By Scientia Professor Robert Kohn

Journal articles

Ansley CF; Kohn R, 1987, 'Efficient generalized cross-validation for state space models', Biometrika, 74, pp. 139 - 148, http://dx.doi.org/10.1093/biomet/74.1.139

KOHN R; ANSLEY CF, 1987, 'A NEW ALGORITHM FOR SPLINE SMOOTHING BASED ON SMOOTHING A STOCHASTIC-PROCESS', SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING, 8, pp. 33 - 48, http://dx.doi.org/10.1137/0908004

Kohn R; Ansley CF, 1987, 'Comment', Journal of the American Statistical Association, 82, pp. 1041 - 1044, http://dx.doi.org/10.1080/01621459.1987.10478535

KOHN R; ANSLEY CF, 1986, 'ESTIMATION, PREDICTION, AND INTERPOLATION FOR ARIMA MODELS WITH MISSING DATA', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 81, pp. 751 - 761, http://dx.doi.org/10.2307/2289007

Ansley CF; Kohn R, 1986, 'Spline Smoothing with Repeated Values', Journal of Statistical Computation and Simulation, 25, pp. 251 - 258, http://dx.doi.org/10.1080/00949658608810935

Kohn R; Ansley CF, 1986, 'Fast filtering for seasonal moving average models', Biometrika, 73, pp. 522 - 524, http://dx.doi.org/10.1093/biomet/73.2.522

Kohn R; Ansley CF, 1986, 'Prediction mean squared error for state space models with estimated parameters', Biometrika, 73, pp. 467 - 473, http://dx.doi.org/10.1093/biomet/73.2.467

ANSLEY CF; KOHN R, 1986, 'PREDICTION MEAN SQUARED ERROR FOR STATE-SPACE MODELS WITH ESTIMATED PARAMETERS', BIOMETRIKA, 73, pp. 467 - 473, http://dx.doi.org/10.2307/2336224

Ansley CF; Kohn R, 1986, 'A note on reparameterizing a vector autoregressive moving average model to enforce stationarity', Journal of Statistical Computation and Simulation, 24, pp. 99 - 106, http://dx.doi.org/10.1080/00949658608810893

Kohn R; Ansley CF, 1986, 'Estimation, prediction, and interpolation for ARIMA models with missing data', Journal of the American Statistical Association, 81, pp. 751 - 761, http://dx.doi.org/10.1080/01621459.1986.10478332

Ansley CF; Kohn R, 1986, 'On the equivalence of two stochastic approaches to spline smoothing', Journal of Applied Probability, 23, pp. 391 - 405, http://dx.doi.org/10.2307/3214367

Ansley CF; Kohn R, 1986, 'On the equivalence of two stochastic approaches to spline smoothing', Journal of Applied Probability, 23, pp. 391 - 405, http://dx.doi.org/10.1017/s002190020011722x

Kohn R; Ansley CF, 1985, 'Efficient estimation and prediction in time series regression models', Biometrika, 72, pp. 694 - 697, http://dx.doi.org/10.1093/biomet/72.3.694

Ansley CF; Kohn R, 1985, 'Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions', The Annals of Statistics, 13, http://dx.doi.org/10.1214/aos/1176349739

Kohn R; Ansley CF, 1985, 'Computing the likelihood and its derivatives for a gaussian arma model', Journal of Statistical Computation and Simulation, 22, pp. 229 - 263, http://dx.doi.org/10.1080/00949658508810849

Ansley CF; Kohn R, 1985, 'On the rate of convergence of the innovation representation of a moving average process', Biometrika, 72, pp. 325 - 330, http://dx.doi.org/10.1093/biomet/72.2.325

Ansley CF; Kohn R, 1985, 'A Structured State Space Approach to Computing the Likelihood of an ARIMA Process and its Derivatives', Journal of Statistical Computation and Simulation, 21, pp. 135 - 169, http://dx.doi.org/10.1080/00949658508810810

