Robert Kohn

Selected publications

• Villani, M., Kohn, R. and Giordani, P. (2009). 'Regression Density Estimation using Smooth Adaptive Gaussian Mixtures', Journal of Econometrics, 153(2), 155-173
• Cottet, R., Kohn, R. and Nott, D.J. (2008) Variable selection and model averaging in overdispersed generalized linear models. Journal of the American Statistical Association, 103, 661-671
• Pitt, M.K., Chan, D. and Kohn, R. (2006) 'Efficient Bayesian inference for Gaussian copula regression models.' Biometrika, 93, 537-554
• Nott, D. and Kohn, R. (2005) 'Adaptive sampling for Bayesian variable selection.' Biometrika, 92, 747-762
• Wong, F., Carter, C.K. and Kohn, R. (2003) 'Efficient estimation of covariance selection models.' Biometrika, 90, 809-830
• Smith, M. and Kohn, R. (2002) 'Parsimonious covariance matrix estimation for longitudinal data', Journal of the American Statistical Association, 97, 1141-1153
• Gerlach, G., Carter, C.K. and Kohn, R. (2000), 'Bayesian inference for dynamic mixture models', Journal of the American Statistical Association, 95, 819-828
• Gerlach, G., Carter, C.K. and Kohn, R. (1999), 'Diagnostics for time series Analysis', Journal of Time Series Analysis, 20, 309-330
• Wood, S. and Kohn, R. (1998), 'A Bayesian approach to robust nonparametric binary Regression', Journal of the American Statistical Association, 93, 203-213
• Barnett, G., Kohn, R., and Sheather, S.J. (1997), 'A Bayesian analysis of integrated moving average models', Journal of Time Series Analysis, 18, 11-28
• Smith, M. and Kohn, R. (1996) 'Nonparametric regression using Bayesian variable selection', Journal of Econometrics, 75, 317-344
• C. Carter and Kohn, R. (1994) 'On Gibbs sampling for state space models', Biometrika, 81, 541-553
• Ansley, C.F., Kohn, R. and Tharm, D. (1991) 'The performance of cross-validation and maximum likelihood estimators of spline smoothing parameters', Journal of the American Statistical Association 86, 1042-50
• Ansley, C.F. and Kohn, R. (1990) 'Filtering and smoothing in state space models with partially diffuse initial conditions', Journal Time Series Analysis 11, 275-93
• Kohn, R. and Ansley, C.F. (1989) 'A fast algorithm for signal extraction, influence and cross-validation in state space models', Biometrika 76, 65-79
• Kohn, R. and Ansley, C.F. (1986) 'Estimation, prediction and interpolation for ARIMA models with missing data', Journal of the American Statistical Association 81, 1986, 751-761
• Ansley, C.F. and Kohn, R. (1985) 'Estimation, filtering and smoothing in state space models with incompletely specified initial conditions', Annals of Statistics 13, 1985, 1286-1316
• Kohn, R. (1983) 'Consistent estimation of minimal model dimension', Econometrica 51, 67-376. Kohn, R. (1980) 'On the spectral decomposition of stationary time series using Walsh functions: I', Advances in Applied Probability 12, 183-191
• Kohn, R. (1980) 'On the spectral decomposition of stationary time series using Walsh functions: II', Advances in Applied Probability 12, 462-474

Recent publications

• Giordani, P. and Kohn, R. (2010) Adaptive independent Metropolis-Hastings by fast estimation of mixtures of normals. Journal of Computational and Graphical Statistics, in press
• Villani, M., Kohn, R. and Giordani, P. (2009). 'Regression Density Estimation using Smooth Adaptive Gaussian Mixtures', Journal of Econometrics, 153(2), 155-173
• Li, F., Villani, M. and Kohn, R. (2009). 'Flexible Modeling of Conditional Distributions using Smooth Mixtures of Asymmetric Student T Densities', forthcoming in Journal of Statistical Planning and Inference
• Leslie, D., Kohn, R. and Fiebig, D. (2009). 'Nonparametric estimation of the distribution function in contingent valuation models', Bayesian Analysis Journal, 4,4,573-598
• Gu, Y., Fiebig, D., Cripps, E. and Kohn, R. (2009) Bayesian estimation of a heteroscedastic probit model. Econometrics Journal, 12, 2, 324-339
• Armstrong, H., Carter, C., Wong, K. and Kohn, R. (2009) Bayesian covariance estimation using a mixture of decomposable graphical models. Statistics and Computing, 19, 3, 303-316
• Cottet, R., Kohn, R. and Nott, D.J. (2008) Variable selection and model averaging in overdispersed generalized linear models. Journal of the American Statistical Association, 103, 661-671
• Wood, S., Kohn, R., Cottet, R., Jiang, W. and Tanner, M. (2008) Spatially adaptive nonparametric binary regression using a mixture of probits. Journal of Computational and Graphical Statistics, 17 (2), 352-372
• Giordani, P. and Kohn, R. (2008) Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models. Journal of Business and Economic Statistics, 26, 66-77
• Giordani, P. and Kohn, R. (2008) Bayesian inference using adaptive sampling, pp. 61-84. In Advances in Econometrics Volume 23: Bayesian Econometrics Editors, S. Chib, W. Griffiths, G. Koop and D. Terrell. JAI Press
• Leslie, D, Kohn, R. and Nott, D.J. (2007) A general approach to linear regression. Statistics and Computing, 17, 131-146
• Giordani, P., Kohn, R. and van Dijk, D. (2007) 'A unified approach to nonlinearity, structural change and outliers', Journal of Econometrics , 137, 112-133
• Chan, D., Kohn, R., Nott, D.J. and Kirby, C. (2006) 'Locally adaptive estimation of the mean and variance functions in regression models', Journal of Computational and Graphical Statistics, 15, 915-936
• Chan, D., Kohn, R. and Kirby, C. (2006) 'Multivariate stochastic volatility', Econometric Reviews, 25, Nos 2-3, 245-274
• Cripps, E., Kohn, R. and Nott, D. (2006) 'Bayesian subset selection and model averaging using a centered and dispersed prior for the error variance'. Australian and New Zealand Journal of Statistics, 48, 237-252
• Pitt, M.K., Chan, D. and Kohn, R. (2006) 'Efficient Bayesian inference for Gaussian copula regression models.' Biometrika, 93, 537-554
• Nott, D. and Kohn, R. (2005) 'Adaptive sampling for Bayesian variable selection.' Biometrika, 92, 747-762
• Cripps, E., Carter, C.K. and Kohn, R. (2005) Variable selection and covariance selection in multivariate regression models. Handbook of Statistics, Volume 25: Bayesian Thinking: Modeling and Computation Editors: Dipak K. Dey, University of Connecticut and C.R. Rao, Pennsylvania State University Publisher: Elsevier Science, Amsterdam, The Netherlands
• Wong, F., Carter, C.K. and Kohn, R. (2003) 'Efficient estimation of covariance selection models.' Biometrika, 90, 809-830
• Yau, P. and Kohn, R. (2003) 'Estimation and Variable Selection in Nonparametric Heteroscedastic Regression.' Statistics and Computing, 13, 191-208
• Kohn, R., Wood, S and Yau, P. (2003) Bayesian variable selection and model averaging in high dimensional multinomial nonparametric regression. Journal of Computational and Graphical Statistics, 12, 23-54

• 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