Dr. Peter J. Kempthorne
Published Papers and Technical Reports
1. 1982. Variable Selection and Parameter Estimation for Normal Linear
Regression Models, Ph.D. Dissertation, Department of Statistics, University of California, Berkeley; available from University Microfilms
International, Ann Arbor.
2. 1983a. Minimax-Bayes Compromise Estimators, American Statistical
Association, Proceedings of the 1983 Business and Economics Statistics Section, 568-573.
3. 1983b. A Numerical Study of Leverage in Nonlinear Models for TwoWay Tables, American Statistical Association, Proceedings of the 1983
Statistical Computing Section, 143-148, (with Hoaglin, D.C. and Emerson, J.D.).
4. 1984a. A Decision-Theoretic Analysis of the Variable Selection Problem in Regression, Technical Report, Department of Statistics, Harvard University.
5. 1984b. Leverage in Least-Squares Additive-Plus-Multiplicative Fits
for Two-Way Tables, Journal of the American Statistical Association,
79, 329-335, (with Emerson, J.D. and Hoaglin, D.C.).
6. 1984c. Admissible Variable-Selection Procedures When Fitting Regression Models by Least Squares for Prediction, Biometrika, 71: 593597.
7. 1985a. Decision-Theoretic Measures of Influence in Regression, American Statistical Association, Proceedings of the 1985 Business and Economics Statistics Section, 429-434.
8. 1985b. Identifying Derivative-Influential Groups of Observations in
Regression, Technical Report NS-540, Department of Statistics, Harvard University.
9. 1986a. Optimal Minimax Squared Error Risk Estimation of the Mean
of a Multivariate Normal Distribution, Communications in Statistics,
A15: No. 7, 2145-2158.
10. 1986b. Comment on Chatterjee, S. and Hadi, A.S., Influential Observations, High Leverage Points, and Outliers in Linear Regression,
Statistical Science, 86: 408-412, (with Hoaglin, D.C.).
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Dr. Peter J. Kempthorne
Published Papers and Technical Reports
11. 1986c. Decision-Theoretic Measures of Influence in Regression, Journal of the Royal Statistical Society, Series B, 48: No. 3. (adapted
from paper 7).
12. 1987a. Numerical Specification of Discrete Least Favorable Prior Distributions, SIAM Journal on Scientific and Statistical Computing, 8:
No. 2, 171-184.
13. 1987b. Modeling the Price Dynamics of a Risky Asset with Geometric Brownian Motion Driven by Jump Mean and Variance Processes,
American Statistical Association, Proceedings of the 1986 Business
and Economics Statistics Section, 529-532.
14. 1987c. Inference for Jump Diffusion Stock Prices, American Statistical
Association, Proceedings of the 1986 Business and Economic Statistics
Section, 107-111 (with Pickard, D., and Zakaria, A.).
15. 1987d. Combining Probabilistic Assessments in Group Decision Making, Technical Report, Sloan School of Management, M.I.T.
16. 1987e. Adjusting Experts Probabilistic Forecasts: The Use and Implication of Exchangeability Assumptions in the Calibration Problem,
Technical Report, Sloan School of Management, M.I.T. (with Mendel,
M.).
17. 1987f. Estimating the Mean of a Multivariate Normal Distribution
with Loss Equal to Squared Error Plus Complexity Cost, The Annals
of Statistics, 15: 1389-1400.
18. 1988a. Dominating Inadmissible Procedures Using Compromise Decision Theory, Decision Theory and Related Topics IV, (5.5. Gupta and
J.O. Berger, Eds.) 1: 381-396.
19. 1988b. Review of Bayesian Statistics for Evaluation Research, by
William E. Pollard, Journal of the American Statistical Association,
567-568.
20. 1988c. Controlling Risks Under Different Loss Functions: The Compromise Decision Problem, The Annals of Statistics, 16: 1594-1608.
21. 1989a. Identifying Rank-Influential Groups of Observations in Linear
Regression Modeling, Sloan Working Paper # 3018-89-MS.
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Dr. Peter J. Kempthorne
Published Papers and Technical Reports
22. 1989b. Bayesian Parametric Models (with Mendel, M.). Sloan Working Paper # 3021-89-MS.
23. 1990. Comment on: Unmasking Multivariate Outliers and Leverage
Points, by P.J. Rousseeuw and B.C. van Zomeren, Journal of the American Statistical Association, (with Mendel, M.), September 1990.
24. 1991a. Modeling the Dynamics of Transaction Prices on the NYSE
in a Bayesian State-Space Filtering Framework, (with A. Eikeboom),
in Computing Science and Statistics, Springer-Verlag, 179-185. Dr.
Peter J. Kempthorne: Published Papers and Technical Reports
25. 1991b. Positive Dependence of Transaction Order Flows on the CAC
Quotation and Transaction System of La Bourse de Paris (with A.
Eikeboom), International Financial Services Center Discussion Paper
No. 153-91.
26. 1991c. Research How to Do It: A Panel Discussion (with N. Mukhopadhyay, P.K. Sen and S. Zacks), Statistical Science, 6: 149-162.
27. 1992a. Market Making as a Scalper in Financial Markets with Markovian Price Dynamics (with C. Chazot), Sloan School of Management
IFSRC Discussion Paper 200-92.
28. 1992b. Multivariate Censored Exponential Regression Models: Theoretical Framework (with Y. Huang), Sloan School of Management
IFSRC Discussion Paper 192-92.
29. 1992c. Exploratory Statistical Analysis of Currency and Equity Market Volatility (with A. Samarov and R. Welsch) Sloan School of Management IFSRC Discussion Paper 204-92.
30. 1993. An Adaptive-Mesh Finite-Element Algorithm for the American Put (with J.S. Thomas), Sloan School of Management Discussion
Paper 272-93.
31. 1994. Risk Measurement in Global Financial Markets with Asynchronous, Partially Missing Price Data (with M.P. Vyas), Sloan School
of Management IFSRC Discussion Paper 281-94.
32. 2000. Minimax Estimation of Exponential Family Means over lp Bodies under Quadratic Loss (with MacGibbon, B., Gourdin, E., and Jaumard, B.). Canadian Mathematical Society Conference Proceedings,
Volume 26, 2000.
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Dr. Peter J. Kempthorne
Published Papers and Technical Reports
33. 2006 Financial Modelling with S-Plus (version 11). Kempthorne Analytics, Inc., Text for Dr. Kempthornes two-day course marketed by
Insightful Inc.
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