Scientia Professor Robert Kohn

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Robert's research and teaching interests include Bayesian methodology, Variable selection and model averaging, Nonparametric regression models, Time series modelling, Multivariate Gaussian and non-Gaussian regression; and Markov chain Monte Carlo simulation algorithms.

Research Interests:

Bayesian methodology
Variable selection and model averaging
Nonparametric regression models
Time series modeling
Multivariate Gaussian and non-Gaussian regression
Markov chain Monte Carlo simulation algorithms

ASB Profile: http://www.asb.unsw.edu.au/schools/Pages/RobertKohn.aspx

Phone

+61 2 9385 2150

E-mail

r.kohn@unsw.edu.au

Location

Room 434, UNSW Business School building

Book Chapters | 2022

Tran M; Nott D; Kohn R, 2022, 'Variational Bayes', in , Wiley, pp. 1 - 9, http://dx.doi.org/10.1002/9781118445112.stat08387

Book Chapters | 2012

Giordani P; Pitt M; Kohn R, 2012, 'Bayesian Inference for Time Series State Space Models', in The Oxford Handbook of Bayesian Econometrics, http://dx.doi.org/10.1093/oxfordhb/9780199559084.013.0004

Book Chapters | 2011

Kohn R; Li F; Villani M, 2011, 'Modelling Conditional Densities Using Finite Smooth Mixtures', in Mengersen KL; Robert CP; Titterington DM (ed.), Mixtures: Estimation and Applications, John Wiley & Sons, Ltd, United Kingdom, pp. 123 - 144, http://dx.doi.org/10.1002/9781119995678.ch6

Book Chapters | 2005

Carter CK; Kohn R; Cripps EJ, 2005, 'Variable Selection and Covariance Selection in Multivariate Regression Models', in

Book Chapters | 2000

Kohn R; Schimek MG; Smith MM, 2000, 'Spline and kernel regression for dependant data', in Smoothing and regression: approaches, computation and its application, Wiley & Sons, New York, pp. 135 - 158

Book Chapters | 2000

Smith MM; Kohn R; Yau P, 2000, 'Nonparametric Bayesian bivariate surface estimation', in Smoothing and regression: approaches, computation and its application, Wiley & Sons, New York, pp. 545 - 580

Book Chapters | 1998

Smith MM; Kohn R, 1998, 'Nonparametric estimation of irregular functions with independent or autocorrelated errors', in Lecture notes in statistics: Practical nonparametric and semiparametric Bayesian statistics, Springer Publishing Company, pp. 157 - 171

Book Chapters | 1996

Carter CK; Kohn R, 1996, 'Robust Bayesian nonparametic regression', in Statistical theory and computational aspects of smoothing, edn. Original, Physica-Verlag, Heidelberg, pp. 128 - 148

Book Chapters | 1996

Sheather SJ; Wand MP; Smith MM; Kohn R, 1996, 'Comments on the papers by Marron, Cleveland and Loader, Seifert and Gasser', in Statistical theory and computational aspects of smoothing, Physica-Verlag, Heidelberg, pp. 93 - 102

Book Chapters | 1996

Sheather SJ; Wand MP; Smith MS; Kohn R, 1996, 'Comments', in Contributions to Statistics, Physica-Verlag HD, pp. 93 - 102, http://dx.doi.org/10.1007/978-3-642-48425-4_7

Book Chapters | 1989

KOHN R; ANSLEY CF, 1989, 'FILTERING AND SMOOTHING ALGORITHMS FOR STATE SPACE MODELS', in System-Theoretic Methods in Economic Modelling II, Elsevier, pp. 515 - 528, http://dx.doi.org/10.1016/b978-0-08-037932-6.50007-6

Book Chapters | 1984

Ansley CF; Kohn R, 1984, 'New Algorithmic Developments for Estimation Problems in Time Series', in Compstat 1984, Physica-Verlag HD, pp. 23 - 34, http://dx.doi.org/10.1007/978-3-642-51883-6_2

Book Chapters | 1984

Ansley CF; Kohn R, 1984, 'On the estimation of ARIMA Models with Missing Values', in Lecture Notes in Statistics, Springer New York, pp. 9 - 37, http://dx.doi.org/10.1007/978-1-4684-9403-7_2
Journal articles | 2024

Gunawan D; Carter C; Kohn R, 2024, 'Particle MCMC and the correlated particle hybrid sampler for state space models', Journal of Econometrics, http://dx.doi.org/10.1016/j.jeconom.2024.105731

Journal articles | 2024

Gunawan D; Chatterjee P; Kohn R, 2024, 'The Block-Correlated Pseudo Marginal Sampler for State Space Models', Journal of Business and Economic Statistics, 42, pp. 1276 - 1288, http://dx.doi.org/10.1080/07350015.2024.2308109

Journal articles | 2024

Gunawan D; Kohn R; Nott D, 2024, 'Flexible Variational Bayes Based on a Copula of a Mixture', Journal of Computational and Graphical Statistics, 33, pp. 665 - 680, http://dx.doi.org/10.1080/10618600.2023.2262080

