refereed.bib

@comment{{This file has been generated by bib2bib 1.98}}
@comment{{Command line: bibtex2html/bibtex2html-1.98-linux/bib2bib -ob refereed.bib ../cv/papers.bib}}
@article{JS_StateDepGraphs,
  author = {James A. Scott and Axel Gandy},
  year = 2020,
  journal = {Journal of Computational and Graphical Statistics},
  title = {State-Dependent Kernel Selection for Conditional Sampling of Graphs},
  doi = {10.1080/10618600.2020.1753529}
}
@article{DGHSimple,
  author = {{Gandy}, A. and {Hahn}, G. and {Ding}, D.},
  year = 2019,
  journal = {Computational Statistics},
  title = {A simple method for implementing {M}onte {C}arlo tests},
  doi = {10.1007/s00180-019-00927-6},
  url = https://arxiv.org/abs/1611.01675
}
@article{GandyHahnDing:pvaluebuckets,
  author = {{Gandy}, A. and {Hahn}, G. and {Ding}, D.},
  title = {{Implementing Monte Carlo Tests with P-value Buckets}},
  journal = {Scandinavian Journal of Statistics},
  archiveprefix = {arXiv},
  eprint = {1703.09305},
  primaryclass = {stat.ME},
  year = 2019,
  doi = {10.1111/sjos.12434}
}
@article{GandyKvaloy2017,
  author = {Gandy, A and Kvaløy, JT},
  journal = {The {R} Journal},
  title = {spcadjust: an {R} package for adjusting for  estimation error in  control charts},
  url = {http://rjournal.github.io/archive/2017/RJ-2017-014/},
  volume = 9,
  number = 1,
  pages = {458--476},
  year = 2017
}
@article{GandyVeraart:adjustableReconstruction,
  author = {Axel Gandy and Luitgard A. M. Veraart},
  title = {Adjustable Network Reconstruction with Applications to {CDS} Exposures},
  year = {2019},
  journal = {Journal of Multivariate Analysis},
  volume = {172},
  pages = {193--209},
  doi = {10.1016/j.jmva.2018.08.011}
}
@article{Hilbers2019,
  title = {Importance subsampling: improving power system planning under climate-based uncertainty},
  journal = {Applied Energy},
  volume = {251},
  pages = {113114},
  year = {2019},
  issn = {0306-2619},
  doi = {https://doi.org/10.1016/j.apenergy.2019.04.110},
  url = {http://www.sciencedirect.com/science/article/pii/S0306261919307639},
  author = {Adriaan P. Hilbers and David J. Brayshaw and Axel Gandy}
}
@article{NVG:LatentTrawl,
  title = {A latent trawl process model for extreme values},
  author = {Ragnhild C. Noven and Almut E. D. Veraart  and Axel Gandy},
  journal = {Journal of Engery Markets},
  year = 2018,
  doi = {10.21314/JEM.2018.179},
  volume = 11,
  number = 3,
  pages = {1--24},
  url = {http://arxiv.org/abs/1511.08190}
}
@article{BaySystRiskFinNet,
  rpackage = {http://cran.r-project.org/web/packages/systemicrisk/},
  author = {Axel Gandy and Luitgard A. M. Veraart},
  title = {A {B}ayesian Methodology for Systemic Risk Assessment in Financial Networks},
  journal = {Management Science},
  year = {2017},
  volume = 63,
  number = 12,
  pages = {4428--4446},
  doi = {10.1287/mnsc.2016.2546}
}
@article{GandyLau:chopthin,
  author = {Axel Gandy and F. Din-Houn Lau},
  remarkweb = {Implementations for C++, R, Python and MATLAB are available, see \url{software.html}},
  rpackage = {http://cran.r-project.org/web/packages/chopthin/},
  python = {https://pypi.python.org/pypi/chopthin/},
  journal = {IEEE Transactions on Signal Processing},
  title = {The Chopthin Algorithm for Resampling},
  year = {2016},
  volume = {64},
  number = {16},
  pages = {4273-4281},
  doi = {10.1109/TSP.2016.2558166}
}
@article{gandyhahn:framework,
  author = {Gandy, Axel and Hahn, Georg},
  title = {A Framework for {M}onte {C}arlo based Multiple Testing},
  journal = {Scandinavian Journal of Statistics},
  volume = {43},
  number = {4},
  doi = {10.1111/sjos.12228},
  pages = {1046--1063},
  year = {2016}
}
@article{gandyhahn:quickmmctest,
  title = {{QuickMMCTest}: quick multiple {M}onte {C}arlo testing},
  author = {Axel Gandy and Georg Hahn},
  journal = {Statistics and Computing},
