By Professor Spiridon Ivanov Penev

Books

Del Moral P; Penev S, 2017, Stochastic Processes, Chapman and Hall/CRC, http://dx.doi.org/10.1201/9781315381619

Book Chapters

Aya-Moreno C; Penev S; Geenens G; Aya Moreno C, 2024, 'Hellinger-Bhattacharyya Cross-Validation for Shape-Preserving Multivariate Wavelet Thresholding', in Doosti H (ed.), Flexible Nonparametric Curve Estimation, Springer Nature, Cham, Switzerland, pp. 197 - 227, http://dx.doi.org/10.1007/978-3-031-66501-1_9

, 2024, 'Flexible Nonparametric Curve Estimation', in Doosti H (ed.), , Springer International Publishing, http://dx.doi.org/10.1007/978-3-031-66501-1

Raykov TN; Penev SI, 2004, 'Improved analytic interval estimation of scale reliability', in Montfort KV; Oud J; Satorra A (ed.), Mathematical Modelling: theory and applications Recent developments on structural equation models, Kluwer Academic Publishers, The Netherlands, pp. 83 - 93

Raykov TN; Penev SI, 2002, 'Exploring Structural Equation Model Misspecifications via Latent Individual Residuals', in Marcoulides GA; Moustaki I (ed.), Latent Variable and Latent Structure Models, Lawrence Erlbaum Associates, USA, pp. 121 - 134

Raykov TN; Penev SI, 2001, 'The problem of equivalent structural equation models: An indidual residual perspective', in Marcoulides GA; Schumacker RE (ed.), New developments and techniques in structural equation modeling, Lawrence Erlbaum Associates, Mahwah, USA, pp. 297 - 322

Journal articles

Zhao L; Li G; Penev S, 2024, 'Regularized distributionally robust optimization with application to the index tracking problem', Annals of Operations Research, 337, pp. 397 - 424, http://dx.doi.org/10.1007/s10479-023-05726-3

Dentcheva D; Lin Y; Penev S, 2023, 'Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems', Operations Research, 71, pp. 1871 - 1888, http://dx.doi.org/10.1287/opre.2022.2308

Shabani B; Penev S, 2023, 'INTELLIGENT MONITORING OF A LARGE CATAMARAN FERRY', The International Journal of Maritime Engineering, 165, pp. 11 - 22, http://dx.doi.org/10.5750/ijme.v165ia1.791

Penev S; Shevchenko PV; Wu W, 2022, 'Myopic robust index tracking with Bregman divergence', Quantitative Finance, 22, pp. 289 - 302, http://dx.doi.org/10.1080/14697688.2021.1950918

Shabani B; Ali-Lavroff J; Holloway DS; Penev S; Dessi D; Thomas G, 2021, 'USING REMOTE MONITORING AND MACHINE LEARNING TO CLASSIFY SLAM EVENTS OF WAVE PIERCING CATAMARANS', Transactions of the Royal Institution of Naval Architects Part A: International Journal of Maritime Engineering, 163, pp. A15 - A30, http://dx.doi.org/10.5750/ijme.v163iA3.797

Kulinich M; Fan Y; Penev S; Evans JP; Olson R, 2021, 'A Markov chain method for weighting climate model ensembles', Geoscientific Model Development, 14, pp. 3539 - 3551, http://dx.doi.org/10.5194/gmd-14-3539-2021

Noghrehchi F; Stoklosa J; Penev S; Warton DI, 2021, 'Selecting the model for multiple imputation of missing data: Just use an IC!', Statistics in Medicine, 40, pp. 2467 - 2497, http://dx.doi.org/10.1002/sim.8915

Naito K; Penev S, 2021, 'Regression using localised functional Bregman divergence', Electronic Journal of Statistics, 15, pp. 6544 - 6585, http://dx.doi.org/10.1214/21-EJS1947