Journal articles | 2024

Salomone R; Yu X; Nott DJ; Kohn R, 2024, 'Structured Variational Approximations with Skew Normal Decomposable Graphical Models and Implicit Copulas', Journal of Computational and Graphical Statistics, http://dx.doi.org/10.1080/10618600.2024.2319159

Journal articles | 2024

Villani M; Quiroz M; Kohn R; Salomone R, 2024, 'Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes', Econometrics and Statistics, 32, pp. 98 - 121, http://dx.doi.org/10.1016/j.ecosta.2022.10.001

Journal articles | 2023

Botha I; Kohn R; South L; Drovandi C, 2023, 'Automatically adapting the number of state particles in SMC ²', Statistics and Computing, 33, http://dx.doi.org/10.1007/s11222-023-10250-2

Journal articles | 2023

Frazier DT; Nott DJ; Drovandi C; Kohn R, 2023, 'Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments', Journal of the American Statistical Association, 118, pp. 2821 - 2832, http://dx.doi.org/10.1080/01621459.2022.2086132

Journal articles | 2023

Munezero P; Villani M; Kohn R, 2023, 'Dynamic Mixture of Experts Models for Online Prediction', Technometrics, 65, pp. 257 - 268, http://dx.doi.org/10.1080/00401706.2022.2146755

Journal articles | 2023

Nguyen TN; Tran MN; Gunawan D; Kohn R, 2023, 'A Statistical Recurrent Stochastic Volatility Model for Stock Markets', Journal of Business and Economic Statistics, 41, pp. 414 - 428, http://dx.doi.org/10.1080/07350015.2022.2028631

Journal articles | 2023

Quiroz M; Nott DJ; Kohn R, 2023, 'Gaussian Variational Approximations for High-dimensional State Space Models', Bayesian Analysis, 18, pp. 989 - 1016, http://dx.doi.org/10.1214/22-BA1332

Journal articles | 2022

Dao VH; Gunawan D; Tran MN; Kohn R; Hawkins GE; Brown SD, 2022, 'Efficient Selection Between Hierarchical Cognitive Models: Cross-Validation With Variational Bayes', Psychological Methods, 29, pp. 219 - 241, http://dx.doi.org/10.1037/met0000458

Journal articles | 2022

Gunawan D; Hawkins GE; Kohn R; Tran MN; Brown SD, 2022, 'Time-Evolving Psychological Processes Over Repeated Decisions', Psychological Review, 129, pp. 438 - 456, http://dx.doi.org/10.1037/rev0000351

Journal articles | 2022

Gunawan D; Kohn R; Tran MN, 2022, 'Flexible and Robust Particle Tempering for State Space Models', Econometrics and Statistics, http://dx.doi.org/10.1016/j.ecosta.2022.09.003

Journal articles | 2022

Nguyen TN; Tran MN; Kohn R, 2022, 'Recurrent conditional heteroskedasticity', Journal of Applied Econometrics, 37, pp. 1031 - 1054, http://dx.doi.org/10.1002/jae.2902

Journal articles | 2022

Oliveira R; Scalzo R; Kohn R; Cripps S; Hardman K; Close J; Taghavi N; Lemckert C, 2022, 'Bayesian optimization with informative parametric models via sequential Monte Carlo', Data-Centric Engineering, 3, http://dx.doi.org/10.1017/dce.2022.5

Journal articles | 2021

Botha I; Kohn R; Drovandi C, 2021, 'Particle Methods for Stochastic Differential Equation Mixed Effects Models', Bayesian Analysis, 16, pp. 575 - 609, http://dx.doi.org/10.1214/20-BA1216

Journal articles | 2021

Dao V-H; Gunawan D; Tran M-N; Kohn R; Hawkins GE; Brown SD, 2021, 'Efficient Selection Between Hierarchical Cognitive Models: Cross-validation With Variational Bayes', , http://arxiv.org/abs/2102.06814v2

Journal articles | 2021

Gunawan D; Kohn R; Nott D, 2021, 'Variational Bayes approximation of factor stochastic volatility models', International Journal of Forecasting, 37, pp. 1355 - 1375, http://dx.doi.org/10.1016/j.ijforecast.2021.05.001

Journal articles | 2021

Quiroz M; Tran MN; Villani M; Kohn R; Dang KD, 2021, 'The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC', Journal of Computational and Graphical Statistics, 30, pp. 877 - 888, http://dx.doi.org/10.1080/10618600.2021.1917420

Journal articles | 2021

Tran MN; Scharth M; Gunawan D; Kohn R; Brown SD; Hawkins GE, 2021, 'Robustly estimating the marginal likelihood for cognitive models via importance sampling', Behavior Research Methods, 53, pp. 1148 - 1165, http://dx.doi.org/10.3758/s13428-020-01348-w

Journal articles | 2021

Wall L; Gunawan D; Brown SD; Tran MN; Kohn R; Hawkins GE, 2021, 'Identifying relationships between cognitive processes across tasks, contexts, and time', Behavior Research Methods, 53, pp. 78 - 95, http://dx.doi.org/10.3758/s13428-020-01405-4