Kohn R; Ansley CF, 1984, 'A note on Kalman filtering for the seasonal moving average model', Biometrika, 71, pp. 648 - 650, http://dx.doi.org/10.1093/biomet/71.3.648

Kohn R; Ansley CF, 1983, 'Fixed interval estimation in state space models when some of the data are missing or aggregated', Biometrika, 70, pp. 683 - 688, http://dx.doi.org/10.1093/biomet/70.3.683

Kohn R; Ansley CF, 1983, 'On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise', The Annals of Statistics, 11, http://dx.doi.org/10.1214/aos/1176346270

Ansley CF; Kohn R, 1983, 'Exact likelihood of vector autoregressive-moving average process with missing or aggregated data', Biometrika, 70, pp. 275 - 278, http://dx.doi.org/10.1093/biomet/70.1.275

Kohn R; Ansley C, 1982, 'A Note on Obtaining the Theoretical Autocovariances of an ARMA Process', Journal of Statistical Computation and Simulation, 15, pp. 273 - 283, http://dx.doi.org/10.1080/00949658208810594

Ansley CF; Kohn R, 1982, 'A geometrical derivation of the fixed interval smoothing algorithm', Biometrika, 69, pp. 486 - 487, http://dx.doi.org/10.1093/biomet/69.2.486

Kohn R, 1982, 'When is an aggregate of a time series efficiently forecast by its past?', Journal of Econometrics, 18, pp. 337 - 349, http://dx.doi.org/10.1016/0304-4076(82)90087-2

Kohn R, 1981, 'A note on an alternative derivation of the likelihood of an autoregressive moving average process', Economics Letters, 7, pp. 233 - 236, http://dx.doi.org/10.1016/0165-1765(81)90057-4

KOHN R, 1980, 'ON THE SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .2.', ADVANCES IN APPLIED PROBABILITY, 12, pp. 462 - 474, http://dx.doi.org/10.2307/1426606

KOHN R, 1980, 'SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .1.', ADVANCES IN APPLIED PROBABILITY, 12, pp. 183 - 199, http://dx.doi.org/10.2307/1426501

Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. I', Advances in Applied Probability, 12, pp. 183 - 199, http://dx.doi.org/10.1017/s0001867800033450

Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. II', Advances in Applied Probability, 12, pp. 462 - 474, http://dx.doi.org/10.1017/s0001867800050266

Kohn R, 1979, 'Asymptotic estimation and hypothesis testing results for vector linear time series models.', Econometrica, 47, pp. 1005 - 1030, http://dx.doi.org/10.2307/1914144

KOHN R, 1979, 'IDENTIFICATION RESULTS FOR ARMAX STRUCTURES', ECONOMETRICA, 47, pp. 1295 - 1304, http://dx.doi.org/10.2307/1911964

Kohn R, 1978, 'Local and global identification and strong consistency in time series models', Journal of Econometrics, 8, pp. 269 - 293, http://dx.doi.org/10.1016/0304-4076(78)90048-9

Kohn R, 1977, 'Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average process', Biometrika, 64, pp. 622 - 625, http://dx.doi.org/10.1093/biomet/64.3.622

Conference Papers

Salomone R; Quiroz M; Kohn R; Villani M; Tran MN, 2020, 'Spectral subsampling MCMC for stationary time series', in Daume III H; Singh A (ed.), Proceedings of Machine Learning Research, ML Research Press, Virtual, pp. 8418 - 8427, presented at International Conference on Machine Learning, Virtual, 13 July 2020 - 18 July 2020, http://proceedings.mlr.press/v119/salomone20a/salomone20a.pdf

Xu M; Quiroz M; Kohn R; Sisson SA, 2020, 'Variance reduction properties of the reparameterization trick', in AISTATS 2019 - 22nd International Conference on Artificial Intelligence and Statistics