  year = 2016,
  doi = {10.1007/s11222-016-9656-z}
}
@article{noven:levyrainfall_pricing,
  title = {A {L\'e}vy-driven rainfall model with applications to futures pricing},
  author = {Ragnhild C. Noven and Almut E. D. Veraart  and Axel Gandy},
  journal = {AStA - Advances in Statistical Analysis},
  year = 2015,
  doi = {10.1007/s10182-015-0246-8},
  volume = {99},
  number = {4},
  pages = {403--432}
}
@article{laugandy13:rmcmc,
  title = {{RMCMC}: A System for Updating {B}ayesian Models},
  author = {F. Din-Houn Lau and Axel Gandy},
  year = 2014,
  url = {http://dx.doi.org/10.1016/j.csda.2014.06.010},
  journal = {{C}omputational {S}tatistics and {D}ata {A}nalysis},
  volume = 80,
  pages = {99--110},
  doi = {10.1016/j.csda.2014.06.010}
}
@article{gandyhahn12:FDR,
  title = {{MMCTest} - A Safe Algorithm for Implementing Multiple {M}onte {C}arlo Tests},
  author = {Axel Gandy and Georg Hahn},
  journal = {Scandinavian Journal of Statistics},
  volume = 41,
  number = 4,
  pages = {1083--1101},
  year = 2014,
  doi = {10.1111/sjos.12085},
  rpackage = {http://cran.r-project.org/web/packages/simctest}
}
@article{dinhoun12:optCUSUM,
  author = {F. Din-Houn Lau and Axel Gandy},
  title = {Optimality of Non-Restarting CUSUM charts},
  journal = {Sequential Analysis},
  year = 2013,
  volume = 32,
  number = 4,
  pages = {458-468},
  doi = {10.1080/07474946.2013.843324}
}
@article{phinikettos11,
  year = {2013},
  journal = {Lifetime Data Analysis},
  doi = {10.1007/s10985-013-9281-5},
  title = {An omnibus CUSUM chart for monitoring time to event data},
  publisher = {Springer US},
  keywords = {Omnibus; CUSUM; Control chart; Kolmogorov–Smirnov},
  author = {Phinikettos, Ioannis and Gandy, Axel},
  pages = {1-14}
}
@article{henrion11,
  author = {Marc Henrion and David J. Hand and Axel Gandy and Daniel J. Mortlock},
  title = {{CASOS}: a Subspace Method for Anomaly Detection in High Dimensional Astronomical Databases},
  journal = {Statistical Analysis and Data Mining},
  year = {2013},
  volume = {6},
  number = {1},
  pages = {53--72},
  doi = {10.1002/sam.11167}
}
@article{gandrub11,
  title = {An algorithm to compute the power of {M}onte {C}arlo
tests with guaranteed precision},
  author = {Axel Gandy and Patrick Rubin-Delanchy},
  journal = {Annals of Statistics},
  volume = 41,
  number = 1,
  pages = {125--142},
  doi = {10.1214/12-AOS1076},
  year = 2013,
  rpackage = {http://cran.r-project.org/web/packages/simctest}
}
@article{gandy11CUSUMFDR,
  author = {Axel Gandy and F. Din-Houn Lau},
  title = {Non-Restarting {CUSUM} Charts and Control of the False Discovery Rate},
  journal = {Biometrika},
  year = {2013},
  volume = {100},
  number = 1,
  doi = {10.1093/biomet/ass066}
}
@article{gandy10GuardCondPerf,
  author = {Axel Gandy and Jan Terje Kval{\o}y},
  title = {Guaranteed Conditional Performance of Control Charts via Bootstrap Methods},
  journal = {Scandinavian Journal of Statistics},
  doi = {10.1002/sjos.12006},
  volume = {40},
  number = {4},
  pages = {647-668},
  year = {2013},
  rpackage = {http://cran.r-project.org/web/packages/spcadjust}
}
@article{Henrion10:stargalaxy,
  author = {Henrion, Marc and Mortlock, Daniel J. and Hand, David J. and Gandy, Axel},
  title = {A {B}ayesian approach to star-galaxy classification},
  journal = {Monthly Notices of the Royal Astronomical Society},
  volume = {412},
  number = {4},
  publisher = {Blackwell Publishing Ltd},
  issn = {1365-2966},
  doi = {10.1111/j.1365-2966.2010.18055.x},
  pages = {2286--2302},
  keywords = {methods: statistical, surveys},
  year = {2011}
}
@article{gandy10:moncredit,
  author = {Gandy, Axel},
  title = {Performance Monitoring of Credit Portfolios using Survival Analysis},
  journal = {International Journal of Forecasting},
  volume = 28,
  pages = {139--144},
