Professor Spiridon Penev

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After finishing my PhD in Mathematical Statistics from Humboldt University (Berlin, Germany), I was working for 10 years at�� the Technical University of Sofia, Bulgaria. I was promoted to Associate Professor there in 1991.

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My association with UNSW started in 1992. I started as a lecturer and was promoted to Senior Lecturer in 1999,��to Associate Professor in 2011, and to Professor in 2019.

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I am teaching courses in Statistical Inference, Multivariate Analysis, Longitudinal Data Analysis, Categorical Data Analysis, Statistical Methods in Social and Market Research, Design and Analysis of Experiments, Regression.

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ACADEMIC QUALIFICATIONS
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Humboldt University, Doctor of Philosophy��
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RESEARCH INTERESTS
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Wavelet Methods in non-parametric curve estimation
Edgeworth expansions and Saddlepoint Approximation Methods
Structural Equation Models
Inference in semiparametric models and applications in Stochastic Risk Modelling
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ADMINISTRATIVE DUTIES
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Member of the Executive Committee of the School of Mathematics and Statistics, UNSW Sydney.
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TEACHING DUTIES
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Recent teaching duties include Math3811 (Statistical��Inference), Math3911 (Higher Statistical Inference), Math5905 (Masters level Statistical Inference),��Math5855 (Multivariate Analysis), and Math5885 (Longitudinal Data Analysis).��
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AWARDS

DAAD award.

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Elected member of the International Statistical Institute (ISI)��
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Phone

9385 7023

E-mail

S.Penev@unsw.edu.au

Location

School of Mathematics and Statistics University of New South Wales Sydney NSW 2052 The Red Centre Room 1038

Books | 2017

Del Moral P; Penev S, 2017, Stochastic Processes, Chapman and Hall/CRC,
Book Chapters | 2024

Aya-Moreno C; Geenens G; Penev S, 2024, 'Hellinger-Bhattacharyya Cross-Validation for Shape-Preserving Multivariate Wavelet Thresholding', in Flexible Nonparametric Curve Estimation, Springer International Publishing, pp. 197 - 227,

Book Chapters | 2024

Aya-Moreno C; Penev S; Geenens G, 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,

Book Chapters | 2024

Aya-Moreno C; Penev S; Geenens G, 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,

Book Chapters | 2004

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

Book Chapters | 2002

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, edn. Original, Lawrence Erlbaum Associates, USA, pp. 121 - 134

Book Chapters | 2001

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, edn. Original, Lawrence Erlbaum Associates, Mahwah, USA, pp. 297 - 322
Journal articles | 2024

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,

Journal articles | 2023

Shabani B; Penev S, 2023, 'INTELLIGENT MONITORING OF A LARGE CATAMARAN FERRY', The International Journal of Maritime Engineering, 165, pp. 11 - 22,

Journal articles | 2022

Dentcheva D; Lin Y; Penev S, 2022, 'Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems', OPERATIONS RESEARCH,

Journal articles | 2022

Penev S; Shevchenko PV; Wu W, 2022, 'Myopic robust index tracking with Bregman divergence', Quantitative Finance, 22, pp. 289 - 302,

Journal articles | 2021

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,

Journal articles | 2021

Naito K; Penev S, 2021, 'Regression using localised functional Bregman divergence', Electronic Journal of Statistics, 15, pp. 6544 - 6585,

Journal articles | 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,

Journal articles | 2021

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,

Journal articles | 2020

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,

Journal articles | 2018

Aya Moreno C; Geenens G; Penev SI, 2018, 'Shape-preserving wavelet-based multivariate density estimation', Journal of Multivariate Analysis, 168, pp. 30 - 47,

Journal articles | 2018

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,

Journal articles | 2018

Hanke M; Penev S, 2018, 'Comparing large-sample maximum Sharpe ratios and incremental variable testing', European Journal of Operational Research, 265, pp. 571 - 579,

Journal articles | 2018

Penev S; Naito K, 2018, 'Locally robust methods and near-parametric asymptotics', Journal of Multivariate Analysis, 167, pp. 395 - 417,

Journal articles | 2018

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,

Journal articles | 2017

Fan Y; de Micheaux PL; Penev S; Salopek D, 2017, 'Multivariate nonparametric test of independence', Journal of Multivariate Analysis, 153, pp. 189 - 210,

