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Mathematics

D-Index
40
Citations
35512
World Ranking
1970
National Ranking
830

Research.com Recognitions

  • 1991 - Fellow of the American Statistical Association (ASA)

Overview

Peter J. Brockwell is affiliated with Colorado State University in the United States. Their research focuses on areas within Economics, Econometrics and Finance, Decision Sciences, and Mathematics. The main fields of study include:

  • Economics, Econometrics and Finance
  • Decision Sciences
  • Mathematics

Within these broad fields, their work covers several subfields such as Finance, Economics and Econometrics, Statistics, Probability and Uncertainty, and Statistics and Probability:

  • Finance
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty
  • Statistics and Probability

The scientific topics explored by Peter J. Brockwell are diverse and include key aspects of stochastic processes and statistical methodologies. Notable main topics are:

  • Stochastic processes and financial applications
  • Advanced Statistical Process Monitoring
  • Statistical Distribution Estimation and Applications
  • Financial Risk and Volatility Modeling
  • Complex Systems and Time Series Analysis
  • Market Dynamics and Volatility

The recent scholarly output includes a paper titled Aspects of non-causal and non-invertible CARMA processes, published in 2021 in the Journal of Time Series Analysis. This work represents ongoing contributions to the understanding of time series analysis and related statistical models.

Peter J. Brockwell has published in the Journal of Time Series Analysis, reflective of the technical focus on time-dependent data and advanced statistical theory.

Their collaborative research includes frequent coauthorship with Alexander Lindner, highlighting professional interactions that contribute to evolving topics in their field.

Recognition of Peter J. Brockwell's professional standing includes being named a Fellow of the American Statistical Association (ASA) in 1991, an honor that denotes significant involvement in the statistical community.

Best Publications

  • Time Series: Theory and Methods

    Peter J Brockwell;Richard A Davis

  • Introduction to time series and forecasting

    Peter J. Brockwell;Richard A. Davis

  • Time Series: Theory and Methods (2nd ed.).

    Rong Chen;Peter J. Brockwell;Richard A. Davis

  • Time Series: Theory and Methods (2Nd Edn)

    P. M. North;Peter J. Brockwell;Richard A. Davis

  • Lévy-driven CARMA processes

    P. J. Brockwell

  • BIRTH, IMMIGRATION AND CATASTROPHE PROCESSES

    P. J. Brockwell;J. Gani;S. I. Resnick

  • Minimum viable population size in the presence of catastrophes

    Warren J. Ewens;P. J. Brockwell;J. M. Gani;S. I. Resnick

  • Continuous-time ARMA processes

    P.J. Brockwell

  • Lévy-driven and fractionally integrated ARMA processes with continuous time parameter

    Peter J. Brockwell;Tina Marquardt

  • The minimum of an additive process with applications to signal estimation and storage theory

    P. K. Bhattacharya;P. J. Brockwell

  • A class of nonparametric tests based on multiresponse permutation procedures

    Paul W. Mielke;Kenneth J. Berry;Peter J. Brockwell;James S. Williams

  • STORAGE PROCESSES WITH GENERAL RELEASE RULE AND ADDITIVE INPUTS

    P. J. Brockwell;S. I. Resnick;R. L. Tweedie

  • The extinction time of a birth, death and catastrophe process and of a related diffusion model

    P. J. Brockwell

  • On the general bilinear time series model

    Jian Liu;Peter J. Brockwell

  • Linear prediction of ARMA processes with infinite variance

    Daren B.H. Cline;Peter J. Brockwell

  • Continuous-time GARCH processes

    Peter Brockwell;Erdenebaatar Chadraa;Alexander Lindner

  • Existence and uniqueness of stationary Lévy-driven CARMA processes

    Peter J. Brockwell;Alexander Lindner

  • Representations of continuous-time ARMA processes

    Peter J. Brockwell

  • Estimation for Non-Negative Lévy-Driven CARMA Processes

    Peter J. Brockwell;Richard A. Davis;Yu Yang

  • Recent results in the theory and applications of CARMA processes

    P. J. Brockwell;P. J. Brockwell

Frequent Co-Authors

Richard A. Davis
Richard A. Davis Columbia University
Claudia Klüppelberg
Claudia Klüppelberg Technical University of Munich
Qiwei Yao
Qiwei Yao London School of Economics and Political Science
Paul W. Mielke
Paul W. Mielke Colorado State University
Sidney I. Resnick
Sidney I. Resnick Cornell University
Richard L. Tweedie
Richard L. Tweedie University of Minnesota

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