By Scientia Professor Robert Kohn

Journal articles

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 MN; Kohn R, 2015, 'Exact ABC using Importance Sampling', , http://arxiv.org/abs/1509.08076v1

Pitt MK; Hall J; Kohn R, 2015, 'Bayesian inference for latent factor GARCH models', Bayesian inference for latent factor GARCH models, http://arxiv.org/abs/1507.01179v1

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

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

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

Kohn R; tran ; giordani ; pitt ; mun , 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

Kohn R; Tran M; Pitt MK, 2014, 'Adaptive Metropolis–Hastings sampling using reversible dependent mixture proposals', Statistics and Computing, 25, http://dx.doi.org/10.1007/s11222-014-9509-6

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

Tran M-N; Scharth M; Pitt MK; Kohn R, 2013, 'Importance sampling squared for Bayesian inference in latent variable models', Importance sampling squared for Bayesian inference in latent variable models, http://arxiv.org/abs/1309.3339v4

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; Nott DJ; Kohn R, 2012, 'Simultaneous variable selection and component selection for regression density estimation with mixtures f heteroscedastic experts', Electronic Journal of Statistics, 6, pp. 1170 - 1199, http://dx.doi.org/10.1214/12-EJS705

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

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 M; 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

Pitt M; Silva R; Giordani P; Kohn R, 2010, 'Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling', Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling, http://arxiv.org/abs/1006.1914v1

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

Silva R; Kohn R; Giordani P; Mun X, 2010, 'A copula based approach to adaptive sampling', A copula based approach to adaptive sampling, http://arxiv.org/abs/1002.4775v1

Xu W; Yang L; Kohn R, 2010, 'Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models', Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models, http://arxiv.org/abs/1002.2017v1

Fiebig D; Kohn R; Cripps E, 2010, 'Parsimonious estimation of the covariance matrix in multinomial probit models', Econometric Reviews, 29, pp. 146 - 157, http://dx.doi.org/10.1080/07474930903382158

Armstrong HJ; Carter CK; Wong KF; Kohn R, 2009, 'Bayesian covariance matrix estimation using a mixture of decomposable graphical models', Statistics and Computing, 19, pp. 303 - 316

Gu Y; Fiebig D; Cripps EJ; Kohn R, 2009, 'Bayesian estimation of a random effects heteroscedastic probit model', Econometrics Journal, 12, pp. 324 - 339

Young GJ; Valdez E; Kohn R, 2009, 'Multivariate probit models for conditional claim-types', Insurance Mathematics and Economics, 44, pp. 214 - 228

Fiebig D; Kohn R; Leslie D, 2009, 'Nonparametric estimation of the distribution function in contingent valuation models', Bayesian Analysis, 4, pp. 573 - 598

Villani M; Kohn R; Giordani P, 2009, 'Regression density estimation using smooth adaptive Gaussian mixtures', Journal of Econometrics, 153, pp. 155 - 173

Nott DJ; Kohn RJ; Fielding M, 2008, 'Approximating the marginal likelihood using copula', Approximating the marginal likelihood using copula, http://arxiv.org/abs/0810.5474v1

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 and Economic Statistics, 26, pp. 66 - 77

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

Cottet R; Kohn R; Nott DJ, 2008, 'Variable selection and model averaging in semiparametric overdispersed generalized linear models', Journal of the American Statistical Association, 103, pp. 661 - 671

Leslie D; Kohn R; Nott DJ, 2007, 'A general approach to heteroscedastic linear regression', Statistics and Computing, 17, pp. 131 - 146

Giordani P; Kohn R; van Dijk D, 2007, 'A unified approach to nonlinearity, structural change, and outliers', Journal of Econometrics, 137, pp. 112 - 133

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

Pitt M; Chan D; Kohn R, 2006, 'Efficient Bayesian inference for Gaussian copula regression models', Biometrika, 93, pp. 537 - 554

Chan DW; Kohn R; Nott DJ; Kirby CM, 2006, 'Locally adaptive semiparametric estimation of the mean and variance functions in regression models', Journal of Computational and Graphical Statistics, 15, pp. 915 - 936

Chan D; Kohn R; Kirby C, 2006, 'Multivariate stochastic volatility models with correlated errors', Econometric Reviews, 25, pp. 245 - 274

Nott DJ; Kohn R, 2005, 'Adaptive sampling for Bayesian variable selection', Biometrika, 92, pp. 747 - 763

Carter CK; Wong F; Kohn R, 2003, 'Efficient estimation of covariance selection models', Biometrika, 90, pp. 809 - 830, http://www.ox.ac.uk/about/organisation/oxford-university-press

Kohn R; Wood SA; Yau P, 2003, 'Bayesian variable selection and model averaging in high-dimensional multinomial nonparametric regression', Journal of Computational and Graphical Statistics, 12, pp. 23 - 54

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

Smith M; Yau P; Shively T; Kohn R, 2002, 'Estimating long-term trends in tropospheric ozone levels', International Statistical Review, 70, pp. 99 - 124

Wood SA; 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

Smith M; Kohn R, 2002, 'Parsimonious covariance matrix estimation for longitudinal data', Journal of the American Statistical Association, 97, pp. 1141 - 1153

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