Journal articles | 2017

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,

Journal articles | 2016

Bannister H; Goldys B; Penev S; Wu W, 2016, 'Multiperiod mean-standard-deviation time consistent portfolio selection', Automatica, 73, pp. 15 - 26,

Journal articles | 2016

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,

Journal articles | 2014

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,

Journal articles | 2014

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,

Journal articles | 2013

Maesono Y; Penev SI, 2013, 'Improved confidence intervals for quantiles', Annals of the Institute of Statistical Mathematics, 65, pp. 167 - 189,

Journal articles | 2013

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,

Journal articles | 2013

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

Journal articles | 2011

Maesono Y; Penev SI, 2011, 'Edgeworth expansion for the kernel quantile estimator', Annals of the Institute of Statistical Mathematics, 63, pp. 617 - 644,

Journal articles | 2011

Penev S, 2011, 'Linear Causal Modeling with Structural Equations by Stanley Mulaik', Australian & New Zealand Journal of Statistics, 53, pp. 393 - 395,

Journal articles | 2011

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,

Journal articles | 2011

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

Journal articles | 2010

Dentcheva D; Penev SI; Ruszczynski A, 2010, 'Kusuoka representation of higher order dual risk measures', Annals of Operations Research, 181, pp. 325 - 335,

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2010

Penev SI; Raykov T, 2010, 'Testing multivariate mean collinearity via latent variable modelling', British Journal of Mathematical and Statistical Psychology, 63, pp. 481 - 490,

Journal articles | 2010

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,

Journal articles | 2009

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

Journal articles | 2008

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

Journal articles | 2006

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

Journal articles | 2006

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

Journal articles | 2006

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

Journal articles | 2005

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

Journal articles | 2004

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

Journal articles | 2004

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,

Journal articles | 2002

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

Journal articles | 2001

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

Journal articles | 2001

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

Journal articles | 2000

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,

Journal articles | 2000

Penev SI; Raykov T, 2000, 'A Weiner germ approximation of the noncentral chi square distribution and of its quantiles', Computational Statistics, 15, pp. 219 - 228

Journal articles | 1999

Dechevsky LT; Ramsay JO; Penev SI, 1999, 'Penalized wavelet estimation with Bestov regularity constraints', Mathematica Balkanica, 13, pp. 257 - 376

Journal articles | 1999

Raykov T; Penev SI, 1999, 'On structural equation model equivalence', Multivariate Behavioral Research, pp. 199 - 244

Journal articles | 1998

Dechevsky LT; Penev SI, 1998, 'On shape-preserving wavelet estimators of cumulative distribution functions and densities', Stochastic Analysis and Applications, 16, pp. 423 - 462,

Journal articles | 1998

Maesono Y; Penev SI, 1998, 'Higher order relations between Cornish-Fisher expansions and inversions of saddlepoint approximations', Journal of the Japan statistical society, pp. 21 - 38

Journal articles | 1998

Raykov T; Penev SI, 1998, 'A Multivariate two-group effect size measure', Quality and Quantity, 32, pp. 247 - 255

Journal articles | 1998

Raykov T; Penev SI, 1998, 'Nested structural equation models: Noncentrality and power of restriction test', Structural Equation Modeling - A Multidisciplinary Journal, 5, pp. 229 - 246,

Journal articles | 1997

Dechevsky LT; Penev SI, 1997, 'On shape-preserving probabilistic wavelet approximators', Stochastic Analysis and Applications, 15, pp. 187 - 215,

Journal articles | 1997

Hall PH; Penev SI; Kerkyacharian G; Picard D, 1997, 'Numerical performance of block thresholded wavelet estimators', Statistics and Computing, 7, pp. 115 - 124,

Journal articles | 1997

Penev SI; Dechevsky LT, 1997, 'On non-negative wavelet-based density estimators', Journal of Nonparametric Statistics, pp. 365 - 394

Journal articles | 1997

Raykov T; Penev SI, 1997, 'Structural equation modeling and the latent linearity hypothesis in social and behavioural research', Quality and Quantity, 31, pp. 57 - 78,

Journal articles | 1996

Raykov TN; Penev SI, 1996, 'Initial value dependence: comparison of two methods for its study', Biometrical Journal, 38, pp. 631 - 639,

Journal articles | 1995

Penev SI, 1995, 'Saddlepoint approximation in the linear structural relationship model', Communications in Statistics - Simulation and Computation, 24, pp. 349 - 366,