Noghrehchi F; Stoklosa J; Penev S, 2020, 'Multiple imputation and functional methods in the presence of measurement error and missingness in explanatory variables', Computational Statistics, 35, pp. 1291 - 1317, http://dx.doi.org/10.1007/s00180-020-00976-2

Penev SI; Shevchenko P; Wu W, 2018, 'The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion', European Journal of Operational Research, 273, pp. 772 - 784, http://dx.doi.org/10.1016/j.ejor.2018.08.026

Aya Moreno C; Geenens G; Penev SI, 2018, 'Shape-preserving wavelet-based multivariate density estimation', Journal of Multivariate Analysis, 168, pp. 30 - 47, http://dx.doi.org/10.1016/j.jmva.2018.07.002

Penev S; Naito K, 2018, 'Locally robust methods and near-parametric asymptotics', Journal of Multivariate Analysis, 167, pp. 395 - 417, http://dx.doi.org/10.1016/j.jmva.2018.06.006

Hanke M; Penev S, 2018, 'Comparing large-sample maximum Sharpe ratios and incremental variable testing', European Journal of Operational Research, 265, pp. 571 - 579, http://dx.doi.org/10.1016/j.ejor.2017.08.018

Hall P; Penev S; Tran J, 2018, 'Wavelet methods for erratic regression means in the presence of measurement error', Statistica Sinica, 28, pp. 2289 - 2307, http://dx.doi.org/10.5705/ss.202016.0393

Hanke M; Penev S; Schief W; Weissensteiner A, 2017, 'Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness', European Journal of Operational Research, 263, pp. 510 - 523, http://dx.doi.org/10.1016/j.ejor.2017.05.023

Fan Y; de Micheaux PL; Penev S; Salopek D, 2017, 'Multivariate nonparametric test of independence', Journal of Multivariate Analysis, 153, pp. 189 - 210, http://dx.doi.org/10.1016/j.jmva.2016.09.014

Bannister H; Goldys B; Penev S; Wu W, 2016, 'Multiperiod mean-standard-deviation time consistent portfolio selection', Automatica, 73, pp. 15 - 26, http://dx.doi.org/10.1016/j.automatica.2016.06.021

Dentcheva D; Penev S; Ruszczyński A, 2016, 'Statistical estimation of composite risk functionals and risk optimization problems', Annals of the Institute of Statistical Mathematics, 69, pp. 737 - 760, http://dx.doi.org/10.1007/s10463-016-0559-8

Raykov T; Penev S, 2014, 'Latent Growth Curve Model Selection: The Potential of Individual Case Residuals', Structural Equation Modeling: A Multidisciplinary Journal, 21, pp. 20 - 30, http://dx.doi.org/10.1080/10705511.2014.856693

Penev SI; Leonte D; Lazarov Z; Mann RA, 2014, 'Applications of MIDAS regression in analysing trends in water quality', Journal of Hydrology, 511, pp. 151 - 159, http://dx.doi.org/10.1016/j.jhydrol.2014.01.031

Penev SI; Prvan T, 2013, 'Robust estimation in structural equation models using Bregman divergences', Australia and New Zealand Industrial and Applied Mathematics (ANZIAM) Journal, 54, pp. C574 - C589

Maesono Y; Penev SI, 2013, 'Improved confidence intervals for quantiles', Annals of the Institute of Statistical Mathematics, 65, pp. 167 - 189, http://dx.doi.org/10.1007/s10463-012-0369-6

Matmoura Y; Penev SI, 2013, 'Multistage optimization of option portfolio using higher order coherent risk measures', European Journal of Operational Research, 227, pp. 190 - 198, http://dx.doi.org/10.1016/j.ejor.2012.12.013

Penev SI, 2011, 'Book Review (Linear Causal Modeling with Structural Equations)', Australian and New Zealand Journal of Statistics

Maesono Y; Penev SI, 2011, 'Edgeworth expansion for the kernel quantile estimator', Annals of the Institute of Statistical Mathematics, 63, pp. 617 - 644, http://dx.doi.org/10.1007/s10463-009-0241-5

