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Scientia Professor Robert Kohn
Scientia Professor

Scientia Professor Robert Kohn

Business School
School of Economics

Robert's research and teaching interests include Bayesian methodology, Variable selection and model averaging, Nonparametric regression models, Time series modelling, Multivariate Gaussian and non-Gaussian regression; and Markov chain Monte Carlo simulation algorithms.

Research Interests:

  • 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

 

ASB Profile: http://www.asb.unsw.edu.au/schools/Pages/RobertKohn.aspx
Phone
+61 2 9385 2150
E-mail
r.kohn@unsw.edu.au
Location
Room 446, Australian School of Business building
  • Book Chapters | 2022
    Tran M; Nott D; Kohn R, 2022, 'Variational Bayes', in , Wiley, pp. 1 - 9, http://dx.doi.org/10.1002/9781118445112.stat08387
    Book Chapters | 2012
    Giordani P; Pitt M; Kohn R, 2012, 'Bayesian Inference for Time Series State Space Models', in The Oxford Handbook of Bayesian Econometrics, http://dx.doi.org/10.1093/oxfordhb/9780199559084.013.0004
    Book Chapters | 2011
    Kohn R; Li F; Villani M, 2011, 'Modelling Conditional Densities Using Finite Smooth Mixtures', in Mengersen KL; Robert CP; Titterington DM (ed.), Mixtures: Estimation and Applications, John Wiley & Sons, Ltd, United Kingdom, pp. 123 - 144, http://dx.doi.org/10.1002/9781119995678.ch6
    Book Chapters | 2005
    Carter CK; Kohn R; Cripps EJ, 2005, 'Variable Selection and Covariance Selection in Multivariate Regression Models', in Handbook of Statistics, pp. 519 - 552, http://dx.doi.org/10.1016/S0169-7161(05)25018-6
    Book Chapters | 2000
    Kohn R; Schimek MG; Smith MM, 2000, 'Spline and kernel regression for dependant data', in Smoothing and regression: approaches, computation and its application, edn. Original, Wiley & Sons, New York, pp. 135 - 158
    Book Chapters | 2000
    Smith MM; Kohn R; Yau P, 2000, 'Nonparametric Bayesian bivariate surface estimation', in Smoothing and regression: approaches, computation and its application, edn. Original, Wiley & Sons, New York, pp. 545 - 580
    Book Chapters | 1998
    Smith MM; Kohn R, 1998, 'Nonparametric estimation of irregular functions with independent or autocorrelated errors', in Lecture notes in statistics: Practical nonparametric and semiparametric Bayesian statistics, edn. Original, Springer Publishing Company, pp. 157 - 171
    Book Chapters | 1996
    Carter CK; Kohn R, 1996, 'Robust Bayesian nonparametic regression', in Statistical theory and computational aspects of smoothing, edn. Original, Physica-Verlag, Heidelberg, pp. 128 - 148
    Book Chapters | 1996
    Sheather SJ; Wand MP; Smith MM; Kohn R, 1996, 'Comments on the papers by Marron, Cleveland and Loader, Seifert and Gasser', in Statistical theory and computational aspects of smoothing, edn. Original, Physica-Verlag, Heidelberg, pp. 93 - 102
    Book Chapters | 1996
    Sheather SJ; Wand MP; Smith MS; Kohn R, 1996, 'Comments', in Contributions to Statistics, Physica-Verlag HD, pp. 93 - 102, http://dx.doi.org/10.1007/978-3-642-48425-4_7
    Book Chapters | 1989
    KOHN R; ANSLEY CF, 1989, 'FILTERING AND SMOOTHING ALGORITHMS FOR STATE SPACE MODELS', in System-Theoretic Methods in Economic Modelling II, Elsevier, pp. 515 - 528, http://dx.doi.org/10.1016/b978-0-08-037932-6.50007-6
    Book Chapters | 1984
    Ansley CF; Kohn R, 1984, 'New Algorithmic Developments for Estimation Problems in Time Series', in Compstat 1984, Physica-Verlag HD, pp. 23 - 34, http://dx.doi.org/10.1007/978-3-642-51883-6_2
    Book Chapters | 1984
    Ansley CF; Kohn R, 1984, 'On the estimation of ARIMA Models with Missing Values', in Time Series Analysis of Irregularly Observed Data, Springer New York, pp. 9 - 37, http://dx.doi.org/10.1007/978-1-4684-9403-7_2
  • Journal articles | 2022
    Dao VH; Gunawan D; Tran MN; Kohn R; Hawkins GE; Brown SD, 2022, 'Efficient Selection Between Hierarchical Cognitive Models: Cross-Validation With Variational Bayes', Psychological Methods, http://dx.doi.org/10.1037/met0000458
    Journal articles | 2022
    Frazier DT; Nott DJ; Drovandi C; Kohn R, 2022, 'Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments', Journal of the American Statistical Association, pp. 1 - 12, http://dx.doi.org/10.1080/01621459.2022.2086132
    Journal articles | 2022
    Gunawan D; Hawkins GE; Kohn R; Tran MN; Brown SD, 2022, 'Time-evolving psychological processes over repeated decisions', Psychological review, vol. 129, pp. 438 - 456, http://dx.doi.org/10.1037/rev0000351
    Journal articles | 2022
    Gunawan D; Kohn R; Tran MN, 2022, 'Flexible and Robust Particle Tempering for State Space Models', Econometrics and Statistics, http://dx.doi.org/10.1016/j.ecosta.2022.09.003