Journal articles | 1995

Raykov TN; Penev SI, 1995, 'On an approach to structural equation model fit assessment', Structural Equation Modeling - A Multidisciplinary Journal, 2, pp. 146 - 151,

Journal articles | 1993

PENEV S; RAYKOV T, 1993, 'ON CHOOSING ESTIMATORS IN A SIMPLE LINEAR ERRORS-IN-VARIABLES MODEL', COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 22, pp. 2429 - 2444,

Journal articles | 1993

Penev S; Raykov T, 1993, 'On choosing estimators in a simple linear errors-in-variables model', Communications in Statistics - Theory and Methods, 22, pp. 101 - 115,

Journal articles | 1993

Penev SI, 1993, 'Stability of nonparametric procedures against dependence', Theory of Probability and Its Applications, 37, pp. 353 - 355

Journal articles | 1990

PENEV S, 1990, 'CONVOLUTION THEOREM FOR ESTIMATING THE STATIONARY DISTRIBUTION OF MARKOV-CHAINS', DOKLADI NA BOLGARSKATA AKADEMIYA NA NAUKITE, 43, pp. 29 - 32,

Journal articles | 1988

SHISHKOV BB; PENEV SI, 1988, 'ASYMPTOTIC OPTIMUM ALGORITHMS OF SIGNAL-DETECTION ACCORDING TO CONTINUOUS-TIME OBSERVATIONS', RADIOTEKHNIKA I ELEKTRONIKA, 33, pp. 1419 - 1424,

Journal articles | 1988

Shishkov BB; Penev SI, 1988, 'Asymptotically optimum algorithms for detection of signals in a background of correlated interference and white noise', Soviet journal of communications technology & electronics, 33, pp. 146 - 151

Journal articles | 1986

Penev S, 1986, 'Asymptotic equivalence of identification procedures for complex systems', International Journal of Systems Science, 17, pp. 629 - 637,

Journal articles | 1985

Penev SI, 1985, 'On a Model with Errors in Variables. Described by Stochastic Differential Equations', Statistics, 16, pp. 485 - 493,
Conference Papers | 2023

Lam KH; Walder C; Penev S; Nock R, 2023, 'LegendreTron: Uprising Proper Multiclass Loss Learning', in Proceedings of the 40th International Conference on Machine Learning, Proceedings of Machine Learning Research, Honolulu, HI, United States, pp. 18454 - 18470, presented at 40th International Conference on Machine Learning (ICML 2023), Honolulu, HI, United States, 23 July 2023,

Conference Papers | 2023

Lam KH; Walder C; Penev S; Nock R, 2023, 'LegendreTron: Uprising Proper Multiclass Loss Learning', in Proceedings of the 40th International Conference on Machine Learning, Proceedings of Machine Learning Research, Honolulu, HI, United States, pp. 18454 - 18470, presented at 40th International Conference on Machine Learning (ICML 2023), Honolulu, HI, United States, 23 July 2023,

Preprints | 2022

Aya-Moreno C; Geenens G; Penev S, 2022, Hellinger-Bhattacharyya cross-validation for shape-preserving multivariate wavelet thresholding,

Preprints | 2022

Dentcheva D; Lin Y; Penev S, 2022, Stability and Sample-based Approximations of Composite Stochastic Optimization Problems, ,

Conference Papers | 2022

Dessi D; Shabani B; Lavroff J; Halloway D; Penev S; Thomas G; Sanchez-Alayo D, 2022, 'Unsupervised and Supervised Machine Learning Techniques for Slamming Classification from SHM data', in Dessi D; Iafrati A (ed.), Proceedings of the 9th International conference on Hydroelasticity in Marine Technology Rome, Italy, July 10th-13th, 2022, Institute of Marine Engineering CNR-INM, National Research Council of Italy, Rome, Italy, pp. 123 - 133, presented at 9th International Conference on Hydroelasticity in Marine Tehcnology, Rome, Italy, 10 July 2022 - 13 July 2022,

Preprints | 2021

Penev S; Shevchenko PV; Wu W, 2021, The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion, ,

Preprints | 2020

Kulinich M; Fan Y; Penev S; Evans JP, 2020, A Markov chain method for weighting climate model ensembles,

