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Results: 105
Number of items: 105
  • Open Access
    Klein, A., & Spreij, P. (2004). An explicit expression for the Fisher information matrix of a multiple time series process. (UvA Econometrics Discussion Paper; No. 2004/12). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/482fulltext.pdf
  • van Es, A. J., Spreij, P. J. C., & van Zanten, J. H. (2003). Nonparametric volatility density estimation. Bernoulli, 9(3), 451-465. https://doi.org/10.3150/bj/1065444813
  • Lucas, A., Klaassen, P., Spreij, P. J. C., & Straetmans, S. (2003). Tail behaviour of credit loss distributions for general latent factor models. Applied Mathematical Finance, 10(4), 337-357.
  • Klein, A. A. B., & Spreij, P. J. C. (2003). Some results on Vandermonde matrices with an application to time series analysis. SIAM Journal on Matrix Analysis and Applications, 25(1), 213-223. https://doi.org/10.1137/S0895479802402892
  • Spreij, P. J. C. (2003). On hidden Markov chains and finite stochastic systems. Statistics & Probability Letters, 62(2), 89-201.
  • Spreij, P. J. C. (2003). Webklassen. Nieuwe Wiskrant, 22(4), 26-27.
  • Dzaparidze, K., Spreij, P. J. C., & Valkeila, E. (2003). Information processes for semimartingale experiments. The annals of probability, 31(1), 216-243.
  • Dzhaparidze, K., Spreij, P. J. C., & Valkeila, E. (2002). Information concepts for filtered experiments. Theory of Probability and Mathematical Statistics, 67, 38-56.
  • Spreij, P. (2002). The Ito-formule zonder stochastische integralen. Nieuw Archief voor Wiskunde, 5/3(1), 21-22. http://www.nieuwarchief.nl/serie5/pdf/naw5-2002-03-1-021.pdf
  • Open Access
    Klein, A. A. B., & Spreij, P. J. C. (2002). On Stein’s equation, Vandermonde matrices and Fisher’s information matrix of time series processes. Part II: The ARMAX process. (UvA Econometrics Discussion Paper; No. 2002/04). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/463fulltext.pdf
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