Journal articles | 2020

Chin V; Gunawan D; Fiebig DG; Kohn R; Sisson SA, 2020, 'Efficient data augmentation for multivariate probit models with panel data: an application to general practitioner decision making about contraceptives', Journal of the Royal Statistical Society. Series C: Applied Statistics, 69, pp. 277 - 300, http://dx.doi.org/10.1111/rssc.12393

Journal articles | 2020

Gunawan D; Dang KD; Quiroz M; Kohn R; Tran MN, 2020, 'Subsampling sequential Monte Carlo for static Bayesian models', Statistics and Computing, 30, pp. 1741 - 1758, http://dx.doi.org/10.1007/s11222-020-09969-z

Journal articles | 2020

Gunawan D; Hawkins GE; Tran MN; Kohn R; Brown SD, 2020, 'New estimation approaches for the hierarchical Linear Ballistic Accumulator model', Journal of Mathematical Psychology, 96, http://dx.doi.org/10.1016/j.jmp.2020.102368

Journal articles | 2020

Gunawan D; Khaled MA; Kohn R, 2020, 'Mixed Marginal Copula Modeling', Journal of Business and Economic Statistics, 38, pp. 137 - 147, http://dx.doi.org/10.1080/07350015.2018.1469998

Journal articles | 2020

Kohn R; Mendes E; Gunawan D; Carter C, 2020, 'A flexible particle Markov chain Monte Carlo method', Statistics and Computing, http://dx.doi.org/10.1007/s11222-019-09916-7

Journal articles | 2020

Tran MN; Nguyen N; Nott D; Kohn R, 2020, 'Bayesian Deep Net GLM and GLMM', Journal of Computational and Graphical Statistics, 29, pp. 97 - 113, http://dx.doi.org/10.1080/10618600.2019.1637747

Journal articles | 2019

Dang KD; Quiroz M; Kohn R; Tran MN; Villani M, 2019, 'Hamiltonian monte carlo with energy conserving subsampling', Journal of Machine Learning Research, 20

Journal articles | 2019

Gunawan D; Tran MN; Suzuki K; Dick J; Kohn R, 2019, 'Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins', Statistics and Computing, 29, pp. 933 - 946, http://dx.doi.org/10.1007/s11222-018-9846-y

Journal articles | 2019

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

Journal articles | 2018

Quiroz M; Nott DJ; Kohn R, 2018, 'Gaussian variational approximation for high-dimensional state space models', , http://arxiv.org/abs/1801.07873v3

Journal articles | 2018

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

Journal articles | 2018

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

Journal articles | 2017

Khaled MA; Kohn R, 2017, 'On approximating copulas by finite mixtures', On approximating copulas by finite mixtures, http://arxiv.org/abs/1705.10440v3

Journal articles | 2017

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

Journal articles | 2016

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

Journal articles | 2016

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

Journal articles | 2016

Tran M-N; Kohn R; Quiroz M; Villani M, 2016, 'The Block Pseudo-Marginal Sampler', The Block Pseudo-Marginal Sampler, http://arxiv.org/abs/1603.02485v5

Journal articles | 2016

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

Journal articles | 2015

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

Journal articles | 2015

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

Journal articles | 2015

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

Journal articles | 2015

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

Journal articles | 2014

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

Journal articles | 2014

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

Journal articles | 2014

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

Journal articles | 2014

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

Journal articles | 2013

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

Journal articles | 2013

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2012

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

Journal articles | 2011

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

Journal articles | 2011

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

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2010

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

Journal articles | 2009

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

Journal articles | 2009

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

Journal articles | 2009

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

Journal articles | 2009

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

Journal articles | 2009

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

Journal articles | 2008

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

Journal articles | 2008

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

Journal articles | 2008

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

Journal articles | 2008

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

Journal articles | 2008

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

Journal articles | 2007

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

Journal articles | 2007

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

Journal articles | 2006

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

Journal articles | 2006

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

Journal articles | 2006

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

Journal articles | 2006

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

Journal articles | 2005

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

Journal articles | 2003

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

Journal articles | 2003

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

Journal articles | 2003

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

Journal articles | 2002

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

Journal articles | 2002

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

Journal articles | 2002

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

Journal articles | 2002

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

Journal articles | 2001

Kohn R; Smith M; Chan D, 2001, 'Nonparametric regression using linear combinations of basis functions', Statistics and Computing, 11, pp. 313 - 322

Journal articles | 2001

Nott DJ; Dunsmuir WT; Kohn R; Woodcock F, 2001, 'Statistical correction of a deterministic numerical weather prediction model', Journal of the American Statistical Association, pp. 794 - 804

Journal articles | 2000

Carter CK; Gerlach R; Kohn R, 2000, 'Efficient Bayesian Inference for Dynamic Mixture Models', Journal of the American Statistical Association, 95, pp. 819 - 828, http://dx.doi.org/10.2307/2669465

Journal articles | 2000

Kohn R; Marron JS; Yau P, 2000, 'Wavelet estimation using Bayesian basis selection and basis averaging', Statistica Sinica, 10, pp. 109 - 128

Journal articles | 2000

Shively TS; Allenby GM; Kohn R, 2000, 'A nonparametric approach to identifying latent relationships in hierarchical models', Marketing Science, 19, pp. 149 - 162

