Scott Sisson

University of New South Wales (UNSW) - School of Mathematics and Statistics

Sydney, 2052

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

199

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Bayesian Inference, Monte Carlo Sampling and Operational Risk.

 Peters G.W. and Sisson S.A. (2006) “Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3).
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters and Scott Sisson
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 73 (324,141)
Citation 2

Abstract:

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Approximate Bayesian Computation; Basel II Advanced Measurement Approach; Bayesian Inference; Compound Processes; Loss Distributional Approach; Markov Chain Monte Carlo; Operational Risk

2.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
University of Sydney Business School, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 71 (329,148)
Citation 1

Abstract:

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symbolic data, time series, MCMC, quantile function, g-and-h, Value-at-Risk

3.

Likelihood-Free Bayesian Inference for α-Stable Models

Number of pages: 33 Posted: 10 Jun 2017
Gareth Peters, Scott Sisson and Y. Fan
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 29 (475,698)
Citation 2

Abstract:

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α-stable distributions; Approximate Bayesian computation; Bayesian inference; Likelihood-free inference; Multivariate models

4.

On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation

Probability Surveys, ISSN: 1549-5787 (2008)
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Y. Fan and Scott Sisson
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 26 (491,408)

Abstract:

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Asymptotic analysis, Convergence, Interacting particle systems, Sequential Monte Carlo samplers