← All authors Robert Kohn The University of Sydney (from arXiv:2302.08002, 2023) · ORCID · OpenAlex
151 papers in scope · 148 published · 6 on the econ.EM arXiv · 8,404 citations · h-index 42 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Minh-Ngoc Tran Chen Liu Chao Wang Tra Ngoc Vy Nguyen Adam Clements Christopher Drovandi Dan Li Martin Magris Alexandros Iosifidis Haoyuan Wang Slawek Smyl Kasun Bandara Richard Gerlach Yasin Şimşek Andrew J. Patton Ruy M. Ribeiro Diego S. de Brito Rafael Alves Trong Nghia-Nguyen Darjus Hosszejni 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 (6 of 151)
Analysing symbolic data by pseudo-marginal methods
published 2026 · Statistics and Computing · first circulated 2024
Time-Varying Multi-Seasonal AR Models
published 2026 · Journal of Computational and Graphical Statistics · first circulated 2024
Variational Bayesian inference for models with nuisance parameters and an intractable likelihood
published 2025 · Statistics and Computing · 1 citations
Bayesian inference for evidence accumulation models with regressors.
published 2025 · Psychological Methods · first circulated 2023
A long short-term memory enhanced realized conditional heteroskedasticity model
published 2024 · Economic Modelling · 5 citations
Particle MCMC and the correlated particle hybrid sampler for state space models
published 2024 · Journal of Econometrics · 1 citations · first circulated 2018
published 2024 · Journal of money credit and banking · 4 citations · first circulated 2020
Structured Variational Approximations with Skew Normal Decomposable Graphical Models and Implicit Copulas
published 2024 · Journal of Computational and Graphical Statistics · 6 citations · first circulated 2023
The Block-Correlated Pseudo Marginal Sampler for State Space Models
published 2024 · Journal of Business and Economic Statistics · 12 citations · first circulated 2016
Flexible Variational Bayes Based on a Copula of a Mixture
published 2023 · Journal of Computational and Graphical Statistics · 6 citations · first circulated 2021
working paper 2023 · arXiv
Automatically adapting the number of state particles in SMC$$^2$$
published 2023 · Statistics and Computing · 1 citations · first circulated 2022
working paper 2023 · arXiv · 1 citations
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
Flexible and Robust Particle Tempering for State Space Models
published 2022 · Econometrics and Statistics · 8 citations · first circulated 2018
Gaussian Variational Approximations for High-dimensional State Space Models
published 2022 · Bayesian Analysis · 18 citations · first circulated 2018
The Debiased Spatial Whittle Likelihood
published 2022 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 17 citations · first circulated 2019
Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments
published 2022 · Journal of the American Statistical Association · 38 citations · first circulated 2019
published 2022 · Journal of Applied Econometrics · 13 citations · first circulated 2020
Variational Bayes
published 2022 · Wiley StatsRef: Statistics Reference Online · 4 citations
published 2022 · Journal of Business and Economic Statistics · 13 citations · first circulated 2019
Variational Bayes approximation of factor stochastic volatility models
published 2021 · International Journal of Forecasting · 21 citations · first circulated 2020
The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC
published 2021 · Journal of Computational and Graphical Statistics · 11 citations · first circulated 2016
Subsampling sequential Monte Carlo for static Bayesian models
published 2020 · Statistics and Computing · 9 citations
working paper 2020 · arXiv
Particle Methods for Stochastic Differential Equation Mixed Effects Models
published 2020 · Bayesian Analysis · 5 citations · first circulated 2019
New estimation approaches for the hierarchical Linear Ballistic Accumulator model
published 2020 · Journal of Mathematical Psychology · 12 citations · first circulated 2018
A flexible particle Markov chain Monte Carlo method
published 2020 · Statistics and Computing · 8 citations · first circulated 2014
Bayesian Deep Net GLM and GLMM
published 2019 · Journal of Computational and Graphical Statistics · 2 citations
Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
published 2018 · Statistics and Computing · 20 citations · first circulated 2016
Subsampling MCMC - an Introduction for the Survey Statistician
published 2018 · Sankhya A · 18 citations
