← All authors Nicholas G. Polson University of Chicago (from arXiv:2509.05823, 2025) · OpenAlex
86 papers in scope · 83 published · 4 on the econ.EM arXiv · 9,936 citations · h-index 32 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jingyu He Guanhao Feng Kevin Li Nikolaos Ignatiadis David J. Nott Christian Hansen Daniel Jacob Victor Chernozhukov Susan Athey Martin Spindler Sid Kankanala Ye Luo Maria Nareklishvili Vadim Sokolov Xinkun Nie Guido W. Imbens Aldo Gael Carranza Daniel Chen Ruoxuan Xiong Alexandre Belloni 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 (4 of 86)
Inverse Probability Weighting: From Survey Sampling to Evidence Estimation
published 2026 · The New England Journal of Statistics in Data Science
working paper 2025 · arXiv
Quantile importance sampling
published 2025 · Brazilian Journal of Probability and Statistics
Generative AI for Bayesian Computation
published 2025 · Entropy · 1 citations · first circulated 2023
Merging two cultures: Deep and statistical learning
published 2024 · Wiley Interdisciplinary Reviews Computational Statistics · 4 citations · first circulated 2021
On the Value of Chess Squares
published 2023 · Entropy · 3 citations
Deep Learning in Characteristics-Sorted Factor Models
published 2023 · Journal of Financial and Quantitative Analysis · 84 citations · first circulated 2018
Deep partial least squares for instrumental variable regression
published 2023 · Applied Stochastic Models in Business and Industry · 2 citations · first circulated 2022
working paper 2022 · arXiv
Data Augmentation for Bayesian Deep Learning
published 2022 · Bayesian Analysis · 6 citations
published 2022 · Applied Stochastic Models in Business and Industry · 1 citations · first circulated 2021
Regularizing Bayesian predictive regressions
published 2020 · Journal of Asset Management · 2 citations · first circulated 2016
Deep learning: Computational aspects
published 2020 · Wiley Interdisciplinary Reviews Computational Statistics
A family of multivariate non‐gaussian time series models
published 2020 · Journal of Time Series Analysis · 5 citations
with Tevfik Aktekin, Refik Soyer
Global-Local Mixtures: A Unifying Framework
published 2020 · Sankhya A · 1 citations
Horseshoe Regularisation for Machine Learning in Complex and Deep Models 1
published 2020 · International Statistical Review · 16 citations · first circulated 2019
The Horseshoe-Like Regularization for Feature Subset Selection
published 2019 · Sankhya B · 16 citations · first circulated 2017
Bayesian hypothesis testing: Redux
published 2019 · Brazilian Journal of Probability and Statistics · 1 citations
Lasso Meets Horseshoe: A Survey
published 2019 · Statistical Science · 5 citations
Deep Learning
published 2019 · Wiley StatsRef: Statistics Reference Online · 4 citations · first circulated 2018
Bayesian regularization: From Tikhonov to horseshoe
published 2019 · Wiley Interdisciplinary Reviews Computational Statistics · 41 citations
Deep learning for spatio‐temporal modeling: Dynamic traffic flows and high frequency trading
published 2018 · Applied Stochastic Models in Business and Industry · 15 citations · first circulated 2017
Statistical sparsity
published 2018 · Biometrika · 13 citations · first circulated 2017
with Peter McCullagh, Nicholas Polson
Rejoinder to “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns” Reply to the discussions by Nalini Ravishanker and Refik Soyer
published 2018 · Applied Stochastic Models in Business and Industry
working paper 2018 · arXiv · 23 citations
A deconvolution path for mixtures
published 2018 · Electronic Journal of Statistics · 5 citations · first circulated 2015
Deep Learning: A Bayesian Perspective
published 2017 · Bayesian Analysis · 122 citations
Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns
published 2017 · Applied Stochastic Models in Business and Industry · 5 citations
From Least Squares to Signal Processing and Particle Filtering
published 2017 · Technometrics · 19 citations
with Nozer D. Singpurwalla, Refik Soyer
Augmented probability simulation for accelerated life test design
published 2017 · Applied Stochastic Models in Business and Industry · 5 citations
with Refik Soyer