Journal articles | 2000

Smith MM; Kohn R; Mathur SK, 2000, 'Bayesian semiparametric regression: an exposition and application to print advertising data', Journal of Business Research, 49, pp. 229 - 244, http://dx.doi.org/10.1016/S0148-2963(99)00055-7

Journal articles | 2000

Smith MM; Kohn R, 2000, 'Nonparametric seemingly unrelated regression', Journal of Econometrics, pp. 257 - 281

Journal articles | 1999

Gerlach R; Carter CK; Kohn R, 1999, 'Diagnostics for time series analysis', Journal of Time Series Analysis, pp. 309 - 330

Journal articles | 1999

Shively TS; Kohn R; Wood S, 1999, 'Rejoinder', Journal of the American Statistical Association, 94, pp. 804 - 806, http://dx.doi.org/10.1080/01621459.1999.10474185

Journal articles | 1999

Shively TS; Kohn R; Wood S, 1999, 'Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior: Rejoinder', Journal of the American Statistical Association, 94, pp. 804 - 804, http://dx.doi.org/10.2307/2669995

Journal articles | 1999

Shivley TS; Kohn R; Wood SA, 1999, 'Variable selection and function estimation in additive nonparametric regression using a data-based prior', Journal of the American Statistical Association, 94, pp. 777 - 806, http://dx.doi.org/10.2307/2669990

Journal articles | 1998

Kohn R; Wood SA, 1998, 'A Bayesian approach to robust binary nonparametric regression', Journal of the American Statistical Association, 93, pp. 203 - 213, http://dx.doi.org/10.2307/2669617

Journal articles | 1998

Smith MM; Wong CS; Kohn R, 1998, 'Additive nonparametric regression with autocorrelated errors', Journal of the Royal Statistical Society Series B - Statistical Methodology, pp. 311 - 331

Journal articles | 1997

Barnett G; Kohn R; Sheather SJ, 1997, 'Robust Bayesian estimation of autoregressive-moving-average models', Journal of Time Series Analysis, pp. 11 - 28

Journal articles | 1997

Carter CK; Kohn R, 1997, 'Semiparametric Bayesian inference for time series with mixed spectra', Journal of Royal Statistical Society Series B, 59, pp. 255 - 268, http://dx.doi.org/10.1111/1467-9868.00067

Journal articles | 1997

Park BJ; Kim WH; Ruppert D; Jones MW; Signorini DF; Kohn R, 1997, 'Simple transformation techniques for improved nonparametric regression', Scandinavian Journal of Statistics, 24, pp. 145 - 164, http://dx.doi.org/10.1111/1467-9469.00055

Journal articles | 1997

Shively TS; Kohn R, 1997, 'A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models', Journal of Econometrics, 76, pp. 39 - 52, http://dx.doi.org/10.1016/0304-4076(95)01781-X

Journal articles | 1997

Smith MM; Kohn R, 1997, 'A Bayesian approach to nonparametric bivariate regression', Journal of the American Statistical Association, pp. 1522 - 1535

Journal articles | 1996

Barnett G; Kohn R; Sheather SJ, 1996, 'Bayesian estimation of an autoregressive model using Markov chain Monte Carlo', Journal of Econometrics, pp. 237 - 254

Journal articles | 1996

Kohn R; Carter CK, 1996, 'Markov chain Monte Carlo in conditionally Gaussian state space models', Biometrika, pp. 589 - 601

Journal articles | 1996

Smith MM; Kohn R, 1996, 'Nonparametric regression using bayesian variable selection', Journal of Econometrics, pp. 317 - 344

Journal articles | 1996

Smith MM; Sheather SJ; Kohn R, 1996, 'Finite sample performance of robust Bayesian regression', Computational Statistics, 11, pp. 269 - 301, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.57.2290&rep=rep1&type=pdf

Journal articles | 1996

Wong CS; Kohn R, 1996, 'A bayesian approach to additive semiparametric regression', Journal of Econometrics, pp. 209 - 235

Journal articles | 1996

Wong CS; Kohn R, 1996, 'A bayesian approach to estimating and forecasting edditive nonparametric autoregressive models', Journal of Time Series Analysis, 17, pp. 203 - 220

Journal articles | 1995

Barnett G; Kohn R; Sheather SJ; Wong JK, 1995, 'Markov chain Monte Carlo estimation of autoregressive models with application to metal pollutant concentration in sludge', Mathematical and Computer Modelling, pp. 7 - 13

Journal articles | 1994

Ansley CF; Kohn R, 1994, 'Convergence of the Backfitting Algorithm for Additive Models', Journal of the Australian Mathematical Society, 57, pp. 316 - 329, http://dx.doi.org/10.1017/S1446788700037721

Journal articles | 1994

Carter CK; Kohn R, 1994, 'On Gibbs sampling for state space models', Biometrika, 81, pp. 541 - 553, http://dx.doi.org/10.1093/biomet/81.3.541

Journal articles | 1994

Shively TS; Kohn R; Ansley CF, 1994, 'Testing for linearity in a semiparametric regression model', Journal of Econometrics, 64, pp. 77 - 96, http://dx.doi.org/10.1016/0304-4076(94)90058-2