Mixed Marginal Copula Modeling
published 2018 · Journal of Business and Economic Statistics · 11 citations · first circulated 2016
Speeding Up MCMC by Efficient Data Subsampling
published 2018 · Journal of the American Statistical Association · 160 citations · first circulated 2014
Variational Bayes With Intractable Likelihood
published 2017 · Journal of Computational and Graphical Statistics · 91 citations · first circulated 2015
Speeding up MCMC by Delayed Acceptance and Data Subsampling
published 2017 · Journal of Computational and Graphical Statistics · 45 citations · first circulated 2015
Particle efficient importance sampling
published 2015 · Journal of Econometrics · 27 citations · first circulated 2013
with Marcel Scharth
A duality formula for Feynman–Kac path particle models
published 2015 · Comptes Rendus Mathématique · 3 citations
with Pierre Del Moral, Frédéric Patras
Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
published 2015 · Biometrika · 276 citations · first circulated 2012
with Arnaud Doucet, M. Pitt, George Deligiannidis
Parallel Variational Bayes for Large Datasets With an Application to Generalized Linear Mixed Models
published 2015 · Journal of Computational and Graphical Statistics · 14 citations
A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving
published 2014 · Insurance Mathematics and Economics · 6 citations · first circulated 2012
with Gareth W. Peters, Alice X. D. Dong
Adaptive Metropolis–Hastings sampling using reversible dependent mixture proposals
published 2014 · Statistics and Computing · 6 citations · first circulated 2013
Bayesian inference for nonlinear structural time series models
published 2014 · Journal of Econometrics · 17 citations · first circulated 2012
with Jamie Hall, M. Pitt
Copula-Type Estimators for Flexible Multivariate Density Modeling Using Mixtures
published 2013 · Journal of Computational and Graphical Statistics · 9 citations
Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage
published 2012 · Journal of Financial Econometrics · 1 citations
with Paolo Giordani, Xiuyan Mun
Flexible Multivariate Density Estimation With Marginal Adaptation
published 2012 · Journal of Computational and Graphical Statistics · 10 citations · first circulated 2008
On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
published 2012 · Journal of Econometrics · 272 citations
with M. Pitt, Ralph dos Santos Silva, Paolo Giordani, Ralph Silva
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
Discussion of “Fast sparse regression and classification” by Jerome Friedman
published 2012 · International Journal of Forecasting
Simultaneous variable selection and component selection for regression density estimation with mixtures of heteroscedastic experts
published 2012 · Electronic Journal of Statistics · 14 citations
Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach
published 2011 · Journal of Multivariate Analysis · 6 citations
with Chris Carter, Frederick Wong
Bayesian Mixtures of Autoregressive Models
published 2010 · Journal of Computational and Graphical Statistics · 30 citations
with Sally Wood, Ori Rosen
Modelling dependence using skew t copulas: Bayesian inference and applications
published 2010 · Journal of Applied Econometrics · 112 citations
with Michael S. Smith, Quan Gan
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
Adaptive Independent Metropolis–Hastings by Fast Estimation of Mixtures of Normals
published 2010 · Journal of Computational and Graphical Statistics · 91 citations · first circulated 2008
with Paolo Giordani
Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models
published 2009 · Econometric Reviews · 2 citations
Bayesian variable selection and model averaging in the arbitrage pricing theory model
published 2009 · Computational Statistics & Data Analysis · 23 citations
with Rachida Ouysse
Nonparametric estimation of the distribution function in contingent valuation models
published 2009 · Bayesian Analysis · 4 citations
Bayesian estimation of a random effects heteroscedastic probit model
published 2009 · Econometrics Journal · 13 citations · first circulated 2008
Regression density estimation using smooth adaptive Gaussian mixtures
published 2009 · Journal of Econometrics · 86 citations · first circulated 2007
Multivariate probit models for conditional claim-types
published 2008 · Insurance Mathematics and Economics · 47 citations
Bayesian covariance matrix estimation using a mixture of decomposable graphical models