  doi = {10.1016/j.ijforecast.2010.08.006},
  year = 2012
}
@article{gandy09:SeqImplMC,
  author = {Gandy, Axel},
  title = {Sequential Implementation of {M}onte {C}arlo Tests With Uniformly Bounded Resampling Risk},
  journal = {Journal of the American Statistical Association},
  volume = {104},
  number = {488},
  pages = {1504-1511},
  year = {2009},
  doi = {10.1198/jasa.2009.tm08368},
  eprint = {http://pubs.amstat.org/doi/pdf/10.1198/jasa.2009.tm08368},
  abstract = { This paper introduces an open-ended sequential algorithm for computing the p-value of a test using Monte Carlo simulation. It guarantees that the resampling risk, the probability of a different decision than the one based on the theoretical p-value, is uniformly bounded by an arbitrarily small constant. Previously suggested sequential or nonsequential algorithms, using a bounded sample size, do not have this property. Although the algorithm is open-ended, the expected number of steps is finite, except when the p-value is on the threshold between rejecting and not rejecting. The algorithm is suitable as standard for implementing tests that require (re)sampling. It can also be used in other situations: to check whether a test is conservative, iteratively to implement double bootstrap tests, and to determine the sample size required for a certain power. An R-package implementing the sequential algorithm is available online. },
  rpackage = {http://cran.r-project.org/web/packages/simctest}
}
@article{phinikettos09,
  title = {Fast computation of high-dimensional multivariate normal probabilities},
  journal = {Computational Statistics \& Data Analysis},
  volume = {55},
  number = {4},
  pages = {1521 - 1529},
  year = {2011},
  note = {},
  issn = {0167-9473},
  doi = {10.1016/j.csda.2010.10.005},
  author = {Ioannis Phinikettos and Axel Gandy},
  keywords = {Multivariate normal distribution},
  keywords = {Monte Carlo methods},
  keywords = {Singular values}
}
@article{gandyveraart09:EEHD,
  title = {The Effect
of Estimation in High-dimensional Portfolios},
  author = {Axel Gandy and Luitgard A. M. Veraart},
  year = 2013,
  journal = {Mathematical Finance},
  volume = 23,
  number = 3,
  pages = {531--559},
  doi = {10.1111/j.1467-9965.2011.00505.x}
}
@article{gandy10:monitortte,
  author = {Gandy, A. and Kvaloy, J. T. and Bottle, A. and Zhou, F.},
  title = {{Risk-adjusted monitoring of time to event}},
  journal = {Biometrika},
  volume = {97},
  number = {2},
  pages = {375-388},
  doi = {10.1093/biomet/asq004},
  year = {2010},
  abstract = {Recently there has been interest in risk-adjusted cumulative sum charts, CUSUMS, to monitor the performance of e.g. hospitals, taking into account the heterogeneity of patients. Even though many outcomes involve time, only conventional regression models are commonly used. In this article we investigate how time to event models may be used for monitoring purposes. We consider monitoring using CUSUMS based on the partial likelihood ratio between an out-of-control state and an in-control state. We consider both proportional and non-proportional alternatives, as well as a head start. Against proportional alternatives, we present an analytic method of computing the expected number of observed events before stopping or the probability of stopping before a given observed number of events. In a stationary set-up, the former is roughly proportional to the average run length in calendar time. Adding a head start changes the threshold only slightly if the expected number of events until hitting is used as a criterion. However, it changes the threshold substantially if a false alarm probability is used. In simulation studies, charts based on survival analysis perform better than simpler monitoring schemes. We present one example from retail finance and one medical application.