Journal articles | 1993

Ansley CF; Kohn R; Wong CM, 1993, 'Nonparametric spline regression with prior information', Biometrika, 80, pp. 75 - 88, http://dx.doi.org/10.1093/biomet/80.1.75

Journal articles | 1993

KOHN R; SHIVELY TS; ANSLEY CF, 1993, 'COMPUTING P-VALUES FOR THE GENERALIZED DURBIN-WATSON STATISTIC AND RESIDUAL AUTOCORRELATIONS IN REGRESSION', JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS, 42, pp. 249 - 258, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993KJ08500021&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1

Journal articles | 1993

Kohn R; Ansley CF, 1993, 'Accuracy and efficiency of alternative spline smoothing algorithms', Journal of Statistical Computation and Simulation, 46, pp. 1 - 18, http://dx.doi.org/10.1080/00949659308811488

Journal articles | 1992

Ansley CF; Kohn R; Shively TS, 1992, 'Computing p-values for the generalized Durbin-Watson and other invariant test statistics', Journal of Econometrics, 54, pp. 277 - 300, http://dx.doi.org/10.1016/0304-4076(92)90109-5

Journal articles | 1992

Ansley CF; Kohn R; Wong CM, 1992, 'The estimation of error standard deviation in spline regression', Journal of Statistical Computation and Simulation, 44, pp. 1 - 15, http://dx.doi.org/10.1080/00949659208811445

Journal articles | 1992

Kohn R; Ansley CF; Wong CM, 1992, 'Nonparametric spline regression with autoregressive moving average errors', Biometrika, 79, pp. 335 - 346, http://dx.doi.org/10.1093/biomet/79.2.335

Journal articles | 1991

KOHN R; ANSLEY CF; THARM D, 1991, 'THE PERFORMANCE OF CROSS-VALIDATION AND MAXIMUM-LIKELIHOOD ESTIMATORS OF SPLINE SMOOTHING PARAMETERS', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 86, pp. 1042 - 1050, http://dx.doi.org/10.2307/2290523

Journal articles | 1991

Kohn R; Ansley CF; Tharm D, 1991, 'The performance of cross-validation and maximum likelihood estimators of spline smoothing parameters', Journal of the American Statistical Association, 86, pp. 1042 - 1050, http://dx.doi.org/10.1080/01621459.1991.10475150

Journal articles | 1991

Kohn R; Ansley CF, 1991, 'A signal extraction approach to the estimation of treatment and control curves', Journal of the American Statistical Association, 86, pp. 1034 - 1041, http://dx.doi.org/10.1080/01621459.1991.10475149

Journal articles | 1990

Ansley CF; Kohn R, 1990, 'A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS', Journal of Time Series Analysis, 11, pp. 181 - 183, http://dx.doi.org/10.1111/j.1467-9892.1990.tb00050.x

Journal articles | 1990

Ansley CF; Kohn R, 1990, 'FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS', Journal of Time Series Analysis, 11, pp. 275 - 293, http://dx.doi.org/10.1111/j.1467-9892.1990.tb00058.x

Journal articles | 1990

SHIVELY TS; ANSLEY CF; KOHN R, 1990, 'FAST EVALUATION OF THE DISTRIBUTION OF THE DURBIN-WATSON AND OTHER INVARIANT TEST STATISTICS IN TIME-SERIES REGRESSION', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 85, pp. 676 - 685, http://dx.doi.org/10.2307/2290002

Journal articles | 1990

Shively TS; Ansley CF; Kohn R, 1990, 'Fast evaluation of the distribution of the Durbin-Watson and other invariant test statistics in time series regression', Journal of the American Statistical Association, 85, pp. 676 - 685, http://dx.doi.org/10.1080/01621459.1990.10474927

Journal articles | 1989

KOHN R; ANSLEY CF, 1989, 'LINEAR SMOOTHERS AND ADDITIVE-MODELS - DISCUSSION', ANNALS OF STATISTICS, 17, pp. 535 - 540, http://dx.doi.org/10.1214/aos/1176347122

Journal articles | 1989

Kohn R; Ansley CF, 1989, 'A fast algorithm for signal extraction, influence and cross-validation in state space models', Biometrika, 76, pp. 65 - 79, http://dx.doi.org/10.1093/biomet/76.1.65

Journal articles | 1989

Kohn R; Ansley CF, 1989, 'Filtering and smoothing algorithms for state space models', Computers and Mathematics with Applications, 18, pp. 515 - 528, http://dx.doi.org/10.1016/0898-1221(89)90104-1

Journal articles | 1987

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

Journal articles | 1987

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

Journal articles | 1987

KOHN R; ANSLEY CF, 1987, 'NON-GAUSSIAN STATE-SPACE MODELING OF NONSTATIONARY TIME-SERIES - COMMENT', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 82, pp. 1041 - 1044, http://dx.doi.org/10.2307/2289376

Journal articles | 1987

KOHN R; ANSLEY CF, 1987, 'SIGNAL EXTRACTION FOR FINITE NONSTATIONARY TIME-SERIES', BIOMETRIKA, 74, pp. 411 - 421, http://dx.doi.org/10.2307/2336156