    Journal articles | 2022
    Munezero P; Villani M; Kohn R, 2022, 'Dynamic Mixture of Experts Models for Online Prediction', Technometrics, pp. 1 - 12, http://dx.doi.org/10.1080/00401706.2022.2146755
    Journal articles | 2022
    Nguyen TN; Tran MN; Gunawan D; Kohn R, 2022, 'A Statistical Recurrent Stochastic Volatility Model for Stock Markets', Journal of Business and Economic Statistics, http://dx.doi.org/10.1080/07350015.2022.2028631
    Journal articles | 2022
    Nguyen TN; Tran MN; Kohn R, 2022, 'Recurrent conditional heteroskedasticity', Journal of Applied Econometrics, vol. 37, pp. 1031 - 1054, http://dx.doi.org/10.1002/jae.2902
    Journal articles | 2022
    Oliveira R; Scalzo R; Kohn R; Cripps S; Hardman K; Close J; Taghavi N; Lemckert C, 2022, 'Bayesian optimization with informative parametric models via sequential Monte Carlo', Data-Centric Engineering, vol. 3, http://dx.doi.org/10.1017/dce.2022.5
    Journal articles | 2022
    Quiroz M; Nott DJ; Kohn R, 2022, 'Gaussian Variational Approximations for High-dimensional State Space Models', Bayesian Analysis, vol. -1, http://dx.doi.org/10.1214/22-ba1332
    Journal articles | 2022
    Villani M; Quiroz M; Kohn R; Salomone R, 2022, 'Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes', Econometrics and Statistics, http://dx.doi.org/10.1016/j.ecosta.2022.10.001
    Journal articles | 2021
    Botha I; Kohn R; Drovandi C, 2021, 'Particle Methods for Stochastic Differential Equation Mixed Effects Models', Bayesian Analysis, vol. 16, pp. 575 - 609, http://dx.doi.org/10.1214/20-BA1216
    Journal articles | 2021
    Dao V-H; Gunawan D; Tran M-N; Kohn R; Hawkins GE; Brown SD, 2021, 'Efficient Selection Between Hierarchical Cognitive Models: Cross-validation With Variational Bayes', , http://arxiv.org/abs/2102.06814v2
    Journal articles | 2021
    Gunawan D; Kohn R; Nott D, 2021, 'Variational Bayes approximation of factor stochastic volatility models', International Journal of Forecasting, vol. 37, pp. 1355 - 1375, http://dx.doi.org/10.1016/j.ijforecast.2021.05.001
    Journal articles | 2021
    Quiroz M; Tran MN; Villani M; Kohn R; Dang KD, 2021, 'The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC', Journal of Computational and Graphical Statistics, vol. 30, pp. 877 - 888, http://dx.doi.org/10.1080/10618600.2021.1917420
    Journal articles | 2021
    Tran MN; Scharth M; Gunawan D; Kohn R; Brown SD; Hawkins GE, 2021, 'Robustly estimating the marginal likelihood for cognitive models via importance sampling', Behavior Research Methods, vol. 53, pp. 1148 - 1165, http://dx.doi.org/10.3758/s13428-020-01348-w
    Journal articles | 2021
    Wall L; Gunawan D; Brown SD; Tran MN; Kohn R; Hawkins GE, 2021, 'Identifying relationships between cognitive processes across tasks, contexts, and time', Behavior Research Methods, vol. 53, pp. 78 - 95, http://dx.doi.org/10.3758/s13428-020-01405-4
    Journal articles | 2020
    Chin V; Gunawan D; Fiebig DG; Kohn R; Sisson SA, 2020, 'Efficient data augmentation for multivariate probit models with panel data: an application to general practitioner decision making about contraceptives', Journal of the Royal Statistical Society. Series C: Applied Statistics, vol. 69, pp. 277 - 300, http://dx.doi.org/10.1111/rssc.12393
    Journal articles | 2020
    Gunawan D; Dang KD; Quiroz M; Kohn R; Tran MN, 2020, 'Subsampling sequential Monte Carlo for static Bayesian models', Statistics and Computing, vol. 30, pp. 1741 - 1758, http://dx.doi.org/10.1007/s11222-020-09969-z
    Journal articles | 2020
    Gunawan D; Hawkins GE; Tran MN; Kohn R; Brown SD, 2020, 'New estimation approaches for the hierarchical Linear Ballistic Accumulator model', Journal of Mathematical Psychology, vol. 96, http://dx.doi.org/10.1016/j.jmp.2020.102368
    Journal articles | 2020
    Gunawan D; Khaled MA; Kohn R, 2020, 'Mixed Marginal Copula Modeling', Journal of Business and Economic Statistics, vol. 38, pp. 137 - 147, http://dx.doi.org/10.1080/07350015.2018.1469998
    Journal articles | 2020
    Kohn R; Mendes E; Gunawan D; Carter C, 2020, 'A flexible particle Markov chain Monte Carlo method', Statistics and Computing, http://dx.doi.org/10.1007/s11222-019-09916-7
    Journal articles | 2020
    Tran MN; Nguyen N; Nott D; Kohn R, 2020, 'Bayesian Deep Net GLM and GLMM', Journal of Computational and Graphical Statistics, vol. 29, pp. 97 - 113, http://dx.doi.org/10.1080/10618600.2019.1637747
    Journal articles | 2019
    Dang KD; Quiroz M; Kohn R; Tran MN; Villani M, 2019, 'Hamiltonian monte carlo with energy conserving subsampling', Journal of Machine Learning Research, vol. 20, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000476621700001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Journal articles | 2019