published 2008 · Statistics and Computing · 7 citations · first circulated 2005
with Helen Armstrong, Chris Carter, Kin Foon Kevin Wong, Helen Jean Armstrong, Kevin Wong
Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
published 2008 · Journal of the American Statistical Association · 28 citations · first circulated 2007
Locally Adaptive Nonparametric Binary Regression
published 2008 · Journal of Computational and Graphical Statistics · 11 citations · first circulated 2007
with Sally Wood, Remy Cottet, Wenxin Jiang, Martin A. Tanner
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
published 2007 · Journal of Business and Economic Statistics · 43 citations · first circulated 2005
with Paolo Giordani
A general approach to heteroscedastic linear regression
published 2007 · Statistics and Computing · 49 citations
Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models
published 2006 · Journal of Computational and Graphical Statistics · 29 citations
Efficient Bayesian inference for Gaussian copula regression models
published 2006 · Biometrika · 265 citations
with M. Pitt, David Chan
Multivariate Stochastic Volatility Models with Correlated Errors
published 2006 · Econometric Reviews · 35 citations · first circulated 2005
with David Chan, Chris Kirby
BAYESIAN SUBSET SELECTION AND MODEL AVERAGING USING A CENTRED AND DISPERSED PRIOR FOR THE ERROR VARIANCE
published 2006 · Australian & New Zealand Journal of Statistics · 8 citations
A unified approach to nonlinearity, structural change, and outliers
published 2006 · Journal of Econometrics · 105 citations · first circulated 2005
with Paolo Giordani, Dick van Dijk
Adaptive sampling for Bayesian variable selection
published 2005 · Biometrika · 105 citations
Estimation and variable selection in nonparametric heteroscedastic regression
published 2003 · Statistics and Computing · 26 citations
with Paul Yau
Bayesian Variable Selection and Model Averaging in High-Dimensional Multinomial Nonparametric Regression
published 2003 · Journal of Computational and Graphical Statistics · 54 citations
with Paul Yau, Sally Wood
Parsimonious Covariance Matrix Estimation for Longitudinal Data
published 2002 · Journal of the American Statistical Association · 198 citations
with Michael S. Smith
Dissecting the Random Component of Utility
published 2002 · Marketing Letters · 216 citations
Estimating Long‐term Trends in Tropospheric Ozone Levels
published 2002 · International Statistical Review · 5 citations
with Michael S. Smith, Paul Yau, Thomas S. Shively, Tom Shively
Optimal Volume of Environmentally Damaging Trade
published 2002 · Scottish Journal of Political Economy
with Peter D. Capen
Model Selection in Spline Nonparametric Regression
published 2002 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 37 citations
with Sally Wood, Tom Shively, Wenxin Jiang
Nonparametric regression using linear combinations of basis functions
published 2001 · Statistics and Computing · 185 citations
with Michael S. Smith, David Chan
Statistical Correction of a Deterministic Numerical Weather Prediction Model
published 2001 · Journal of the American Statistical Association · 16 citations
Nonparametric seemingly unrelated regression
published 2000 · Journal of Econometrics · 97 citations · first circulated 1998
with Michael S. Smith
Bayesian Semiparametric Regression
published 2000 · Journal of Business Research · 11 citations
with Michael S. Smith, Sharat K. Mathur
Efficient Bayesian Inference for Dynamic Mixture Models
published 2000 · Journal of the American Statistical Association · 156 citations
A Nonparametric Approach to Identifying Latent Relationships in Hierarchical Models
published 2000 · Marketing Science · 22 citations
with Thomas S. Shively, Greg M. Allenby
Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior: Rejoinder
published 1999 · Journal of the American Statistical Association · 90 citations
with Thomas S. Shively, Sally Wood, Sally L. Wood
Rejoinder
published 1999 · Journal of the American Statistical Association
with Thomas S. Shively, Sally L. Wood
Diagnostics for Time Series Analysis
published 1999 · Journal of Time Series Analysis · 55 citations
Additive Nonparametric Regression With Autocorrelated Errors
published 1998 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 42 citations · first circulated 1996
with Michael S. Smith, Chi-Ming Wong
A Bayesian Approach to Robust Binary Nonparametric Regression
published 1998 · Journal of the American Statistical Association · 67 citations
