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Douglas Johnston
Douglas Johnston
Assistant Professor, Farmingdale State College
Verified email at farmingdale.edu
Title
Cited by
Cited by
Year
Particle filtering of stochastic volatility modeled with leverage
PM Djuric, M Khan, DE Johnston
IEEE Journal of Selected Topics in Signal Processing 6 (4), 327-336, 2012
212012
The science behind risk management
DE Johnston, PM Djurić
IEEE Signal Processing Magazine 28 (5), 26-36, 2011
182011
Replication and optimization of hedge fund risk factor exposures
DE Johnston, I Urteaga, PM Djurić
2013 IEEE International Conference on Acoustics, Speech and Signal …, 2013
82013
Bayesian detection and MMSE frequency estimation of sinusoidal signals via adaptive importance sampling
DE Johnston, PM Djuric
1994 IEEE International Symposium on Circuits and Systems (ISCAS) 2, 417-420, 1994
61994
A recursive Bayesian model for extreme values
DE Johnston, PM Djurić
ICASSP 2019-2019 IEEE International Conference on Acoustics, Speech and …, 2019
52019
Bayesian model selection of exponential time series through adaptive importance sampling
WB Bishop, PM Djuric, DE Johnston
IEEE Seventh SP Workshop on Statistical Signal and Array Processing, 51-54, 1994
51994
A Bayesian procedure for the detection of damped signals
PM Djuric, WB Bishop, DE Johnston
1994 IEEE International Symposium on Circuits and Systems (ISCAS) 2, 401-404, 1994
31994
Estimation of predictive loss distributions by particle filtering
PM Djurić, DE Johnston
2011 IEEE Statistical Signal Processing Workshop (SSP), 41-44, 2011
22011
Bayesian frequency estimation
DE Johnston, PM DjuriC
Stony Brook, NY: State University of New York at Stony Brook, College of …, 1992
21992
Bayesian forecasting of dynamic extreme quantiles
DE Johnston
Forecasting 3 (4), 729-740, 2021
12021
Estimating hedge fund risk factor exposures
DE Johnston, PM Djurić
2012 IEEE 13th International Workshop on Signal Processing Advances in …, 2012
12012
Risk management: A signal processing perspective
DE Johnston, PM Djuri
IEEE Signal Process. Mag. Spec. Iss. Signal Process. for Financial Applicat …, 2011
12011
An efficient Bayes solution to AR signal modelling for short sequences
DE Johnston, PM Djuric
Proceedings of ICASSP'94. IEEE International Conference on Acoustics, Speech …, 1994
11994
Bayesian autoregressive modelling for short sequences
DE Johnston, PM Djuric
Stony Brook, NY: State University of New York at Stony Brook, College of …, 1993
11993
Bayesian Analysis of Extreme Precipitation Events and Forecasting Return Levels
DE Johnston
arXiv preprint arXiv:2208.12316, 2022
2022
Bayesian Estimation of a Tail-Index with Marginalized Threshold
DE Johnston, PM Djurić
ICASSP 2021-2021 IEEE International Conference on Acoustics, Speech and …, 2021
2021
A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters
DE Johnston, PM Djurić
ICASSP 2020-2020 IEEE International Conference on Acoustics, Speech and …, 2020
2020
A Bayesian approach to signal modeling and estimation
DE Johnston
State University of New York at Stony Brook, 1994
1994
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