Journal articles | 1987

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

Journal articles | 1987

Kohn R; Ansley CF, 1987, 'Signal extraction for finite nonstationary time series', Biometrika, 74, pp. 411 - 421, http://dx.doi.org/10.1093/biomet/74.2.411

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1986

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

Journal articles | 1985

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

Journal articles | 1985

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

Journal articles | 1985

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

Journal articles | 1985

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

Journal articles | 1985

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

Journal articles | 1984

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

Journal articles | 1983

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

Journal articles | 1983

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

Journal articles | 1983

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

Journal articles | 1982

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

Journal articles | 1982

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

Journal articles | 1982

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

Journal articles | 1981

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

Journal articles | 1980

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

Journal articles | 1980

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

Journal articles | 1980

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

Journal articles | 1980

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

Journal articles | 1979

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

Journal articles | 1979

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

Journal articles | 1978

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

Journal articles | 1977

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
Working Papers | 2023

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

Working Papers | 2023

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

Working Papers | 2020

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

Working Papers | 2018

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

Working Papers | 2018

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

Working Papers | 2017

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

Working Papers | 2017

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
Conference Papers | 2024

Thompson R; Bonilla EV; Kohn R, 2024, 'Contextual Directed Acyclic Graphs', in Proceedings of Machine Learning Research, pp. 2872 - 2880

Preprints | 2024

Tseng Y-H; Tran M-N; Kohn R, 2024, Variational Bayesian Inference for Modelswith Nuisance Parameters and an Intractable Likelihood, http://dx.doi.org/10.21203/rs.3.rs-4487816/v1

Preprints | 2023

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

Preprints | 2023

Frazier DT; Kohn R; Drovandi C; Gunawan D, 2023, Reliable Bayesian Inference in Misspecified Models, http://arxiv.org/abs/2302.06031v1

Preprints | 2023

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

Preprints | 2023

Salomone R; Yu X; Nott DJ; Kohn R, 2023, Structured variational approximations with skew normal decomposable graphical models, http://arxiv.org/abs/2302.03348v1

Conference Papers | 2023

Thompson R; Dezfouli A; Kohn R, 2023, 'The Contextual Lasso: Sparse Linear Models via Deep Neural Networks', in Advances in Neural Information Processing Systems

Preprints | 2023

Thompson R; Dezfouli A; Kohn R, 2023, The Contextual Lasso: Sparse Linear Models via Deep Neural Networks, http://arxiv.org/abs/2302.00878v4

Preprints | 2023

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

Preprints | 2022

Botha I; Kohn R; South L; Drovandi C, 2022, Automatically adapting the number of state particles in SMC$^2$, http://arxiv.org/abs/2201.11354v2

Preprints | 2022

Yang Y; Quiroz M; Kohn R; Sisson SA, 2022, A correlated pseudo-marginal approach to doubly intractable problems, http://arxiv.org/abs/2210.02734v1

Conference Presentations | 2021

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

Preprints | 2021

Chin V; Beavan A; Fransen J; Mayer J; Kohn R; Ryan LM; Sisson SA, 2021, Modelling age-related changes in executive functions of soccer players, http://arxiv.org/abs/2105.01226v1

Preprints | 2021

Gunawan D; Chatterjee P; Kohn R, 2021, The Block-Correlated Pseudo Marginal Sampler for State Space Models, http://arxiv.org/abs/2109.14194v2

Preprints | 2021

Gunawan D; Kohn R; Nott D, 2021, Flexible Variational Bayes based on a Copula of a Mixture, http://arxiv.org/abs/2106.14392v4

Preprints | 2021

Munezero P; Villani M; Kohn R, 2021, Dynamic Mixture of Experts Models for Online Prediction, http://arxiv.org/abs/2109.11449v2

Preprints | 2021

Villani M; Quiroz M; Kohn R; Salomone R, 2021, Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes, http://arxiv.org/abs/2104.02134v2

Preprints | 2020

Balnozan I; Fiebig DG; Asher A; Kohn R; Sisson SA, 2020, Hidden Group Time Profiles: Heterogeneous Drawdown Behaviours in Retirement, http://arxiv.org/abs/2009.01505v2

Preprints | 2020

Gunawan D; Kohn R; Nott D, 2020, Variational Approximation of Factor Stochastic Volatility Models, http://arxiv.org/abs/2010.06738v2

Conference Papers | 2020

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

Conference Papers | 2020

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

Preprints | 2019

Botha I; Kohn R; Drovandi C, 2019, Particle Methods for Stochastic Differential Equation Mixed Effects Models, http://arxiv.org/abs/1907.11017v2

Preprints | 2019

Chin V; Lee JYL; Ryan LM; Kohn R; Sisson SA, 2019, Multiclass classification of growth curves using random change points and heterogeneous random effects, http://arxiv.org/abs/1909.07550v1

Preprints | 2019

Frazier DT; Nott DJ; Drovandi C; Kohn R, 2019, Bayesian inference using synthetic likelihood: asymptotics and adjustments, http://arxiv.org/abs/1902.04827v4

Preprints | 2019

Gunawan D; Hawkins GE; Kohn R; Tran M-N; Brown SD, 2019, Time-evolving psychological processes over repeated decisions, http://arxiv.org/abs/1906.10838v3

