Forthcoming and Working Papers

A Comparison of Periodic Autoregressive and Dynamic Factor Models in Intraday Energy Demand Forecasting (with Thomas Mestekemper and Goeran Kauermann), Forthcoming in International Journal of Forecasting (2012)

We suggest a new approach for forecasting energy demand at an intraday resolution. Demand in...

 

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Estimation of Copula Models with Discrete Margins via Bayesian Data Augmentation (with Mohamad A. Khaled), Forthcoming in Journal of the American Statistical Association (Theory and Methods) (2011)

Estimation of copula models with discrete margins is known to be difficult beyond the bivariate...

 

Public Datasets & Software

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Windows Executable for Gaussian copula with NBD margins (2011)

This is an example Windows 32bit program to estimate a Gaussian copula model with NBD...

 

Articles

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Modeling Dependence using Skew t Copulas: Bayesian Inference and Applications (with Quan Gan and Robert Kohn), Journal of Applied Econometrics (2012)

[THIS IS AN AUGUST 2010 REVISION THAT REPLACES ALL PREVIOUS VERSIONS.]

We construct a copula...

 

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Bicycle Commuting in Melbourne During the 2000s Energy Crisis: A Semiparametric Analysis of Intraday Volumes (with Goeran Kauermann), Transportation Research Part B: Methodology (2011)

Cycling is attracting renewed attention as a mode of transport in western urban environments, yet...

 

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Forecasting Television Ratings (with Peter Danaher and Tracey Dagger), International Journal of Forecasting (2011)

Despite the state of flux in media today, television remains the dominant player globally for...

 

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Modeling Multivariate Distributions Using Copulas: Applications in Marketing (with Peter J. Danaher), Marketing Science (2011)

In this research we introduce a new class of multivariate probability models to the marketing...

 

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Rejoinder: Estimation Issues for Copulas Applied to Marketing Data (with Peter J. Danaher), Marketing Science (2011)

Estimating copula models using Bayesian methods presents some subtle challenges, ranging from specification of the...

 

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Modeling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence (with Aleksey Min, Carlos Almeida, and Claudia Czado), Journal of the American Statistical Association (2010)

Copulas have proven to be very successful tools for the flexible modelling of cross-sectional dependence....

 

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Bayesian Skew Selection for Multivariate Models (with Anastasios Panagiotelis), Computational Statistics and Data Analysis (2010)

We develop a Bayesian approach for the selection of skew in multivariate skew t distributions...

 

OpenURL

Bayesian Identification, Selection and Estimation of Functions in High-Dimensional Additive Models (with Anastasios Panagiotelis), Journal of Econometrics (2008)

In this paper we propose an approach to both estimate and select unknown smooth functions...

 

OpenURL

Bayesian Density Forecasting of Intraday Electricity Prices using Multivariate Skew t Distributions (with Anastasios Panagiotelis), International Journal of Forecasting (2008)

Electricity spot prices exhibit strong time series properties, including substantial periodicity, both inter-day and intraday...

 

OpenURL

Spatial Bayesian variable selection with application to functional magnetic resonance imaging (with Ludwig Fahrmeir), Journal of the American Statistical Association (2007)

In this paper we propose a procedure to undertake Bayesian variable selection and model averaging...

 

OpenURL

Estimation of Binary Markov Random Fields using Markov Chain Monte Carlo (with Daniel Smith), Journal of Computational and Graphical Statistics (2006)

This article compares three binary Markov random fields (MRFs) which are popular Bayesian priors for...

 

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Foreign exchange intervention by the Bank of Japan: Bayesian analysis using a bivariate stochastic volatility model (with Andrew Pitts), Econometric Reviews (2006)

A bivariate stochastic volatility model is employed to measure the effect of intervention by the...

 

OpenURL

Assessing brain activity using spatial Bayesian variable selection (with B Putz, D Auer, and Ludwig Fahrmeir), NeuroImage (2003)

Statistical parametric mapping (SPM), relying on the general linear model and classical hypothesis testing, is...

 

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Bayesian modelling and forecasting of intra-day electricity load (with Remy Cottet), Journal of the American Statistical Association (2003)

With the advent of wholesale electricity markets there has been renewed focus on intra-day electricity...

 

OpenURL

Estimating long term trends in tropospheric ozone (with Paul Yau, Tom Shively, and Robert Kohn), International Statistical Review (2002)

This paper develops methodology for estimating long ­term trends in the daily maxima of tropospheric...

 

OpenURL

'Parsimonious Covariance Matrix Estimation for Longitudinal Data (with Robert Kohn), Journal of the American Statistical Association (2002)

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal...

 

OpenURL

Nonparametric regression using linear combinations of basis functions (with Robert Kohn and D Chan), Statistics and Computing (2001)

This paper discusses a Bayesian approach to nonparametric regression initially proposed by Smith and Kohn...

 

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Nonparametric seemingly unrelated regression (with Robert Kohn), Journal of Econometrics (2000)

A method is presented for simultaneously estimating a system of nonparametric regressions which may seem...

 

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Semiparametric Regression: An Exposition and Application to Print Advertising Data (with Robert Kohn and Sharat K. Mathur), Journal of Business Research (2000)

A new regression based approach is proposed for modeling marketing databases. The approach is Bayesian...

 

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Short-term forecasting of New South Wales electricity system load, Journal of Business and Economic Statistics (2000)
 

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Additive nonparametric regression with autocorrelated errors (with C Wong and Robert Kohn), Journal of the Royal Statistical Society, Series B (1998)

A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated...

 

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A Bayesian approach to bivariate nonparametric regression (with Robert Kohn), Journal of the American Statistical Association (1997)
 

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Finite sample performance of robust Bayesian regression (with Sheather Simon and Kohn Robert), Journal of Computational Statistics (1996)
 

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Nonparametric regression using Bayesian variable selection (with Robert Kohn), Journal of Econometrics (1996)
 

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A Bayesian approach to additive nonparametric regression (with Robert Kohn), Proceedings of the 26th Symposium of the Interface (1994)

This proceedings paper was the first to suggest using a Gaussian g-prior combined with a...

 

Contributions to Books

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Bayesian Approaches to Copula Modelling, Working Paper (2011)

Copula models have become one of the most widely used tools in the applied modelling...

 

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Bayesian Inference for a Periodic Stochastic Volatility Model of Intraday Electricity Prices, Statistical Modelling and Regression Structures: Festschrift in Honour of Ludwig Fahrmeir (2010)

The Gaussian stochastic volatility model is extended to allow for periodic autoregressions (PAR) in both...