Deep learning for short-term traffic flow prediction
published 2017 · Transportation Research Part C Emerging Technologies · 1013 citations
Rejoinder to ‘Deep learning for finance: deep portfolios’
published 2017 · Applied Stochastic Models in Business and Industry · 26 citations
with J. B. Heaton, Nicholas Polson, Jan Hendrik Witte
Default Bayesian analysis with global-local shrinkage priors
published 2016 · Biometrika · 3 citations
The Horseshoe+ Estimator of Ultra-Sparse Signals
published 2016 · Bayesian Analysis · 19 citations
Proximal Algorithms in Statistics and Machine Learning
published 2015 · Statistical Science · 19 citations
with James G. Scott, Brandon T. Willard
Mixtures, Envelopes and Hierarchical Duality
published 2015 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 20 citations · first circulated 2014
with James G. Scott
Particle Learning for Fat-Tailed Distributions
published 2015 · Econometric Reviews · 10 citations
The implied volatility of a sports game
published 2015 · Journal of Quantitative Analysis in Sports · 7 citations
with Hal S. Stern
Bayesian estimation of nonlinear equilibrium models with random coefficients
published 2014 · Applied Stochastic Models in Business and Industry · 1 citations
with V. Brian Viard, Anne Gron
Sequential Learning, Predictability, and Optimal Portfolio Returns
published 2013 · The Journal of Finance · 226 citations
with Michael Johannes, Arthur G. Korteweg, Nicholas Polson
The Bayesian Bridge
published 2013 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 129 citations · first circulated 2011
with James G. Scott, Jesse Windle
Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables
published 2013 · Journal of the American Statistical Association · 962 citations · first circulated 2012
Bayesian Instrumental Variables: Priors and Likelihoods
published 2013 · Econometric Reviews · 40 citations
Analyzing Risky Choices: Q‐learning for Deal‐No‐Deal
published 2013 · Applied Stochastic Models in Business and Industry · 4 citations · first circulated 2011
with Laszlo Korsos
On the Half-Cauchy Prior for a Global Scale Parameter
published 2012 · Bayesian Analysis · 471 citations · first circulated 2011
with James G. Scott
Simulation-based Regularized Logistic Regression
published 2012 · Bayesian Analysis · 62 citations · first circulated 2010
with Robert B. Gramacy
Tracking Epidemics With Google Flu Trends Data and a State-Space SEIR Model
published 2012 · Journal of the American Statistical Association · 181 citations
Local Shrinkage Rules, Lévy Processes and Regularized Regression
published 2012 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 119 citations · first circulated 2010
with James G. Scott
Predictive Macro-Finance With Dynamic Partition Models
published 2011 · Journal of the American Statistical Association · 20 citations
with Daniel Zantedeschi, Paul Damien
Optimal portfolio choice and stochastic volatility
published 2011 · Applied Stochastic Models in Business and Industry · 18 citations
with Anne Gron, Bjørn Jorgensen
Data augmentation for support vector machines
published 2011 · Bayesian Analysis · 183 citations
with Steven L. Scott
Dynamic Trees for Learning and Design
published 2011 · Journal of the American Statistical Association · 118 citations · first circulated 2009
with Matthew A. Taddy, Robert B. Gramacy
A simulation‐based approach to stochastic dynamic programming
published 2011 · Applied Stochastic Models in Business and Industry · 9 citations
with Morten Sørensen
Rejoinder: "Data augmentation for support vector machines"
published 2011 · Bayesian Analysis · 6 citations
with Steven L. Scott
Discussion on ‘Adversarial risk analysis: Borel games’
published 2011 · Applied Stochastic Models in Business and Industry
with Nicholas Polson
Particle Learning of Gaussian Process Models for Sequential Design and Optimization
published 2011 · Journal of Computational and Graphical Statistics · 106 citations · first circulated 2009
with Robert B. Gramacy
Particle learning for general mixtures
published 2010 · Bayesian Analysis · 63 citations
Particle Learning and Smoothing
published 2010 · Statistical Science · 19 citations
Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
published 2009 · Review of Financial Studies · 200 citations
with Michael Johannes, Jonathan Stroud
Practical Filtering with Sequential Parameter Learning
published 2008 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 119 citations
with Jonathan Stroud, Peter Müller
MCMC maximum likelihood for latent state models
published 2006 · Journal of Econometrics · 98 citations
with Éric Jacquier, Michael Johannes, Nicholas Polson
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
published 2003 · Journal of Econometrics · 657 citations
with Éric Jacquier, Peter E. Rossi
Nonlinear State-Space Models With State-Dependent Variances
published 2003 · Journal of the American Statistical Association · 50 citations
with Jonathan Stroud, Peter Müller
The Impact of Jumps in Volatility and Returns
published 2003 · The Journal of Finance · 1574 citations · first circulated 2002
with Bjørn Eraker, Michael Johannes, Nicholas Polson
Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment
published 2003 · Journal of Business and Economic Statistics · 1 citations
with Michael Johannes, Nicholas Polson
no link
Bayesian Analysis of Stochastic Volatility Models
published 2002 · Journal of Business and Economic Statistics · 1411 citations · first circulated 1994
with Éric Jacquier, Peter E. Rossi
A Bayesian analysis of the multinomial probit model with fully identified parameters
published 2000 · Journal of Econometrics · 265 citations
with Robert E. McCulloch, Peter E. Rossi
Where Will Yahoo! Stock Be in Five Years?
published 2000 · CHANCE
with Jeffrey Yasumoto
Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970–1996
published 2000 · Journal of Business and Economic Statistics · 66 citations
with Bernard V. Tew
Memoryless Trading
published 2000 · The Journal of Risk Finance
with William Eckhardt
Investing in Leveraged Index Funds
published 1999 · The Journal of Risk Finance · 7 citations
with Jeffrey Yasumoto
Diagnostic Measures for Model Criticism
published 1996 · Journal of the American Statistical Association · 49 citations
with Cinzia Carota, Giovanni Parmigiani
Bayesian Inference.
published 1996 · Journal of the American Statistical Association · first circulated 1995
with MW, George C. Tiao
[Bayesian Analysis of Stochastic Volatility Models]: Reply
published 1994 · Journal of Business and Economic Statistics · 196 citations
with Éric Jacquier, Peter E. Rossi
Reply
published 1994 · Journal of Business and Economic Statistics · 1 citations
with Éric Jacquier, Peter E. Rossi
On the Geometric Convergence of the Gibbs Sampler
published 1994 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 112 citations
with Gareth O. Roberts
Bayes factors for discrete observations from diffusion processes
published 1994 · Biometrika · 34 citations
with Gareth O. Roberts
A utility based approach to information for stochastic differential equations
published 1993 · Stochastic Processes and their Applications · 5 citations
with Gareth O. Roberts
[Practical Markov Chain Monte Carlo]: Comment
published 1992 · Statistical Science · 8 citations
On the Expected Amount of Information from a Non-Linear Model
published 1992 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 14 citations
A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling
published 1992 · Journal of the American Statistical Association · 544 citations
with Bradley P. Carlin, David S. Stoffer
Inference for nonconjugate Bayesian Models using the Gibbs sampler
published 1991 · Canadian Journal of Statistics · 116 citations
with Bradley P. Carlin
An Expected Utility Approach to Influence Diagnostics
published 1991 · Journal of the American Statistical Association · 12 citations
with Bradley P. Carlin
A Bayesian Decision Theoretic Characterization of Poisson Processes
published 1991 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
with Gareth O. Roberts
A representation of the posterior mean for a location model
published 1991 · Biometrika · 20 citations
Bayesian Statistics: An Introduction.
published 1990 · Journal of the American Statistical Association · 123 citations
with Peter M. Lee
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).