Preprints | 2019

Nguyen T-N; Tran M-N; Gunawan D; Kohn R, 2019, A Statistical Recurrent Stochastic Volatility Model for Stock Markets, http://arxiv.org/abs/1906.02884v3

Preprints | 2019

Salomone R; Quiroz M; Kohn R; Villani M; Tran M-N, 2019, Spectral Subsampling MCMC for Stationary Time Series, http://arxiv.org/abs/1910.13627v2

Preprints | 2019

Tran M-N; Scharth M; Gunawan D; Kohn R; Brown SD; Hawkins GE, 2019, Robustly estimating the marginal likelihood for cognitive models via importance sampling, http://arxiv.org/abs/1906.06020v2

Preprints | 2019

Wall L; Gunawan D; Brown SD; Tran M-N; Kohn R; Hawkins GE, 2019, Identifying relationships between cognitive processes across tasks, contexts, and time, http://arxiv.org/abs/1910.07185v2

Preprints | 2018

Chin V; Gunawan D; Fiebig DG; Kohn R; Sisson SA, 2018, Efficient data augmentation for multivariate probit models with panel data: An application to general practitioner decision-making about contraceptives, http://dx.doi.org/10.1111/rssc.12393

Preprints | 2018

Gunawan D; Dang K-D; Quiroz M; Kohn R; Tran M-N, 2018, Subsampling Sequential Monte Carlo for Static Bayesian Models, http://arxiv.org/abs/1805.03317v3

Preprints | 2018

Gunawan D; Hawkins GE; Tran M-N; Kohn R; Brown S, 2018, New Estimation Approaches for the Hierarchical Linear Ballistic Accumulator Model, http://dx.doi.org/10.48550/arxiv.1806.10089

Preprints | 2018

Gunawan D; Kohn R; Tran MN, 2018, Robust Particle Density Tempering for State Space Models, http://dx.doi.org/10.48550/arxiv.1805.00649

Preprints | 2018

Quiroz M; Villani M; Kohn R; Tran M-N; Dang K-D, 2018, Subsampling MCMC - An introduction for the survey statistician, http://arxiv.org/abs/1807.08409v4

Preprints | 2018

Tran M-N; Nguyen N; Nott D; Kohn R, 2018, Bayesian Deep Net GLM and GLMM, http://arxiv.org/abs/1805.10157v1

Preprints | 2018

Xu M; Quiroz M; Kohn R; Sisson SA, 2018, Variance reduction properties of the reparameterization trick, http://arxiv.org/abs/1809.10330v3

Preprints | 2017

Dang K-D; Quiroz M; Kohn R; Tran M-N; Villani M, 2017, Hamiltonian Monte Carlo with Energy Conserving Subsampling, http://arxiv.org/abs/1708.00955v3

Preprints | 2017

Gunawan D; Tran M-N; Kohn R, 2017, Fast Inference for Intractable Likelihood Problems using Variational Bayes, http://arxiv.org/abs/1705.06679v1

Preprints | 2016

Quiroz M; Tran M-N; Villani M; Kohn R; Dang K-D, 2016, The block-Poisson estimator for optimally tuned exact subsampling MCMC, http://dx.doi.org/10.48550/arxiv.1603.08232

Preprints | 2015

Mendes EF; Scharth M; Kohn R, 2015, Markov Interacting Importance Samplers, http://arxiv.org/abs/1502.07039v2

Preprints | 2015

Quiroz M; Tran M-N; Villani M; Kohn R, 2015, Speeding Up MCMC by Delayed Acceptance and Data Subsampling, http://dx.doi.org/10.1080/10618600.2017.1307117

Preprints | 2015

Quiroz M; Villani M; Kohn R, 2015, Scalable MCMC for Large Data Problems using Data Subsampling and the Difference Estimator, http://arxiv.org/abs/1507.02971v3

Preprints | 2015

Tran M-N; Nott DJ; Kohn R, 2015, Variational Bayes with Intractable Likelihood, http://arxiv.org/abs/1503.08621v2

Preprints | 2014

Mendes EF; Carter CK; Gunawan D; Kohn R, 2014, A flexible Particle Markov chain Monte Carlo method, http://dx.doi.org/10.48550/arxiv.1401.1667

Preprints | 2014

Quiroz M; Kohn R; Villani M; Tran M-N, 2014, Speeding Up MCMC by Efficient Data Subsampling, http://dx.doi.org/10.1080/01621459.2018.1448827

Preprints | 2013

Nott DJ; Tran M-N; Kuk AYC; Kohn R, 2013, Efficient variational inference for generalized linear mixed models with large datasets, http://arxiv.org/abs/1307.7963v2

Preprints | 2013

Pitt MK; Tran M-N; Scharth M; Kohn R, 2013, On the existence of moments for high dimensional importance sampling, http://arxiv.org/abs/1307.7975v1

Preprints | 2013

Scharth M; Kohn R, 2013, Particle Efficient Importance Sampling, http://arxiv.org/abs/1309.6745v1

Preprints | 2013

Tran M-N; Giordani P; Mun X; Kohn R; Pitt M, 2013, Copula-type Estimators for Flexible Multivariate Density Modeling using Mixtures, http://arxiv.org/abs/1306.3033v1

