By Scientia Professor Robert Kohn

Journal articles

Quiroz M; Kohn R; Villani M; Tran MN, 2019, 'Speeding Up MCMC by Efficient Data Subsampling', Journal of the American Statistical Association, 114, pp. 831 - 843, http://dx.doi.org/10.1080/01621459.2018.1448827

Quiroz M; Villani M; Kohn R; Tran MN; Dang KD, 2018, 'Subsampling MCMC - an Introduction for the Survey Statistician', Sankhya A, 80, pp. 33 - 69, http://dx.doi.org/10.1007/s13171-018-0153-7

Quiroz M; Tran MN; Villani M; Kohn R, 2018, 'Speeding up MCMC by Delayed Acceptance and Data Subsampling', Journal of Computational and Graphical Statistics, 27, pp. 12 - 22, http://dx.doi.org/10.1080/10618600.2017.1307117

Tran MN; Nott DJ; Kohn R, 2017, 'Variational Bayes With Intractable Likelihood', Journal of Computational and Graphical Statistics, 26, pp. 873 - 882, http://dx.doi.org/10.1080/10618600.2017.1330205

Del Moral P; Kohn R; Patras F, 2016, 'On particle Gibbs samplers', Annales De L Institut Henri Poincare B Probability and Statistics, 52, pp. 1687 - 1733, http://dx.doi.org/10.1214/15-AIHP695

Tran MN; Nott DJ; Kuk AYC; Kohn R, 2016, 'Parallel Variational Bayes for Large Datasets With an Application to Generalized Linear Mixed Models', Journal of Computational and Graphical Statistics, 25, pp. 626 - 646, http://dx.doi.org/10.1080/10618600.2015.1012293

Scharth M; Kohn R, 2016, 'Particle efficient importance sampling', Journal of Econometrics, 190, pp. 133 - 147, http://dx.doi.org/10.1016/j.jeconom.2015.03.047

Tran M-N; Pitt MK; Kohn R, 2016, 'Adaptive Metropolis–Hastings sampling using reversible dependent mixture proposals', Statistics and Computing, 26, pp. 361 - 381, http://dx.doi.org/10.1007/s11222-014-9509-6

Del Moral P; Kohn R; Patras F, 2015, 'A duality formula for Feynman–Kac path particle models', Comptes Rendus. Mathématique, 353, pp. 465 - 469, http://dx.doi.org/10.1016/j.crma.2015.02.008

Doucet A; Pitt MK; Deligiannidis G; Kohn R, 2015, 'Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator', Biometrika, 102, pp. 295 - 313, http://dx.doi.org/10.1093/biomet/asu075

Peters GW; Dong AXD; Kohn R, 2014, 'A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving', Insurance Mathematics and Economics, 59, pp. 258 - 278, http://dx.doi.org/10.1016/j.insmatheco.2014.09.011

Tran MN; Giordani P; Mun X; Kohn R; Pitt MK, 2014, 'Copula-Type Estimators for Flexible Multivariate Density Modeling Using Mixtures', Journal of Computational and Graphical Statistics, 23, pp. 1163 - 1178, http://dx.doi.org/10.1080/10618600.2013.842918

Hall J; Pitt MK; Kohn R, 2014, 'Bayesian inference for nonlinear structural time series models', Journal of Econometrics, 179, pp. 99 - 111, http://dx.doi.org/10.1016/j.jeconom.2013.10.016

Tran M; Giordani P; Mun X; Kohn R, 2013, 'Flexible multivariate density estimation with marginal adaptation', Journal of Computational and Graphical Statistics, 22, pp. 814 - 829, http://dx.doi.org/10.1080/10618600.2012.672784

Giordani P; Mun X; Kohn R, 2012, 'Efficient estimation of covariance matrices using posterior mode multiple shrinkage', Journal of Financial Econometrics, 11, pp. 154 - 192, http://dx.doi.org/10.1093/jjfinec/nbs009

Tran MN; Giordani P; Kohn R, 2012, 'Discussion of "Fast sparse regression and classification" by Jerome Friedman', International Journal of Forecasting, 28, pp. 749 - 750, http://dx.doi.org/10.1016/j.ijforecast.2012.04.010

