KB

english, 2006

28

The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2006

Language:

english

File:

PDF, 184 KB

english, 2006

29

Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2009

Language:

english

File:

PDF, 257 KB

english, 2009

30

Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

2010

Language:

english

File:

PDF, 221 KB

english, 2010

31

A representation result for finite Markov chains

Journal:

Statistics & Probability Letters

Year:

1998

Language:

english

File:

PDF, 210 KB

english, 1998

32

Determination of the shape of the operculum by the bithorax complex inDrosophila melanogaster

T. E. Spreij, D. Segal

Journal:

Development Genes and Evolution

Year:

1986

Language:

english

File:

PDF, 1.41 MB

english, 1986

33

Approximation of stationary processes by hidden Markov models

Lorenzo Finesso, Angela Grassi, Peter Spreij

Journal:

Mathematics of Control, Signals, and Systems (MCSS)

Year:

2010

Language:

english

File:

PDF, 288 KB

english, 2010

34

On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices

André Klein, Peter Spreij

Journal:

Linear Algebra and its Applications

Year:

1996

Language:

english

File:

PDF, 427 KB

english, 1996

35

Spectral characterization of the optional quadratic variation process

Kacha Dzhaparidze, Peter Spreij

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 569 KB

english, 1994

36

Some aspects of modeling and statistical inference for financial models

K. Dzhaparidze, P. J. C. Spreij, J. H. Van Zanten

Journal:

Statistica Neerlandica

Year:

2000

Language:

english

File:

PDF, 347 KB

english, 2000

37

Editorial introduction

Shota Gugushvili, Chris Klaassen, Peter Spreij

Journal:

Statistica Neerlandica

Year:

2010

Language:

english

File:

PDF, 416 KB

english, 2010

38

An on-line parameter estimation algorithm for counting process observations (Corresp.)

Journal:

IEEE Transactions on Information Theory

Year:

1986

Language:

english

File:

PDF, 700 KB

english, 1986

39

Parameter Estimation for a Specific Software Reliability Model

Journal:

IEEE Transactions on Reliability

Year:

1985

Language:

english

File:

PDF, 814 KB

english, 1985

40

Recursive Solution of Certain Structured Linear Systems

Klein, André, Spreij, Peter

Journal:

SIAM Journal on Matrix Analysis and Applications

Year:

2008

Language:

english

File:

PDF, 258 KB

english, 2008

41

Obituary

Huang, Gang, Mandjes, Michel, Spreij, Peter

Journal:

Year:

1950

Language:

english

File:

PDF, 241 KB

english, 1950

42

A block Hankel generalized confluent Vandermonde matrix

Klein, André, Spreij, Peter

Journal:

Linear Algebra and its Applications

Year:

2014

Language:

english

File:

PDF, 470 KB

english, 2014

43

[IEEE ITW 2002. 2002 IEEE Information Theory Workshop - Bangalore, India (20-25 Oct. 2002)] Proceedings of the IEEE Information Theory Workshop - 4Approximate realization of hidden Markov chains

Finesso, L., Spreij, P.

Year:

2002

Language:

english

File:

PDF, 238 KB

english, 2002

44

Affine Diffusions with Non-Canonical State Space

Spreij, Peter, Veerman, Enno

Journal:

Stochastic Analysis and Applications

Year:

2012

Language:

english

File:

PDF, 297 KB

english, 2012

45

On optimality of regular projective estimators for semimartingale models III:one step improvements

Dzhaparidze, Kacha, Spreij, Peter

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1996

Language:

english

File:

PDF, 1.03 MB

english, 1996

46

Limit theorems for reflected Ornstein-Uhlenbeck processes

Huang, Gang, Mandjes, Michel, Spreij, Peter

Journal:

Statistica Neerlandica

Year:

2014

Language:

english

File:

PDF, 211 KB

english, 2014

47

Recursive parameter estimation for counting processes with linear intensity

Journal:

Year:

1986

Language:

english

File:

PDF, 825 KB

english, 1986

48

Minimality and reductibility of conditionally poisson systems with finite state space

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1990

Language:

english

File:

PDF, 1.13 MB

english, 1990

49

Nonparametric volatility density estimation for discrete time models

Van Es, Bert, Spreij, Peter, Van Zanten, Harry

Journal:

Journal of Nonparametric Statistics

Year:

2005

Language:

english

File:

PDF, 430 KB

english, 2005

50

On optimality of regular projective estimators for semimartingale models, part ii: asymptotically linear estimators

Dzhaparidze, Kacha, Spreij, Peter

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1994

Language:

english

File:

PDF, 806 KB

english, 1994

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