Preprints | 2013

Tran M-N; Pitt MK; Kohn R, 2013, Adaptive Metropolis-Hastings Sampling using Reversible Dependent Mixture Proposals, http://dx.doi.org/10.48550/arxiv.1305.2634

Preprints | 2013

Tran M-N; Scharth M; Pitt MK; Kohn R, 2013, Importance sampling squared for Bayesian inference in latent variable models, http://dx.doi.org/10.48550/arxiv.1309.3339

Preprints | 2012

Doucet A; Pitt M; Deligiannidis G; Kohn R, 2012, Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator, http://dx.doi.org/10.48550/arxiv.1210.1871

Preprints | 2012

Peters GW; Dong AXD; Kohn R, 2012, A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving, http://arxiv.org/abs/1210.3849v4

Preprints | 2010

Silva R; Kohn R; Giordani P; Mun X, 2010, A copula based approach to adaptive sampling, http://dx.doi.org/10.48550/arxiv.1002.4775

Preprints | 2009

Giordani P; Mun X; Kohn R, 2009, Flexible Multivariate Density Estimation with Marginal Adaptation, http://dx.doi.org/10.48550/arxiv.0901.0225

Conference Papers | 2008

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

Preprints | 2007

Cottet R; Kohn R; Nott D, 2007, Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models, http://dx.doi.org/10.48550/arxiv.0707.2158

Conference Papers | 2007

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

Preprints | 2007

Wood S; Kohn R; Cottet R; Jiang W; Tanner M, 2007, Locally Adaptive Nonparametric Binary Regression, http://dx.doi.org/10.48550/arxiv.0709.3545

Conference Papers | 1994

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

Conference Papers | 1990

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

Preprints |

Chan DX; Kohn R; Nott DJ; Kirby C, Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models, http://dx.doi.org/10.2139/ssrn.878225

Preprints |

Cottet R; Kohn R; Nott DJ, Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models, http://dx.doi.org/10.2139/ssrn.1000681

Preprints |

Cripps EJ; Kohn R; Nott DJ, Bayesian Subset Selection and Model Averaging using a Centered and Dispersed Prior for the Error Variance, http://dx.doi.org/10.2139/ssrn.879481

Preprints |

Giordani P; Kohn R; Mun X, Flexible Multivariate Density Estimation with Marginal Adaptation, http://dx.doi.org/10.2139/ssrn.1342419

Preprints |

Giordani P; Kohn R; van Dijk DJC, A Unified Approach to Nonlinearity, Structural Change, and Outliers, http://dx.doi.org/10.2139/ssrn.738865

Preprints |

Giordani P; Kohn R, Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals, http://dx.doi.org/10.2139/ssrn.1082955

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Giordani P; Kohn R, Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models, http://dx.doi.org/10.2139/ssrn.738894

Preprints |

Gu Y; Fiebig DG; Cripps EJ; Kohn R, Bayesian Estimation of a Random Effects Heteroscedastic Probit Model, http://dx.doi.org/10.2139/ssrn.1260140

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Kohn R; Li F; Villani M, Modeling Conditional Densities Using Finite Smooth Mixtures, http://dx.doi.org/10.2139/ssrn.1711194

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Li F; Villani M; Kohn R, Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities, http://dx.doi.org/10.2139/ssrn.1551195

Preprints |

Mendes EF; Scharth M; Kohn R, Markov Interacting Importance Samplers, http://dx.doi.org/10.2139/ssrn.2569488

Preprints |

Peters GW; Kohn R, A Copula Based Bayesian Approach for PaiddIncurred Claims Models for Non-Life Insurance Reserving, http://dx.doi.org/10.2139/ssrn.2980405

Preprints |

Quiroz M; Villani M; Kohn R, Scalable MCMC for Large Data Problems Using Data Subsampling and the Difference Estimator, http://dx.doi.org/10.2139/ssrn.2706410

Preprints |

Quiroz M; Villani M; Kohn R, Speeding Up MCMC by Efficient Data Subsampling, http://dx.doi.org/10.2139/ssrn.2592889

Preprints |

Scharth M; Kohn R, Particle Efficient Importance Sampling, http://dx.doi.org/10.2139/ssrn.2331232

Preprints |

Smith MN; Sheather S; Kohn R, Finite Sample Performance of Robust Bayesian Regression, http://dx.doi.org/10.2139/ssrn.41540

Preprints |

Smith MS; Gan Q; Kohn R, Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications, http://dx.doi.org/10.2139/ssrn.1671816

Preprints |

Tran M-N; Scharth M; Pitt MK; Kohn R, Importance Sampling Squared for Bayesian Inference in Latent Variable Models, http://dx.doi.org/10.2139/ssrn.2386371

Preprints |

Villani M; Kohn R; Giordani P, Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures, http://dx.doi.org/10.2139/ssrn.1024701

Preprints |

Wood SA; Kohn R; Cottet R; Jiang W; Tanner M, Locally Adaptive Nonparametric Binary Regression, http://dx.doi.org/10.2139/ssrn.1000861

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Scientia Professor Robert Kohn