Smith MS; Gan Q; Kohn RJ, 2012, 'Modelling dependence using skew t copulas: Bayesian inference and applications', Journal of Applied Econometrics, 27, pp. 500 - 522, http://dx.doi.org/10.1002/jae.1215

Tran M-N; Nott DJ; Kohn R, 2012, 'Simultaneous variable selection and component selection for regression density estimation with mixtures of heteroscedastic experts', Electronic Journal of Statistics, 6, http://dx.doi.org/10.1214/12-ejs705

Villani M; Kohn R; Nott DJ, 2012, 'Generalized smooth finite mixtures', Journal of Econometrics, 171, pp. 121 - 133, http://dx.doi.org/10.1016/j.jeconom.2012.06.012

Pitt MK; Silva RDS; Giordani P; Kohn R, 2012, 'On some properties of Markov chain Monte Carlo simulation methods based on the particle filter', Journal of Econometrics, 171, pp. 134 - 151, http://dx.doi.org/10.1016/j.jeconom.2012.06.004

Nott DJ; Tan SL; Villiani M; Kohn R, 2012, 'Regression density estimation with variational methods and stochastic approximation', Journal of Computational and Graphical Statistics, 21, pp. 797 - 820, http://dx.doi.org/10.1080/10618600.2012.679897

Wood SA; Rosen O; Kohn R, 2011, 'Bayesian mixtures of autoregressive models', Journal of Computational and Graphical Statistics, 20, pp. 174 - 195, http://dx.doi.org/10.1198/jcgs.2010.09174

Carter CK; Wong F; Kohn R, 2011, 'Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach', Journal of Multivariate Analysis, 102, pp. 871 - 883, http://dx.doi.org/10.1016/j.jmva.2011.01.001

Li F; Villani M; Kohn R, 2010, 'Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities', Journal of Statistical Planning and Inference, 140, pp. 3638 - 3654, http://dx.doi.org/10.1016/j.jspi.2010.04.031

Giordani P; Kohn R, 2010, 'Adaptive independent Metropolis-Hastings by fast estimation of mixtures of normals', Journal of Computational and Graphical Statistics, 19, pp. 243 - 259, http://dx.doi.org/10.1198/jcgs.2009.07174

Cripps E; Fiebig DG; Kohn R, 2009, 'Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models', Econometric Reviews, 29, pp. 146 - 157, http://dx.doi.org/10.1080/07474930903382158

Fiebig DG; Kohn R; Leslie DS, 2009, 'Nonparametric estimation of the distribution function in contingent valuation models', Bayesian Analysis, 4, http://dx.doi.org/10.1214/09-ba421

Armstrong H; Carter CK; Wong KFK; Kohn R, 2009, 'Bayesian covariance matrix estimation using a mixture of decomposable graphical models', Statistics and Computing, 19, pp. 303 - 316, http://dx.doi.org/10.1007/s11222-008-9093-8

Gu Y; Fiebig DG; Cripps E; Kohn R, 2009, 'Bayesian estimation of a random effects heteroscedastic probit model', Econometrics Journal, 12, pp. 324 - 339, http://dx.doi.org/10.1111/j.1368-423x.2009.00283.x

Young G; Valdez EA; Kohn R, 2009, 'Multivariate probit models for conditional claim-types', Insurance: Mathematics and Economics, 44, pp. 214 - 228, http://dx.doi.org/10.1016/j.insmatheco.2008.11.004

Villani M; Kohn R; Giordani P, 2009, 'Regression density estimation using smooth adaptive Gaussian mixtures', Journal of Econometrics, 153, pp. 155 - 173, http://dx.doi.org/10.1016/j.jeconom.2009.05.004

Cottet R; Kohn RJ; Nott DJ, 2008, 'Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models', Journal of the American Statistical Association, 103, pp. 661 - 671, http://dx.doi.org/10.1198/016214508000000346

Kohn R, 2008, 'Bayesian inference using adaptive sampling', Advances in Econometrics : A Research Annual, 23, pp. 61 - 81, http://dx.doi.org/10.1016/S0731-9053(08)23002-1