Ouysse R; Kohn R, 2008, 'Bayesian Selection of Risk Factors and Estimation of Factor Betas and Risk Premiums in the APT model', in FEMES-SAMES 2008, Singapore, pp. 1 - 29, presented at Far Eastern Meeting of the Econometric Society, Singapore, 16 July 2008 - 19 July 2008

Ouysse R; Kohn R, 2007, 'Bayesian variable Selecton of Risk Factors in the APT model', in Bayesian Variable Selection of Risk Factors in the APT model, presented at Bayesian Variable Selection of Risk Factors in the APT model

SMITH M; KOHN R, 1994, 'A BAYESIAN APPROACH TO ADDITIVE NONPARAMETRIC REGRESSION', in Sall J; Lehman A (ed.), COMPUTING SCIENCE AND STATISTICS, VOL 26, INTERFACE FOUNDATION NORTH AMERICA, NC, RESEARCH TRIANGLE PK, pp. 96 - 105, presented at 26th Symposium on the Interface of Computing Science and Statistics - Computationally Intensive Statistical Methods, NC, RESEARCH TRIANGLE PK, 15 June 1994 - 18 June 1994, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1994BD22V00017&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1

Kohn R; Ansley CF, 1990, 'The nonparametric estimation of growth curves', in Mathematics and Computers in Simulation, pp. 203 - 208, http://dx.doi.org/10.1016/0378-4754(90)90239-F

Conference Presentations

Chatterjee P; Gunawan D; Kohn R, 2021, 'The Interaction between credit constraints and uncertainty shocks', presented at ASSA Meetings 2021, 03 January 2021

Working Papers

Chatterjee P; Gunawan D; Kohn R, 2023, An Efficient Pseudo Marginal Method for State Space Models, http://dx.doi.org, https://drive.google.com/file/d/1m1CqvRo2X4Tbcifm24oR1Jgbx-ippKit/view?usp=share_link

Chatterjee P; Gunawan D; Kohn R, 2023, The Interaction Between Credit Constraints and Uncertainty Shocks, http://dx.doi.org, https://drive.google.com/file/d/1mCM4oL44B_zn9ymeDqOSyXMvrPJP8dd3/view?usp=share_link%7D%7B%5Ctextbf%7BThe%20Interaction%20Between%20Credit%20Constraints%20and%20Uncertainty%20Shocks

Mendes EF; Carter CK; Gunawan D; Kohn R, 2020, A flexible particle Markov chain Monte Carlo method, Springer Nature, http://dx.doi.org10.1007/s11222-019-09916-7

Gunawan D; Kohn R; Tran MN; Carter C, 2018, Robust Particle Density Tempering for State Space Models, http://dx.doi.org

Gunawan D; Carter C; Kohn R, 2018, The Correlated Particle Hybrid Sampler for State Space Models, http://dx.doi.org, http://arxiv.org/abs/1804.04359v4

Gunawan D; carter C; Fiebig D; Kohn R, 2017, Efficient Bayesian estimation for flexible panel models for multivariate outcomes: Impact of life events on mental health and excessive alcohol consumption, http://dx.doi.org, http://arxiv.org/abs/1706.03953v3

Gunawan D; Carter C; Kohn R, 2017, Efficient Bayesian inference for multivariate factor stochastic volatility models with leverage, http://dx.doi.org

Preprints

Tran M-N; Tseng P; Kohn R, 2023, Particle Mean Field Variational Bayes, , http://arxiv.org/abs/2303.13930v2

Dao VH; Gunawan D; Kohn R; Tran M-N; Hawkins GE; Brown SD, 2023, Bayesian Inference for Evidence Accumulation Models with Regressors, , http://arxiv.org/abs/2302.10389v2

Liu C; Wang C; Tran M-N; Kohn R, 2023, Deep Learning Enhanced Realized GARCH, , http://arxiv.org/abs/2302.08002v2

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