    Gunawan D; Tran MN; Suzuki K; Dick J; Kohn R, 2019, 'Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins', Statistics and Computing, vol. 29, pp. 933 - 946, http://dx.doi.org/10.1007/s11222-018-9846-y
    Journal articles | 2019
    Quiroz M; Kohn R; Villani M; Tran MN, 2019, 'Speeding Up MCMC by Efficient Data Subsampling', Journal of the American Statistical Association, vol. 114, pp. 831 - 843, http://dx.doi.org/10.1080/01621459.2018.1448827
    Journal articles | 2018
    Quiroz M; Nott DJ; Kohn R, 2018, 'Gaussian variational approximation for high-dimensional state space models', Gaussian variational approximation for high-dimensional state space models, http://arxiv.org/abs/1801.07873v3
    Journal articles | 2018
    Quiroz M; Tran MN; Villani M; Kohn R, 2018, 'Speeding up MCMC by Delayed Acceptance and Data Subsampling', Journal of Computational and Graphical Statistics, vol. 27, pp. 12 - 22, http://dx.doi.org/10.1080/10618600.2017.1307117
    Journal articles | 2018
    Quiroz M; Villani M; Kohn R; Tran MN; Dang KD, 2018, 'Subsampling MCMC - an Introduction for the Survey Statistician', Sankhya A, vol. 80, pp. 33 - 69, http://dx.doi.org/10.1007/s13171-018-0153-7
    Journal articles | 2017
    Khaled MA; Kohn R, 2017, 'On approximating copulas by finite mixtures', On approximating copulas by finite mixtures, http://arxiv.org/abs/1705.10440v3
    Journal articles | 2017
    Tran MN; Nott DJ; Kohn R, 2017, 'Variational Bayes With Intractable Likelihood', Journal of Computational and Graphical Statistics, vol. 26, pp. 873 - 882, http://dx.doi.org/10.1080/10618600.2017.1330205
    Journal articles | 2016
    Del Moral P; Kohn R; Patras F, 2016, 'On particle Gibbs samplers', Annales de l'institut Henri Poincare (B) Probability and Statistics, vol. 52, pp. 1687 - 1733, http://dx.doi.org/10.1214/15-AIHP695
    Journal articles | 2016
    Scharth M; Kohn R, 2016, 'Particle efficient importance sampling', Journal of Econometrics, vol. 190, pp. 133 - 147, http://dx.doi.org/10.1016/j.jeconom.2015.03.047
    Journal articles | 2016
    Tran M-N; Kohn R; Quiroz M; Villani M, 2016, 'The Block Pseudo-Marginal Sampler', The Block Pseudo-Marginal Sampler, http://arxiv.org/abs/1603.02485v5
    Journal articles | 2016
    Tran MN; Nott DJ; Kuk AYC; Kohn R, 2016, 'Parallel Variational Bayes for Large Datasets With an Application to Generalized Linear Mixed Models', Journal of Computational and Graphical Statistics, vol. 25, pp. 626 - 646, http://dx.doi.org/10.1080/10618600.2015.1012293
    Journal articles | 2015
    Del Moral P; Kohn R; Patras F, 2015, 'A duality formula for Feynman-Kac path particle models', Comptes Rendus Mathematique, vol. 353, pp. 465 - 469, http://dx.doi.org/10.1016/j.crma.2015.02.008
    Journal articles | 2015
    Doucet A; Pitt MK; Deligiannidis G; Kohn R, 2015, 'Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator', Biometrika, vol. 102, pp. 295 - 313, http://dx.doi.org/10.1093/biomet/asu075
    Journal articles | 2015
    Pitt MK; Hall J; Kohn R, 2015, 'Bayesian inference for latent factor GARCH models', Bayesian inference for latent factor GARCH models, http://arxiv.org/abs/1507.01179v1
    Journal articles | 2015
    Tran MN; Kohn R, 2015, 'Exact ABC using Importance Sampling', Exact ABC using Importance Sampling, http://arxiv.org/abs/1509.08076v1
    Journal articles | 2014
    Hall J; Pitt MK; Kohn R, 2014, 'Bayesian inference for nonlinear structural time series models', Journal of Econometrics, vol. 179, pp. 99 - 111, http://dx.doi.org/10.1016/j.jeconom.2013.10.016
    Journal articles | 2014
    Kohn R; Tran M; Pitt MK, 2014, 'Adaptive Metropolis–Hastings sampling using reversible dependent mixture proposals', Statistics and Computing, vol. 25, pp. 361 - 381, http://dx.doi.org/10.1007/s11222-014-9509-6
    Journal articles | 2014
    Kohn R; tran ; giordani ; pitt ; mun , 2014, 'Copula-Type Estimators for Flexible Multivariate Density Modeling Using Mixtures', Journal of Computational and Graphical Statistics, vol. 23, pp. 1163 - 1178, http://dx.doi.org/10.1080/10618600.2013.842918
    Journal articles | 2014
    Peters GW; Dong AXD; Kohn R, 2014, 'A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving', Insurance: Mathematics and Economics, vol. 59, pp. 258 - 278, http://dx.doi.org/10.1016/j.insmatheco.2014.09.011
    Journal articles | 2013
    Tran M-N; Scharth M; Pitt MK; Kohn R, 2013, 'Importance sampling squared for Bayesian inference in latent variable models', Importance sampling squared for Bayesian inference in latent variable models, http://arxiv.org/abs/1309.3339v4
    Journal articles | 2013
