Rogemar Mamon, Western University

Research

Bessel process Change-point problems Cybersecurity risk Filtering Financial stability Higher-order Markov chain Insurance Knowledge-based systems

Latest papers

Correction to: A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model.
Lifetime data analysis · 2026 · senior author
A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model.
Lifetime data analysis · 2023 · senior author
A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach.
Journal of big data · 2017 · senior author

All 3 publications

Latest funding

Hidden Markov models for decision analytics
NSERC · 2017 · Principal investigator
$259,000
Graduate Linux Lab for Advanced Statistical Computing
NSERC · 2013 · Co-investigator
$20,294
Financial modelling in an HMM-modulated regime-switching framework
NSERC · 2012 · Principal investigator
$105,000

All 6 grants and awards

3 publications.

01

Correction to: A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model.

Cheng B, Jones B, Liu X, Mamon R

Lifetime data analysis2026Senior author

DOI: 10.1007/s10985-025-09684-9 PMID: 42234223

02

A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model.

Cheng B, Mamon R

Lifetime data analysis2023Senior author

DOI: 10.1007/s10985-022-09577-1 PMID: 36184723

03

A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach.

Tenyakov A, Mamon R

Journal of big data2017Senior author

DOI: 10.1186/s40537-017-0106-3 PMID: 31998599

Hidden Markov models for decision analytics

Principal investigatorNSERC2017Discovery Grants Program - Individual

Principal investigators: Mamon, Rogemar

Keywords: Bessel process; Change-point problems; Cybersecurity risk; Filtering; Financial stability; Higher-order Markov chain; Insurance; Knowledge-based systems; Longevity products; Weather derivatives

$259,000

Graduate Linux Lab for Advanced Statistical Computing

Co-investigatorNSERC2013Research Tools and Instruments - Category 1 (<$150,000)

Principal investigators: Yu, Hao

$20,294

Financial modelling in an HMM-modulated regime-switching framework

Principal investigatorNSERC2012Discovery Grants Program - Individual

Principal investigators: Mamon, Rogemar

$105,000

Quad-core workstations and web/email/file server

Co-investigatorNSERC2010Research Tools and Instruments - Category 1 (<$150,000)

Principal investigators: Yu, Hao

$25,341

Blade servers based parallel statistical computing

Co-investigatorNSERC2007Research Tools and Instruments - Category 1 (<$150,000)

Principal investigators: Yu, Hao

$34,994

Hidden markov models in quantitative finance

Principal investigatorNSERC2007Discovery Grants Program - Individual

Principal investigators: Mamon, Rogemar

$62,500

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Subject: Prospective PhD student: Bessel process Dear Professor Mamon, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. I read your paper "Correction to: A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model." (2026), and it connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]