},
  code = {https://bitbucket.org/agandy/10_monitortte_calibration},
  eprint = {http://biomet.oxfordjournals.org/cgi/reprint/97/2/375.pdf}
}
@article{gandy09cox,
  author = {Axel Gandy and Uwe Jensen},
  title = {Model Checks for {C}ox-Type Regression Models Based on Optimally
	Weighted Martingale Residuals},
  journal = {Lifetime Data Analysis},
  volume = {15},
  number = {4},
  pages = {534--557},
  year = {2009},
  doi = {10.1007/s10985-009-9121-9},
  abstract = { We introduce directed goodness-of-fit tests for Cox-type regression models in survival analysis. 'Directed' means that one may choose against which alternatives the tests are particularly powerful. The tests are based on sums of weighted martingale residuals and their asymptotic distributions. We derive optimal tests against certain competing models which include Cox-type regression models with different covariates and/or a different link function. We report results from several simulation studies and apply our test to a real dataset.}
}
@article{gandy08therneauAalen,
  author = {Axel Gandy and Terry M. Therneau and Odd O. Aalen},
  title = {Global Tests in the Additive Hazards Regression Model},
  volume = {27},
  number = {6},
  year = {2008},
  pages = {831-844},
  abstract = {In this article, we discuss testing for the effect of several covariates
	in the additive hazards regression model. Bhattacharyya and Klein
	(Statist. Med. 2005; 24(14):2235-2240) note that an ad hoc weight
	function suggested by Aalen (Statist. Med. 1989; 8:907-925) is inconsistent
	when used as a global test for comparing groups since the test statistic
	depends on which group is used as the baseline group. We will suggest
	a simple alternative test that does not exhibit this problem. This
	test is a natural extension of the logrank test. We shall also discuss
	an alternative covariance estimator. The tests are applied to a data
	set and a simulation study is performed.},
  doi = {doi:10.1002/sim.2972},
  journal = {Statistics in Medicine},
  keywords = {survival analysis;additive model;logrank test}
}
@article{gandy:decision_support,
  author = {Axel Gandy and Patrick J\"ager and Bernd Bertsche and Uwe Jensen},
  title = {Decision Support In Early Development Phases - A Case Study From
	Machine Engineering},
  journal = {{R}eliability {E}ngineering \& {S}ystem {S}afety},
  year = {2007},
  volume = {92},
  pages = {921--929},
  number = {7},
  doi = {10.1016/j.ress.2006.06.001}
}
@article{gandy04,
  author = {Axel Gandy and Uwe Jensen},
  title = {A Nonparametric Approach to Software Reliability},
  journal = {Appl. Stoch. Models Bus. Ind.},
  year = {2004},
  volume = {20},
  pages = {3--15},
  doi = {10.1002/asmb.510}
}
@article{gandy05,
  author = {Axel Gandy and Uwe Jensen},
  title = {On Goodness of Fit Tests for {A}alen's Additive Risk Model},
  journal = {Scand. J. Statist.},
  year = {2005},
  volume = {32},
  pages = {425-445},
  doi = {10.1111/j.1467-9469.2005.00457.x},
  pdf = {papers/05/SJS.pdf},
  remarkweb = {This is an electronic version of an article published in Scandinavian
	Journal of Statistics complete citation information for the final
	version of the paper, as published in the print edition of Scandinavian
	Journal of Statistics is available on the Blackwell Synergy online
	delivery service, accessible via the journal's website at \url{http://www.blackwellpublishing.com}
	or \url{http://www.blackwell-synergy.com}}
}
@article{gandy05:semiparam,
  author = {Axel Gandy and Uwe Jensen},
  title = {Checking a Semiparametric Additive Risk Model},
  journal = {Lifetime Data Anal.},
  year = {2005},
  volume = {11},
  pages = {451--472},
  number = {4},
  doi = {10.1007/s10985-005-5234-y}
}
@article{gandy05:changepoint,
  author = {Axel Gandy and Uwe Jensen and Constanze L\"utkebohmert},
  title = {A {C}ox Model with a Change-Point Applied to an Actuarial Problem},
  journal = {Brazilian Journal of Probability and Statistics},
  year = {2005},
  volume = {19},
  number = {2},
  pages = {93--109},
  url = {http://www.redeabe.org.br/bjpspublishedpapers_volume19_2_pp093-109.pdf}
}
@inproceedings{gandy2005:santafe,
  author = {Axel Gandy},
  title = {Effects of Uncertainties in Components on the Survival of Complex
	Systems with Given Dependencies},
  booktitle = {Mathematical and Statistical Methods in Reliability},
  year = {2005},
  editor = {Alyson Wilson and Sallie Keller-McNulty and Nikolaos Limnios and
	Yvonne Armijo },
  publisher = {World Scientific, Singapore},
  note = {Proceedings of the Conference ``Mathematical Models in Reliability''
	in Santa Fe, NM, USA, 2004}
}

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