    Tran M; Giordani P; Mun X; Kohn R, 2013, 'Flexible multivariate density estimation with marginal adaptation', Journal of Computational and Graphical Statistics, vol. 22, pp. 814 - 829, http://dx.doi.org/10.1080/10618600.2012.672784
    Journal articles | 2012
    Giordani P; Mun X; Kohn R, 2012, 'Efficient estimation of covariance matrices using posterior mode multiple shrinkage', Journal of Financial Econometrics, vol. 11, pp. 154 - 192, http://dx.doi.org/10.1093/jjfinec/nbs009
    Journal articles | 2012
    Nott DJ; Tan SL; Villiani M; Kohn R, 2012, 'Regression density estimation with variational methods and stochastic approximation', Journal of Computational and Graphical Statistics, vol. 21, pp. 797 - 820, http://dx.doi.org/10.1080/10618600.2012.679897
    Journal articles | 2012
    Pitt M; Silva RDS; Giordani P; Kohn R, 2012, 'On some properties of Markov chain Monte Carlo simulation methods based on the particle filter (', Journal of Econometrics, vol. 171, pp. 134 - 151, http://dx.doi.org/10.1016/j.jeconom.2012.06.004
    Journal articles | 2012
    Smith MS; Gan Q; Kohn RJ, 2012, 'Modelling dependence using skew t copulas: Bayesian inference and applications', Journal of Applied Econometrics, vol. 27, pp. 500 - 522, http://dx.doi.org/10.1002/jae.1215
    Journal articles | 2012
    Tran MN; Giordani P; Kohn R, 2012, 'Discussion of "Fast sparse regression and classification" by Jerome Friedman', International Journal of Forecasting, vol. 28, pp. 749 - 750, http://dx.doi.org/10.1016/j.ijforecast.2012.04.010
    Journal articles | 2012
    Tran MN; Nott DJ; Kohn R, 2012, 'Simultaneous variable selection and component selection for regression density estimation with mixtures f heteroscedastic experts', Electronic Journal of Statistics, vol. 6, pp. 1170 - 1199, http://dx.doi.org/10.1214/12-EJS705
    Journal articles | 2012
    Villani M; Kohn R; Nott DJ, 2012, 'Generalized smooth finite mixtures', Journal of Econometrics, vol. 171, pp. 121 - 133, http://dx.doi.org/10.1016/j.jeconom.2012.06.012
    Journal articles | 2011
    Carter CK; Wong F; Kohn R, 2011, 'Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach', Journal of Multivariate Analysis, vol. 102, pp. 871 - 883, http://dx.doi.org/10.1016/j.jmva.2011.01.001
    Journal articles | 2011
    Wood SA; Rosen O; Kohn R, 2011, 'Bayesian mixtures of autoregressive models', Journal of Computational and Graphical Statistics, vol. 20, pp. 174 - 195, http://dx.doi.org/10.1198/jcgs.2010.09174
    Journal articles | 2010
    Fiebig D; Kohn R; Cripps E, 2010, 'Parsimonious estimation of the covariance matrix in multinomial probit models', Econometric Reviews, vol. 29, pp. 146 - 157, http://dx.doi.org/10.1080/07474930903382158
    Journal articles | 2010
    Giordani P; Kohn R, 2010, 'Adaptive independent Metropolis-Hastings by fast estimation of mixtures of normals', Journal of Computational and Graphical Statistics, vol. 19, pp. 243 - 259, http://dx.doi.org/10.1198/jcgs.2009.07174
    Journal articles | 2010
    Li F; Villani M; Kohn R, 2010, 'Flexible modeling of conditional distributions using smooth mixtures of asymmetric student t densities', Journal of Statistical Planning and Inference, vol. 140, pp. 3638 - 3654, http://dx.doi.org/10.1016/j.jspi.2010.04.031
    Journal articles | 2010
    Pitt M; Silva R; Giordani P; Kohn R, 2010, 'Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling', Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling, http://arxiv.org/abs/1006.1914v1
    Journal articles | 2010
    Silva R; Kohn R; Giordani P; Mun X, 2010, 'A copula based approach to adaptive sampling', A copula based approach to adaptive sampling, http://arxiv.org/abs/1002.4775v1
    Journal articles | 2010
    Xu W; Yang L; Kohn R, 2010, 'Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models', Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models, http://arxiv.org/abs/1002.2017v1
    Journal articles | 2009
    Armstrong HJ; Carter CK; Wong KF; Kohn R, 2009, 'Bayesian covariance matrix estimation using a mixture of decomposable graphical models', Statistics and Computing, vol. 19, pp. 303 - 316, http://dx.doi.org/10.1007/s11222-008-9093-8
    Journal articles | 2009
    Fiebig D; Kohn R; Leslie D, 2009, 'Nonparametric estimation of the distribution function in contingent valuation models', Bayesian Analysis, vol. 4, pp. 573 - 598, http://dx.doi.org/10.1214/09-BA421
    Journal articles | 2009
    Gu Y; Fiebig D; Cripps EJ; Kohn R, 2009, 'Bayesian estimation of a random effects heteroscedastic probit model', Econometrics Journal, vol. 12, pp. 324 - 339, http://dx.doi.org/10.1111/j.1368-423X.2009.00283.x
    Journal articles | 2009
    Villani M; Kohn R; Giordani P, 2009, 'Regression density estimation using smooth adaptive Gaussian mixtures', Journal of Econometrics, vol. 153, pp. 155 - 173, http://dx.doi.org/10.1016/j.jeconom.2009.05.004