Conference Papers | 2020

Shabani B; Lavroff J; Holloway D; Penev S; Dessi D; Thomas G, 2020, 'Machine learning and cloud computing for remote monitoring of wave piercing catamarans: a case study using MATLAB and AMAZON web services', in Smart Ship Technology 2020. 14th-15th October 2020. Conference papers, THE ROYAL INSTITUTION OF NAVAL ARCHITECTS, Online conference, pp. 83 - 93, presented at Smart Ship Technology 2020, Online conference, 14 October 2020 - 15 October 2020,

Preprints | 2019

Penev S; Shevchenko P; Wu W, 2019, Myopic robust index tracking with Bregman divergence, ,

Conference Papers | 2019

Shabani B; Lavroff J; Holloway D; Penev S; Dessi D; Thomas G, 2019, 'Classifying bow entry events of wave piercing catamarans in random waves using unsupervised and supervised techniques', in International Conference on Marine Industry 4.0, 5th November 2019, Rotterdam. Papers, The Royal Institution of Naval Architects, Rotterdam, pp. 39 - 54, presented at International Conference on Marine Industry 4.0, Rotterdam, 05 November 2019 - 05 November 2019,

Preprints | 2017

Moreno CA; Geenens G; Penev S, 2017, Shape-preserving wavelet-based multivariate density estimation, ,

Conference Papers | 2016

Penev S; Prvan T, 2016, 'Robust estimation in structural equation models using Bregman and other divergences with t-centre approach to estimate the covariance matrix', in Sharples J; Bunder J (ed.), Proceedings of the 17th Biennial Computational Techniques and Applications Conference, CTAC-2014, Australian Mathematical Publishing Association, pp. C339 - C354,

Preprints | 2015

Dentcheva D; Penev S; Ruszczynski A, 2015, Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems,

Preprints | 2005

Hall P; Penev S, 2005, Wavelet-based estimation with multiple sampling rates, ,

Conference Papers | 2000

Penev SI, 2000, 'Maximum likelihood based approximations of the Pitman estimator in a location family', in Mathematics and Computers in Science and Engineering, Vraurono, Athens, pp. 173 - 180, presented at Mathematics and Computers in Science and Engineering, Vraurono, Athens, 01 December 2000 - 03 December 2000

Conference Papers | 1996

Maesono Y; Penev SI, 1996, 'Higher order relations between Cornish-Fisher expansions and inversions of saddlepoint approximations', in Billard L; Fisher NI (ed.), 28th Symposium on the interface Sydney, 28th Symposium on the interface Sydney, Sydney, pp. 242 - 247, presented at 28th Symposium on the interface Sydney, Sydney, 08 July 1996 - 12 July 1996

Conference Papers | 1990

ARNAUDOV IN; BONCHEV EK; JORDANOV IN; PENEV SI; VENKOV GI, 1990, 'THE COMPUTER-AIDED-LEARNING (CAL) IN MATHEMATICS FOR ENGINEERS', in ONATE E; SUAREZ B; OWEN DRJ; SChrefLER B; KROPLIN B; KLEIBER M (eds.), COMPUTER AIDED TRAINING IN SCIENCE AND TECHNOLOGY, PINERIDGE PRESS LTD, SPAIN, BARCELONA, pp. 359 - 362, presented at INTERNATIONAL CONF ON COMPUTER AIDED TRAINING IN SCIENCE AND TECHNOLOGY, SPAIN, BARCELONA, 09 July 1990 - 13 July 1990,

Preprints |

Hanke M; Penev S, Ex Ante Comparison of Maximum Sharpe Ratios and Incremental Variable Testing, ,

Preprints |

Hanke M; Schief W; Weissensteiner A, Rom Simulation with Exact Means, Covariances, and Multivariate Skewness,

Recent grants:

Australian Research Council (ARC) discovery project "Frontiers of inference about risk"-Lead Chief Investigator (CI) (2016-2018)��
Australian Research Council (ARC) linkage project "Remote sensing to improve structural efficiency of high-speed catamarans"- Chief Investigator (2018-2022)
��Collaborative research grant with Sydney Catchment Authority (SCA) Statistical Analysis of water quality data- Chief Investigator
Spectral methods in Machine Learning- Faculty research grant (2020)
Complex dependence modelling to unravel relationships in Big Data- Faculty research grant (2019)
Demonstration models of portfolio and personal risk optimization -AMSI industry related project��(2014)
Robust inference about risk-Faculty research grant (2014)

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