Giordani P; Kohn R, 2008, 'Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models', Journal of Business & Economic Statistics, 26, pp. 66 - 77, http://dx.doi.org/10.1198/073500107000000241

Wood SA; Kohn R; Cottet R; Jiang W; Tanner M, 2008, 'Locally Adaptive Nonparametric Binary Regression', Journal of Computational and Graphical Statistics, 17, pp. 352 - 372, http://dx.doi.org/10.1198/106186008x318576

Leslie DS; Kohn R; Nott DJ, 2007, 'A general approach to heteroscedastic linear regression', Statistics and Computing, 17, pp. 131 - 146, http://dx.doi.org/10.1007/s11222-006-9013-8

Giordani P; Kohn R; van Dijk D, 2007, 'A unified approach to nonlinearity, structural change, and outliers', Journal of Econometrics, 137, pp. 112 - 133, http://dx.doi.org/10.1016/j.jeconom.2006.03.013

Pitt M; Chan D; Kohn R, 2006, 'Efficient Bayesian inference for Gaussian copula regression models', Biometrika, 93, pp. 537 - 554, http://dx.doi.org/10.1093/biomet/93.3.537

Cripps EJ; Kohn R; Nott DJ, 2006, 'Bayesian subset selection and model averaging using a centred and dispersed prior for the error variance', Australian and New Zealand Journal of Statistics, 48, pp. 237 - 252

Chan D; Kohn R; Nott D; Kirby C, 2006, 'Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models', Journal of Computational and Graphical Statistics, 15, pp. 915 - 936, http://dx.doi.org/10.1198/106186006x157441

Chan D; Kohn R; Kirby C, 2006, 'Multivariate Stochastic Volatility Models with Correlated Errors', Econometric Reviews, 25, pp. 245 - 274, http://dx.doi.org/10.1080/07474930600713309

Nott DJ; Kohn R, 2005, 'Adaptive sampling for Bayesian variable selection', Biometrika, 92, pp. 747 - 763, http://dx.doi.org/10.1093/biomet/92.4.747

Wong F, 2003, 'Efficient estimation of covariance selection models', Biometrika, 90, pp. 809 - 830, http://dx.doi.org/10.1093/biomet/90.4.809

Yau P; Kohn R; Wood S, 2003, 'Bayesian Variable Selection and Model Averaging in High-Dimensional Multinomial Nonparametric Regression', Journal of Computational and Graphical Statistics, 12, pp. 23 - 54, http://dx.doi.org/10.1198/1061860031301

Yau P; Kohn R, 2003, 'Estimation and variable selection in nonparametric heteroscedastic regression', Statistics and Computing, 13, pp. 191 - 208, http://dx.doi.org/10.1023/A:1024293931757

Louviere J; Street D; Carson R; Ainslie A; Deshazo JR; Cameron T; Hensher D; Kohn R; Marley T, 2002, 'Dissecting the Random Component of Utility', Marketing Letters, 13, pp. 177 - 193, http://dx.doi.org/10.1023/A:1020258402210

Wood S; Kohn R; Shively T; Jiang W, 2002, 'Model Selection in Spline Nonparametric Regression', Journal of the Royal Statistical Society Series B: Statistical Methodology, 64, pp. 119 - 139, http://dx.doi.org/10.1111/1467-9868.00328

Smith M; Yau P; Shively T; Kohn R, 2002, 'Estimating Long‐term Trends in Tropospheric Ozone Levels', International Statistical Review, 70, pp. 99 - 124, http://dx.doi.org/10.1111/j.1751-5823.2002.tb00351.x

Smith M; Kohn R, 2002, 'Parsimonious Covariance Matrix Estimation for Longitudinal Data', Journal of the American Statistical Association, 97, pp. 1141 - 1153, http://dx.doi.org/10.1198/016214502388618942

Kohn R; Smith M; Chan D, 2001, 'Nonparametric regression using linear combinations of basis functions', Statistics and Computing, 11, pp. 313 - 322, http://dx.doi.org/10.1023/A:1011916902934

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