Mathematics

Douglas Johnston

Assistant Professor 10 Months Email Whitman Hall, Room 180F

Education

  • PhD, Stony Brook University, 1994
  • M.S., Electrical Engineering (Signal Processing/Communications), Stony Brook University, 1989
  • BS, Computer Science, Stony Brook University, 1986

Publications

  • Douglas Johnston, Bayesian Forecasting of Dynamic Extreme Quantiles, Forecasting, 3(4) 2021, 729-740.
  • Douglas Johnston and Petar Djuric, Bayesian Estimation of a Tail-Index with Marginalized Threshold, Proceedings of the 2021 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2021, 5569 - 5573.
  • Douglas Johnston and Petar Djuric, A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters, Proceedings of the 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2020, 8439-8443.
  • Douglas Johnston and Petar Djuric, A Recursive Bayesian Model for Extreme Values, Proceedings of the 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2019, 5062-5066.
  • Douglas Johnston, Inigo Urteaga and Petar Djuric, Replication and Optimization of Hedge Fund Risk Factor Exposures, Proceedings of the 2013 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2013, 5062-5066.
  • Douglas Johnston and Petar Djuric, Estimating Hedge Fund Risk Factor Exposures, Proceedings of the 2012 IEEE 13th International Workshop on Signal Processing Advances in Wireless Communications (SPAWC), 2012.
  • Petar Djuric, Mahsiul Khan and Douglas Johnston, Particle Filtering of Stochastic Volatility Modeled With Leverage, IEEE Journal of Selected Topics in Signal Processing, 6(4,4) 2012, 327 - 336.
  • Douglas Johnston and Petar Djuric, The Science Behind Risk Management, IEEE Signal Processing Magazine, 28(5) 2011, 26-36.
Last Modified 2/2/22