← All authors Mattias Villani Stockholm University (per OpenAlex) · ORCID · OpenAlex
40 papers in scope · 40 published · 1 on the econ.EM arXiv · 2,335 citations · h-index 20 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Luca Attolico Pär Stockhammar Oskar Gustafsson Zhengyuan Zhu Zhenzhong Wang Cindy Yu Philippe Goulet Coulombe Nicolaj Søndergaard Mühlbach Maxime Leroux Dalibor Stevanović Daniel Borup Bent Jesper Christensen Stéphane Surprenant Mikkel Slot Nielsen Maximilian Goebel Maximilian Göbel Karin Klieber Eduardo Mendes Massimiliano Marcellino Marcelo C. Medeiros Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 40)
Time-Varying Multi-Seasonal AR Models
published 2026 · Journal of Computational and Graphical Statistics · first circulated 2024
with Ganna Fagerberg, Robert Kohn
The Block-Correlated Pseudo Marginal Sampler for State Space Models
published 2024 · Journal of Business and Economic Statistics · 12 citations · first circulated 2016
Local prediction pools
published 2023 · Journal of Forecasting
published 2023 · Journal of Applied Econometrics · 7 citations · first circulated 2020
Dynamic Mixture of Experts Models for Online Prediction
published 2022 · Technometrics · 3 citations · first circulated 2021
Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes
published 2022 · Econometrics and Statistics · 7 citations · first circulated 2019
The Debiased Spatial Whittle Likelihood
published 2022 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 17 citations · first circulated 2019
A multilayered block network model to forecast large dynamic transportation graphs: An application to US air transport
published 2022 · Transportation Research Part C Emerging Technologies · 16 citations · first circulated 2019
with Héctor Rodríguez-Déniz, Augusto Voltes-Dorta
The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC
published 2021 · Journal of Computational and Graphical Statistics · 11 citations · first circulated 2016
DOLDA: a regularized supervised topic model for high-dimensional multi-class regression
published 2019 · Computational Statistics · 8 citations · first circulated 2016
with Måns Magnusson, Leif Jonsson, Leif Jönsson
Real-Time Robotic Search using Structural Spatial Point Processes
published 2019 · Uncertainty in Artificial Intelligence · 4 citations
with Olov Andersson, Per Sidén, Johan Dahlin, Patrick Doherty
Subsampling MCMC - an Introduction for the Survey Statistician
published 2018 · Sankhya A · 18 citations
Tree ensembles with rule structured horseshoe regularization
published 2018 · The Annals of Applied Statistics · 1 citations
with Malte Nalenz
Efficient Covariance Approximations for Large Sparse Precision Matrices
published 2018 · Journal of Computational and Graphical Statistics · 17 citations · first circulated 2017
with Per Sidén, Finn Lindgren, David Bolin
Speeding Up MCMC by Efficient Data Subsampling
published 2018 · Journal of the American Statistical Association · 160 citations · first circulated 2014
Sparse Partially Collapsed MCMC for Parallel Inference in Topic Models
published 2017 · Journal of Computational and Graphical Statistics · 15 citations · first circulated 2015
with Måns Magnusson, Leif Jonsson, David Broman, Leif Jönsson
Speeding up MCMC by Delayed Acceptance and Data Subsampling
published 2017 · Journal of Computational and Graphical Statistics · 45 citations · first circulated 2015
Fast Bayesian whole-brain fMRI analysis with spatial 3D priors
published 2016 · NeuroImage · 45 citations
with Per Sidén, Anders Eklund, David Bolin, Finn Lindgren, Anders Eklúnd
Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios
published 2014 · Journal of Financial and Quantitative Analysis · 28 citations · first circulated 2011
with Paolo Giordani, Tor Jacobson, Erik von Schedvin, Erik L. von Schedvin
Generalized smooth finite mixtures
published 2012 · Journal of Econometrics · 35 citations
Regression Density Estimation With Variational Methods and Stochastic Approximation
published 2012 · Journal of Computational and Graphical Statistics · 43 citations
Bayesian Inference in Structural Second-Price Common Value Auctions
published 2011 · Journal of Business and Economic Statistics · 3 citations · first circulated 2010
with Bertil Wegmann
Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities
published 2010 · Journal of Statistical Planning and Inference · 40 citations · first circulated 2009
Forecasting macroeconomic time series with locally adaptive signal extraction
published 2010 · International Journal of Forecasting · 28 citations · first circulated 2009
with Paolo Giordani
Regression density estimation using smooth adaptive Gaussian mixtures
published 2009 · Journal of Econometrics · 86 citations · first circulated 2007
Steady‐state priors for vector autoregressions
published 2009 · Journal of Applied Econometrics · 217 citations
EMPIRICAL PROPERTIES OF CLOSED-AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
published 2008 · Macroeconomic Dynamics · 41 citations
with Malin Adolfson, Stefan Laséen, Jesper Lindé
Evaluating an estimated new Keynesian small open economy model
published 2007 · Journal of Economic Dynamics and Control · 123 citations · first circulated 2005
with Malin Adolfson, Stefan Laséen, Jesper Lindé
Bayesian estimation of an open economy DSGE model with incomplete pass-through
published 2007 · Journal of International Economics · 806 citations · first circulated 2006
with Malin Adolfson, Stefan Laséen, Jesper Lindé
Forecasting Performance of an Open Economy DSGE Model
published 2007 · Econometric Reviews · 171 citations
with Malin Adolfson, Jesper Lindé
Bayesian Analysis of DSGE Models—Some Comments
published 2007 · Econometric Reviews · 9 citations
with Malin Adolfson, Jesper Lindé
Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open‐Economy Model *
published 2005 · International Finance · 19 citations
with Malin Adolfson, Stefan Laséen, Jesper Lindé
A Bayesian Approach to Modelling Graphical Vector Autoregressions
published 2005 · Journal of Time Series Analysis · 36 citations · first circulated 2004
with Jukka Corander
Bayesian point estimation of the cointegration space
published 2005 · Journal of Econometrics · 34 citations
The Role of Sticky Prices in an Open Economy Dsge Model: A Bayesian Investigation
published 2005 · Journal of the European Economic Association · 66 citations
with Malin Adolfson, Stefan Laséen, Jesper Lindé, Laséen
BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
published 2005 · Econometric Theory · 68 citations
Bayesian assessment of dimensionality in reduced rank regression
published 2004 · Statistica Neerlandica · 23 citations
with Jukka Corander
Bayesian prediction with cointegrated vector autoregressions
published 2001 · International Journal of Forecasting · 40 citations · first circulated 1999
A distance measure between cointegration spaces
published 2001 · Economics Letters · 16 citations
with Rolf Larsson
Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
published 2001 · Journal of Time Series Analysis · 17 citations
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