with Sally Wood
A Bayesian Approach to Nonparametric Bivariate Regression
published 1997 · Journal of the American Statistical Association · 45 citations
with Michael S. Smith
Simple Transformation Techniques for Improved Non‐parametric Regression
published 1997 · Scandinavian Journal of Statistics · 24 citations
with Byeong U. Park, W. C. Kim, David Ruppert, M. C. Jones, D. F. Signorini
Semiparametric Bayesian Inference for Time Series with Mixed Spectra
published 1997 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 66 citations
with Chris Carter
ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
published 1997 · Journal of Time Series Analysis · 38 citations
with Glen Barnett, Simon J. Sheather
A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
published 1997 · Journal of Econometrics · 17 citations
with Thomas S. Shively
Nonparametric regression using Bayesian variable selection
published 1996 · Journal of Econometrics · 593 citations
with Michael S. Smith
Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
published 1996 · Journal of Econometrics · 107 citations
with Glen Barnett, Simon J. Sheather
A Bayesian approach to additive semiparametric regression
published 1996 · Journal of Econometrics · 35 citations
with Chi-Ming Wong
A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
published 1996 · Journal of Time Series Analysis · 17 citations
with Chi-Ming Wong
Markov chain Monte Carlo estimation of autoregressive models with application to metal pollutant concentration in sludge
published 1995 · Mathematical and Computer Modelling · 3 citations
with Glen Barnett, Simon J. Sheather, Jennifer L. Wong
Convergence of the backfitting algorithm for additive models
published 1994 · Journal of the Australian Mathematical Society Series A Pure Mathematics and Statistics · 27 citations
with Craig F. Ansley
Testing for linearity in a semiparametric regression model
published 1994 · Journal of Econometrics · 8 citations
with Thomas S. Shively, Craig F. Ansley
On Gibbs sampling for state space models
published 1994 · Biometrika · 1982 citations
with Chris Carter
Accuracy and efficiency of alternative spline smoothing algorithms
published 1993 · Journal of Statistical Computation and Simulation · 3 citations
with Craig F. Ansley
Nonparametric spline regression with prior information
published 1993 · Biometrika · 73 citations
with Craig F. Ansley, Chi-Ming Wong
Algorithm AS 279: Computing p-Values for the Generalized Durbin-Watson Statistic and Residual Autocorrelations in Regression
published 1993 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 6 citations
with Thomas S. Shively, Craig F. Ansley
The estimation of error standard deviation in spline regression
published 1992 · Journal of Statistical Computation and Simulation · 1 citations
with Craig F. Ansley, Chi-Ming Wong
Computing p-values for the generalized Durbin-Watson and other invariant test statistics
published 1992 · Journal of Econometrics · 27 citations
with Craig F. Ansley, Thomas S. Shively
Nonparametric spline regression with autoregressive moving average errors
published 1992 · Biometrika · 64 citations
with Craig F. Ansley, Chi-Ming Wong
The Performance of Cross-Validation and Maximum Likelihood Estimators of Spline Smoothing Parameters
published 1991 · Journal of the American Statistical Association · 80 citations
with Craig F. Ansley, David Tharm
A Signal Extraction Approach to the Estimation of Treatment and Control Curves
published 1991 · Journal of the American Statistical Association · 6 citations
with Craig F. Ansley
Fast Evaluation of the Distribution of the Durbin-Watson and other Invariant Test Statistics in Time Series Regression
published 1990 · Journal of the American Statistical Association · 41 citations
with Thomas S. Shively, Craig F. Ansley
FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
published 1990 · Journal of Time Series Analysis · 52 citations
with Craig F. Ansley
A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS
published 1990 · Journal of Time Series Analysis · 3 citations
with Craig F. Ansley
The nonparametric estimation of growth curves
published 1990 · Mathematics and Computers in Simulation
with Craig F. Ansley
Discussion: Linear Smoothers and Additive Models
published 1989 · The Annals of Statistics · 1 citations
with Craig F. Ansley
A fast algorithm for signal extraction, influence and cross-validation in state space models
published 1989 · Biometrika · 113 citations