    Journal articles | 2009
    Young GJ; Valdez E; Kohn R, 2009, 'Multivariate probit models for conditional claim-types', Insurance Mathematics and Economics, vol. 44, pp. 214 - 228, http://dx.doi.org/10.1016/j.insmatheco.2008.11.004
    Journal articles | 2008
    Cottet R; Kohn R; Nott DJ, 2008, 'Variable selection and model averaging in semiparametric overdispersed generalized linear models', Journal of the American Statistical Association, vol. 103, pp. 661 - 671, http://dx.doi.org/10.1198/016214508000000346
    Journal articles | 2008
    Giordani P; Kohn R, 2008, 'Efficient Bayesian inference for multiple change-point and mixture innovation models', Journal of Business and Economic Statistics, vol. 26, pp. 66 - 77, http://dx.doi.org/10.1198/073500107000000241
    Journal articles | 2008
    Kohn R, 2008, 'Bayesian inference using adaptive sampling', Advances in Econometrics : A Research Annual, vol. 23, pp. 61 - 81, http://dx.doi.org/10.1016/S0731-9053(08)23002-1
    Journal articles | 2008
    Nott DJ; Kohn RJ; Fielding M, 2008, 'Approximating the marginal likelihood using copula', Approximating the marginal likelihood using copula, http://arxiv.org/abs/0810.5474v1
    Journal articles | 2008
    Wood SA; Kohn R; Cottet R; Jiang W; Tanner M, 2008, 'Locally adaptive nonparametric binary regression', Journal of Computational and Graphical Statistics, vol. 17, pp. 352 - 372, http://dx.doi.org/10.1198/106186008X318576
    Journal articles | 2007
    Giordani P; Kohn R; van Dijk D, 2007, 'A unified approach to nonlinearity, structural change, and outliers', Journal of Econometrics, vol. 137, pp. 112 - 133, http://dx.doi.org/10.1016/j.jeconom.2006.03.013
    Journal articles | 2007
    Leslie D; Kohn R; Nott DJ, 2007, 'A general approach to heteroscedastic linear regression', Statistics and Computing, vol. 17, pp. 131 - 146, http://dx.doi.org/10.1007/s11222-006-9013-8
    Journal articles | 2006
    Chan D; Kohn R; Kirby C, 2006, 'Multivariate stochastic volatility models with correlated errors', Econometric Reviews, vol. 25, pp. 245 - 274, http://dx.doi.org/10.1080/07474930600713309
    Journal articles | 2006
    Chan DW; Kohn R; Nott DJ; Kirby CM, 2006, 'Locally adaptive semiparametric estimation of the mean and variance functions in regression models', Journal of Computational and Graphical Statistics, vol. 15, pp. 915 - 936, http://dx.doi.org/10.1198/106186006X157441
    Journal articles | 2006
    Cripps EJ; Kohn R; Nott DJ, 2006, 'Bayesian subset selection and model averaging using a centred and dispersed prior for the error variance', Australian and New Zealand Journal of Statistics, vol. 48, pp. 237 - 252, http://dx.doi.org/10.1111/j.1467-842X.2006.00437.x
    Journal articles | 2006
    Pitt M; Chan D; Kohn R, 2006, 'Efficient Bayesian inference for Gaussian copula regression models', Biometrika, vol. 93, pp. 537 - 554, http://dx.doi.org/10.1093/biomet/93.3.537
    Journal articles | 2005
    Nott DJ; Kohn R, 2005, 'Adaptive sampling for Bayesian variable selection', Biometrika, vol. 92, pp. 747 - 763, http://dx.doi.org/10.1093/biomet/92.4.747
    Journal articles | 2003
    Carter CK; Wong F; Kohn R, 2003, 'Efficient estimation of covariance selection models', Biometrika, vol. 90, pp. 809 - 830, http://dx.doi.org/10.1093/biomet/90.4.809
    Journal articles | 2003
    Kohn R; Wood SA; Yau P, 2003, 'Bayesian variable selection and model averaging in high-dimensional multinomial nonparametric regression', Journal of Computational and Graphical Statistics, vol. 12, pp. 23 - 54, http://dx.doi.org/10.1198/1061860031301
    Journal articles | 2003
    Yau P; Kohn R, 2003, 'Estimation and variable selection in nonparametric heteroscedastic regression', Statistics and Computing, vol. 13, pp. 191 - 208, http://dx.doi.org/10.1023/A:1024293931757
    Journal articles | 2002
    Louviere J; Street D; Carson R; Ainslie A; Deshazo JR; Cameron T; Hensher D; Kohn R; Marley T, 2002, 'Dissecting the Random Component of Utility', Marketing Letters, vol. 13, pp. 177 - 193, http://dx.doi.org/10.1023/A:1020258402210
    Journal articles | 2002
    Smith M; Kohn R, 2002, 'Parsimonious covariance matrix estimation for longitudinal data', Journal of the American Statistical Association, vol. 97, pp. 1141 - 1153, http://dx.doi.org/10.1198/016214502388618942
    Journal articles | 2002
    Smith M; Yau P; Shively T; Kohn R, 2002, 'Estimating long-term trends in tropospheric ozone levels', International Statistical Review, vol. 70, pp. 99 - 124, http://dx.doi.org/10.1111/j.1751-5823.2002.tb00351.x
    Journal articles | 2002
