| | | | | | | |  | | | | CONTACT INSTRUCTIONS | | | | School of Mathematics and Statistics,
University of New South Wales, Sydney,
NSW, 2052
Australia.
email: gareth.peters@unsw.edu.au | | | | RESEARCH INTERESTS | | | My research interests include the following areas:
- Computational Statistics.
Development of novel methodology for sampling, integral estimation and filtering
in stochastic models.
Development of algorithms (Markov chain Monte Carlo MCMC, Adaptive MCMC, Trans-dimensional MCMC,
Sequential Monte Carlo(SMC), non-linear filtering, Likelihood-free sampling methdology, Annealing and tempering, rare-event simulation).
- Bayesian Risk, Commodities, Insurance and Hedge Fund models.
Development of novel Bayesian models for Operational Risk, Credit Risk, Commodities
and Non-life insurance claims reserving.
This involves introduction of copula based Bayesian models for correlation structures;
estimation and calibration procedures;
joint on-line parameter estimation and non-linear filtering;
likelihood-free bootstrap procedures;
Co-Integrated Vector Autoregression time
series models;
multivariate latent factor sde models.
- Stochastic Signal Processing and Wireless Communications.
Development of novel Bayesian models for wireless communications.
This includes development of models for coherent and incoherent channel estimation
and detection for OFDM, MIMO and co-operative relay networks.
Additionally, this involves methodological development of algorithms utilizing Stochastic
Approximation, Adaptive MCMC, SMC Samplers, TD-MCMC, Likelihood-free inference.
| | | | TEACHING DUTIES | | | | Semester 2, 2009: MATH2831 - Linear Models (http://www.maths.unsw.edu.au/) | | | | FURTHER INFORMATION | | | |
More information on
Gareth Peters
can be obtained by looking at
his
personal web page
or by contacting
him directly.
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