Penev S, 2011, 'Linear Causal Modeling with Structural Equations by Stanley Mulaik', Australian & New Zealand Journal of Statistics, 53, pp. 393 - 395, http://dx.doi.org/10.1111/j.1467-842x.2011.00618.x

Penev SI; Ruderman A, 2011, 'On the behaviour of tests based on sample spacings for moderate samples', Journal of Statistical Planning and Inference, 141, pp. 1240 - 1249, http://dx.doi.org/10.1016/j.jspi.2010.09.025

Penev SI; Raykov T, 2010, 'A method of bias correction for maximal reliability with dichotomous measures', British Journal of Mathematical and Statistical Psychology, 63, pp. 163 - 175

Raylov T; Penev SI, 2010, 'Evaluation of reliability coefficients for two-level models via latent variable analysis', Structural Equation Modeling - A Multidisciplinary Journal, 17, pp. 629 - 641, http://dx.doi.org/10.1080/10705511.2010.510052

Dentcheva D; Penev SI; Ruszczynski A, 2010, 'Kusuoka representation of higher order dual risk measures', Annals of Operations Research, 181, pp. 325 - 335, http://dx.doi.org/10.1007/s10479-010-0747-5

Dentcheva D; Penev SI, 2010, 'Shape-restricted inference for Lorenz curves using duality theory', Statistics and Probability Letters, 80, pp. 403 - 412

Penev SI; Raykov T, 2010, 'Testing multivariate mean collinearity via latent variable modelling', British Journal of Mathematical and Statistical Psychology, 63, pp. 481 - 490, http://dx.doi.org/10.1348/000711009x471901

Raykov TN; Penev SI, 2009, 'Estimation of maximal reliability for multiple-component instruments in multilevel designs', British Journal of Mathematical and Statistical Psychology, 62, pp. 129 - 142

Dimitrova DS; Kaishev V; Penev SI, 2008, 'GeD spline estimation of multivariate Archimedean copulas', Computational Statistics and Data Analysis, 52, pp. 3570 - 3582

Raykov T; Penev SI, 2006, 'A direct method for obtaining approximate standard error and confidence interval of maximal reliability for composites with congeneric measures', Multivariate Behavioral Research, 41, pp. 15 - 28

Penev SI; Raykov T, 2006, 'Maximal reliability and power in covariance structure models', British Journal of Mathematical and Statistical Psychology, 59, pp. 75 - 87

Penev SI; Raykov TN, 2006, 'On the relationship between maximal reliability and maximal validity of linear composites', Multivariate Behavioral Research, 41, pp. 105 - 126

Raykov TN; Penev SI, 2005, 'Estimation of reliability for multiple-component measuring instruments in test-retest designs', British Journal of Mathematical and Statistical Psychology, 58, pp. 285 - 299

Penev SI; Peng H; Schick A; Wefelmeyer W, 2004, 'Efficient estimators for functionals of Markov chains with parametric marginals', Statistics and Probability Letters, 66, pp. 335 - 345

Hall PH; Penev SI, 2004, 'Wavelet-based estimation with multiple sampling rates', Annals of Statistics, 32, pp. 1933 - 1956

Raykov TN; Penev SI, 2002, 'Interval estimation of latent correlations in structural equation models with A Priori restricted parameters', Understanding Statistics, l(3), pp. 139 - 155

Hall PH; Penev SI, 2001, 'Cross-validation for choosing resolution level for nonlinear wavelet curve estimators', Bernoulli, pp. 317 - 341

Dechevsky LT; Macgibbon B; Penev SI, 2001, 'Numerical methods for asymptotically minimax non-parametric function estimation with positivity constraints I', Sankhya - the Indian Journal of Statistics Series B, pp. 149 - 180

Penev S; Raykov T, 2000, 'A Wiener germ approximation of the noncentral chi square distribution and of its quantiles', Computational Statistics, 15, pp. 219 - 228, http://dx.doi.org/10.1007/s001800000029

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