    Wood SA; Kohn R; Shively T; Jiang W, 2002, 'Model selection in spline nonparametric regression', Journal of the Royal Statistical Society Series B - Statistical Methodology, vol. 64, pp. 119 - 139, http://dx.doi.org/10.1111/1467-9868.00328
    Journal articles | 2001
    Kohn R; Smith M; Chan D, 2001, 'Nonparametric regression using linear combinations of basis functions', Statistics and Computing, vol. 11, pp. 313 - 322, http://dx.doi.org/10.1023/A:1011916902934
    Journal articles | 2001
    Nott DJ; Dunsmuir WT; Kohn R; Woodcock F, 2001, 'Statistical correction of a deterministic numerical weather prediction model', Journal of the American Statistical Association, vol. 96, pp. 794 - 804, http://dx.doi.org/10.1198/016214501753208825
    Journal articles | 2000
    Carter CK; Gerlach R; Kohn R, 2000, 'Efficient Bayesian Inference for Dynamic Mixture Models', Journal of the American Statistical Association, vol. 95, pp. 819 - 828, http://dx.doi.org/10.2307/2669465
    Journal articles | 2000
    Kohn R; Marron JS; Yau P, 2000, 'Wavelet estimation using Bayesian basis selection and basis averaging', Statistica Sinica, vol. 10, pp. 109 - 128
    Journal articles | 2000
    Shively TS; Allenby GM; Kohn R, 2000, 'A nonparametric approach to identifying latent relationships in hierarchical models', Marketing Science, vol. 19, pp. 149 - 162, http://dx.doi.org/10.1287/mksc.19.2.149.11807
    Journal articles | 2000
    Smith MM; Kohn R, 2000, 'Nonparametric seemingly unrelated regression', Journal of Econometrics, vol. 98, pp. 257 - 281, http://dx.doi.org/10.1016/S0304-4076(00)00018-X
    Journal articles | 2000
    Smith MM; Kohn R; Mathur SK, 2000, 'Bayesian semiparametric regression: an exposition and application to print advertising data', Journal of Business Research, vol. 49, pp. 229 - 244, http://dx.doi.org/10.1016/S0148-2963(99)00055-7
    Journal articles | 1999
    Gerlach R; Carter CK; Kohn R, 1999, 'Diagnostics for time series analysis', Journal of Time Series Analysis, vol. 20, pp. 309 - 330, http://dx.doi.org/10.1111/1467-9892.00139
    Journal articles | 1999
    Shively TS; Kohn R; Wood S, 1999, 'Rejoinder', Journal of the American Statistical Association, vol. 94, pp. 804 - 806, http://dx.doi.org/10.1080/01621459.1999.10474185
    Journal articles | 1999
    Shively TS; Kohn R; Wood S, 1999, 'Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior: Rejoinder', Journal of the American Statistical Association, vol. 94, pp. 804 - 804, http://dx.doi.org/10.2307/2669995
    Journal articles | 1999
    Shivley TS; Kohn R; Wood SA, 1999, 'Variable selection and function estimation in additive nonparametric regression using a data-based prior', Journal of the American Statistical Association, vol. 94, pp. 777 - 806, http://dx.doi.org/10.2307/2669990
    Journal articles | 1998
    Kohn R; Wood SA, 1998, 'A Bayesian approach to robust binary nonparametric regression', Journal of the American Statistical Association, vol. 93, pp. 203 - 213, http://dx.doi.org/10.2307/2669617
    Journal articles | 1998
    Smith MM; Wong CS; Kohn R, 1998, 'Additive nonparametric regression with autocorrelated errors', Journal of the Royal Statistical Society Series B - Statistical Methodology, vol. 60, pp. 311 - 331, http://dx.doi.org/10.1111/1467-9868.00127
    Journal articles | 1997
    Barnett G; Kohn R; Sheather SJ, 1997, 'Robust Bayesian estimation of autoregressive-moving-average models', Journal of Time Series Analysis, vol. 18, pp. 11 - 28, http://dx.doi.org/10.1111/1467-9892.00036
    Journal articles | 1997
    Carter CK; Kohn R, 1997, 'Semiparametric Bayesian inference for time series with mixed spectra', Journal of Royal Statistical Society Series B, vol. 59, pp. 255 - 268, http://dx.doi.org/10.1111/1467-9868.00067
    Journal articles | 1997
    Park BJ; Kim WH; Ruppert D; Jones MW; Signorini DF; Kohn R, 1997, 'Simple transformation techniques for improved nonparametric regression', Scandinavian Journal of Statistics, vol. 24, pp. 145 - 164, http://dx.doi.org/10.1111/1467-9469.00055
    Journal articles | 1997
    Shively TS; Kohn R, 1997, 'A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models', Journal of Econometrics, vol. 76, pp. 39 - 52, http://dx.doi.org/10.1016/0304-4076(95)01781-X
    Journal articles | 1997
    Smith MM; Kohn R, 1997, 'A Bayesian approach to nonparametric bivariate regression', Journal of the American Statistical Association, vol. 92, pp. 1522 - 1535, http://dx.doi.org/10.1080/01621459.1997.10473674
    Journal articles | 1996
    Barnett G; Kohn R; Sheather SJ, 1996, 'Bayesian estimation of an autoregressive model using Markov chain Monte Carlo', Journal of Econometrics, vol. 74, pp. 237 - 254, http://dx.doi.org/10.1016/0304-4076(95)01744-5
    Journal articles | 1996
