Douglas E. Johnston

Publication Activity (10 Years)

Years Active: 1994-2021
Publications (10 Years): 3

Top Topics

Bayesian Estimation

Posterior Distribution

Particle Filter

Conditional Density

Top Venues

IEEE J. Sel. Top. Signal Process.

Publications

Douglas E. Johnston, Petar M. Djuric
Bayesian Estimation of a Tail-Index with Marginalized Threshold. ICASSP (2021)
Douglas E. Johnston, Petar M. Djuric
A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters. ICASSP (2020)
Douglas E. Johnston, Petar M. Djuric
A Recursive Bayesian Model for Extreme Values. ICASSP (2019)
Douglas E. Johnston, Iñigo Urteaga, Petar M. Djuric
Replication and optimization of hedge fund risk factor exposures. ICASSP (2013)
Douglas E. Johnston, Petar M. Djuric
Estimating hedge fund risk factor exposures. SPAWC (2012)
Petar M. Djuric, Mahsiul Khan, Douglas E. Johnston
Particle Filtering of Stochastic Volatility Modeled With Leverage. IEEE J. Sel. Top. Signal Process. 6 (4) (2012)
Douglas E. Johnston, Petar M. Djuric
The Science Behind Risk Management. IEEE Signal Process. Mag. 28 (5) (2011)
Douglas E. Johnston, Petar M. Djuric
An efficient Bayes solution to AR signal modelling for short sequences. ICASSP (4) (1994)
Petar M. Djuric, William B. Bishop, Douglas E. Johnston
Bayesian procedure for the Detection of Damped Signals. ISCAS (1994)
Douglas E. Johnston, Petar M. Djuric
Bayesian Detection and MMSE Frequency Estimation of Sinusoidal Signals via Adaptive Importance Sampling. ISCAS (1994)