with Craig F. Ansley
Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment
published 1987 · Journal of the American Statistical Association · 11 citations
with Craig F. Ansley
Comment
published 1987 · Journal of the American Statistical Association · 4 citations
with Craig F. Ansley
Efficient generalized cross-validation for state space models
published 1987 · Biometrika · 23 citations
with Craig F. Ansley
Signal extraction for finite nonstationary time series
published 1987 · Biometrika · 32 citations
with Craig F. Ansley
Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
published 1986 · Journal of the American Statistical Association · 218 citations
with Craig F. Ansley
Spline smoothing with repeated values
published 1986 · Journal of Statistical Computation and Simulation · 3 citations
with Craig F. Ansley
A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
published 1986 · Journal of Statistical Computation and Simulation · 36 citations
with Craig F. Ansley
Prediction mean squared error for state space models with estimated parameters
published 1986 · Biometrika · 72 citations
with Craig F. Ansley
On the equivalence of two stochastic approaches to spline smoothing
published 1986 · Journal of Applied Probability · 13 citations
with Craig F. Ansley
Fast filtering for seasonal moving average models
published 1986 · Biometrika · 1 citations
with Craig F. Ansley
Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions
published 1985 · The Annals of Statistics · 236 citations
with Craig F. Ansley
Computing the likelihood and its dierivatives for a gaussian ARMA model
published 1985 · Journal of Statistical Computation and Simulation · 19 citations
with Craig F. Ansley
A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
published 1985 · Journal of Statistical Computation and Simulation · 16 citations
with Craig F. Ansley
Efficient estimation and prediction in time series regression models
published 1985 · Biometrika · 50 citations
with Craig F. Ansley
On the rate of convergence of the innovation representation of a moving average process
published 1985 · Biometrika · 2 citations
with Craig F. Ansley
A note on Kalman filtering for the seasonal moving average model
published 1984 · Biometrika · 3 citations
with Craig F. Ansley
On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise
published 1983 · The Annals of Statistics · 18 citations
with Craig F. Ansley
Consistent Estimation of Minimal Subset Dimension
published 1983 · Econometrica · 18 citations
Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
published 1983 · Biometrika · 98 citations
with Craig F. Ansley
Fixed interval estimation in state space models when some of the data are missing or aggregated
published 1983 · Biometrika · 37 citations
with Craig F. Ansley
A note on obtaining the theoretical autocovariances of an ARMA process
published 1982 · Journal of Statistical Computation and Simulation · 28 citations
with Craig F. Ansley
When is an aggregate of a time series efficiently forecast by its past?
published 1982 · Journal of Econometrics · 78 citations
A geometrical derivation of the fixed interval smoothing algorithm
published 1982 · Biometrika · 64 citations
with Craig F. Ansley
On nesting do loops to any depth
published 1981 · Journal of Statistical Computation and Simulation · 1 citations
A note on an alternative derivation of the likelihood of an autoregressive moving average process
published 1981 · Economics Letters · 3 citations
Local identification of ARMAX structures subject to nonlinear constraints
published 1980 · Metrika · 1 citations
On the spectral decomposition of stationary time series using walsh functions. II
published 1980 · Advances in Applied Probability · 28 citations
Identification Results for Armax Structures
published 1979 · Econometrica · 41 citations
Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
published 1979 · Econometrica · 55 citations
On the Relative Efficiency of Two Methods of Estimating a Dynamic Simultaneous Equations Model
published 1979 · International Economic Review · 1 citations
Local and global identification and strong consistency in time series models
published 1978 · Journal of Econometrics · 13 citations
Asymptotic properties of time domain gaussian estimators
published 1978 · Advances in Applied Probability · 22 citations
Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average process
published 1977 · Biometrika · 7 citations
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