    Kohn R; Carter CK, 1996, 'Markov chain Monte Carlo in conditionally Gaussian state space models', Biometrika, vol. 83, pp. 589 - 601, http://dx.doi.org/10.1093/biomet/83.3.589
    Journal articles | 1996
    Smith MM; Kohn R, 1996, 'Nonparametric regression using bayesian variable selection', Journal of Econometrics, vol. 75, pp. 317 - 344, http://dx.doi.org/10.1016/0304-4076(95)01763-1
    Journal articles | 1996
    Smith MM; Sheather SJ; Kohn R, 1996, 'Finite sample performance of robust Bayesian regression', Computational Statistics, vol. 11, pp. 269 - 301, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.57.2290&rep=rep1&type=pdf
    Journal articles | 1996
    Wong CS; Kohn R, 1996, 'A bayesian approach to additive semiparametric regression', Journal of Econometrics, vol. 74, pp. 209 - 235, http://dx.doi.org/10.1016/0304-4076(95)01743-7
    Journal articles | 1996
    Wong CS; Kohn R, 1996, 'A bayesian approach to estimating and forecasting edditive nonparametric autoregressive models', Journal of Time Series Analysis, vol. 17, pp. 203 - 220, http://dx.doi.org/10.1111/j.1467-9892.1996.tb00273.x
    Journal articles | 1995
    Barnett G; Kohn R; Sheather SJ; Wong JK, 1995, 'Markov chain Monte Carlo estimation of autoregressive models with application to metal pollutant concentration in sludge', Mathematical and Computer Modelling, vol. 22, pp. 7 - 13, http://dx.doi.org/10.1016/0895-7177(95)00175-2
    Journal articles | 1994
    Ansley CF; Kohn R, 1994, 'Convergence of the Backfitting Algorithm for Additive Models', Journal of the Australian Mathematical Society, vol. 57, pp. 316 - 329, http://dx.doi.org/10.1017/S1446788700037721
    Journal articles | 1994
    Carter CK; Kohn R, 1994, 'On Gibbs sampling for state space models', Biometrika, vol. 81, pp. 541 - 553, http://dx.doi.org/10.1093/biomet/81.3.541
    Journal articles | 1994
    Shively TS; Kohn R; Ansley CF, 1994, 'Testing for linearity in a semiparametric regression model', Journal of Econometrics, vol. 64, pp. 77 - 96, http://dx.doi.org/10.1016/0304-4076(94)90058-2
    Journal articles | 1993
    Ansley CF; Kohn R; Wong CM, 1993, 'Nonparametric spline regression with prior information', Biometrika, vol. 80, pp. 75 - 88, http://dx.doi.org/10.1093/biomet/80.1.75
    Journal articles | 1993
    KOHN R; SHIVELY TS; ANSLEY CF, 1993, 'COMPUTING P-VALUES FOR THE GENERALIZED DURBIN-WATSON STATISTIC AND RESIDUAL AUTOCORRELATIONS IN REGRESSION', JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS, vol. 42, pp. 249 - 258, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993KJ08500021&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Journal articles | 1993
    Kohn R; Ansley CF, 1993, 'Accuracy and efficiency of alternative spline smoothing algorithms', Journal of Statistical Computation and Simulation, vol. 46, pp. 1 - 18, http://dx.doi.org/10.1080/00949659308811488
    Journal articles | 1992
    Ansley CF; Kohn R; Shively TS, 1992, 'Computing p-values for the generalized Durbin-Watson and other invariant test statistics', Journal of Econometrics, vol. 54, pp. 277 - 300, http://dx.doi.org/10.1016/0304-4076(92)90109-5
    Journal articles | 1992
    Ansley CF; Kohn R; Wong CM, 1992, 'The estimation of error standard deviation in spline regression', Journal of Statistical Computation and Simulation, vol. 44, pp. 1 - 15, http://dx.doi.org/10.1080/00949659208811445
    Journal articles | 1992
    Kohn R; Ansley CF; Wong CM, 1992, 'Nonparametric spline regression with autoregressive moving average errors', Biometrika, vol. 79, pp. 335 - 346, http://dx.doi.org/10.1093/biomet/79.2.335
    Journal articles | 1991
    KOHN R; ANSLEY CF; THARM D, 1991, 'THE PERFORMANCE OF CROSS-VALIDATION AND MAXIMUM-LIKELIHOOD ESTIMATORS OF SPLINE SMOOTHING PARAMETERS', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 86, pp. 1042 - 1050, http://dx.doi.org/10.2307/2290523
    Journal articles | 1991
    Kohn R; Ansley CF, 1991, 'A signal extraction approach to the estimation of treatment and control curves', Journal of the American Statistical Association, vol. 86, pp. 1034 - 1041, http://dx.doi.org/10.1080/01621459.1991.10475149
    Journal articles | 1991
    Kohn R; Ansley CF; Tharm D, 1991, 'The performance of cross-validation and maximum likelihood estimators of spline smoothing parameters', Journal of the American Statistical Association, vol. 86, pp. 1042 - 1050, http://dx.doi.org/10.1080/01621459.1991.10475150
    Journal articles | 1990
    Ansley CF; Kohn R, 1990, 'A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS', Journal of Time Series Analysis, vol. 11, pp. 181 - 183, http://dx.doi.org/10.1111/j.1467-9892.1990.tb00050.x
    Journal articles | 1990
    Ansley CF; Kohn R, 1990, 'FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS', Journal of Time Series Analysis, vol. 11, pp. 275 - 293, http://dx.doi.org/10.1111/j.1467-9892.1990.tb00058.x
    Journal articles | 1990
    SHIVELY TS; ANSLEY CF; KOHN R, 1990, 'FAST EVALUATION OF THE DISTRIBUTION OF THE DURBIN-WATSON AND OTHER INVARIANT TEST STATISTICS IN TIME-SERIES REGRESSION', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 85, pp. 676 - 685, http://dx.doi.org/10.2307/2290002
    Journal articles | 1990
    Shively TS; Ansley CF; Kohn R, 1990, 'Fast evaluation of the distribution of the Durbin-Watson and other invariant test statistics in time series regression', Journal of the American Statistical Association, vol. 85, pp. 676 - 685, http://dx.doi.org/10.1080/01621459.1990.10474927
    Journal articles | 1989
    KOHN R; ANSLEY CF, 1989, 'LINEAR SMOOTHERS AND ADDITIVE-MODELS - DISCUSSION', ANNALS OF STATISTICS, vol. 17, pp. 535 - 540, http://dx.doi.org/10.1214/aos/1176347122
    Journal articles | 1989
    Kohn R; Ansley CF, 1989, 'A fast algorithm for signal extraction, influence and cross-validation in state space models', Biometrika, vol. 76, pp. 65 - 79, http://dx.doi.org/10.1093/biomet/76.1.65
    Journal articles | 1989
    Kohn R; Ansley CF, 1989, 'Filtering and smoothing algorithms for state space models', Computers and Mathematics with Applications, vol. 18, pp. 515 - 528, http://dx.doi.org/10.1016/0898-1221(89)90104-1
    Journal articles | 1987
    Ansley CF; Kohn R, 1987, 'Efficient generalized cross-validation for state space models', Biometrika, vol. 74, pp. 139 - 148, http://dx.doi.org/10.1093/biomet/74.1.139
    Journal articles | 1987
    KOHN R; ANSLEY CF, 1987, 'A NEW ALGORITHM FOR SPLINE SMOOTHING BASED ON SMOOTHING A STOCHASTIC-PROCESS', SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING, vol. 8, pp. 33 - 48, http://dx.doi.org/10.1137/0908004
    Journal articles | 1987
    KOHN R; ANSLEY CF, 1987, 'NON-GAUSSIAN STATE-SPACE MODELING OF NONSTATIONARY TIME-SERIES - COMMENT', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 82, pp. 1041 - 1044, http://dx.doi.org/10.2307/2289376
    Journal articles | 1987
    KOHN R; ANSLEY CF, 1987, 'SIGNAL EXTRACTION FOR FINITE NONSTATIONARY TIME-SERIES', BIOMETRIKA, vol. 74, pp. 411 - 421, http://dx.doi.org/10.2307/2336156
    Journal articles | 1987
    Kohn R; Ansley CF, 1987, 'Comment', Journal of the American Statistical Association, vol. 82, pp. 1041 - 1044, http://dx.doi.org/10.1080/01621459.1987.10478535
    Journal articles | 1987
    Kohn R; Ansley CF, 1987, 'Signal extraction for finite nonstationary time series', Biometrika, vol. 74, pp. 411 - 421, http://dx.doi.org/10.1093/biomet/74.2.411
    Journal articles | 1986
    ANSLEY CF; KOHN R, 1986, 'PREDICTION MEAN SQUARED ERROR FOR STATE-SPACE MODELS WITH ESTIMATED PARAMETERS', BIOMETRIKA, vol. 73, pp. 467 - 473, http://dx.doi.org/10.2307/2336224
    Journal articles | 1986
    Ansley CF; Kohn R, 1986, 'A note on reparameterizing a vector autoregressive moving average model to enforce stationarity', Journal of Statistical Computation and Simulation, vol. 24, pp. 99 - 106, http://dx.doi.org/10.1080/00949658608810893
    Journal articles | 1986
    Ansley CF; Kohn R, 1986, 'On the equivalence of two stochastic approaches to spline smoothing', Journal of Applied Probability, vol. 23, pp. 391 - 405, http://dx.doi.org/10.1017/s002190020011722x
    Journal articles | 1986
    Ansley CF; Kohn R, 1986, 'On the equivalence of two stochastic approaches to spline smoothing', Journal of Applied Probability, vol. 23, pp. 391 - 405, http://dx.doi.org/10.2307/3214367
    Journal articles | 1986
    Ansley CF; Kohn R, 1986, 'Spline Smoothing with Repeated Values', Journal of Statistical Computation and Simulation, vol. 25, pp. 251 - 258, http://dx.doi.org/10.1080/00949658608810935
    Journal articles | 1986
    KOHN R; ANSLEY CF, 1986, 'ESTIMATION, PREDICTION, AND INTERPOLATION FOR ARIMA MODELS WITH MISSING DATA', JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 81, pp. 751 - 761, http://dx.doi.org/10.2307/2289007
    Journal articles | 1986
    Kohn R; Ansley CF, 1986, 'Estimation, prediction, and interpolation for ARIMA models with missing data', Journal of the American Statistical Association, vol. 81, pp. 751 - 761, http://dx.doi.org/10.1080/01621459.1986.10478332
    Journal articles | 1986
    Kohn R; Ansley CF, 1986, 'Fast filtering for seasonal moving average models', Biometrika, vol. 73, pp. 522 - 524, http://dx.doi.org/10.1093/biomet/73.2.522
    Journal articles | 1986
    Kohn R; Ansley CF, 1986, 'Prediction mean squared error for state space models with estimated parameters', Biometrika, vol. 73, pp. 467 - 473, http://dx.doi.org/10.1093/biomet/73.2.467
    Journal articles | 1985
    Ansley CF; Kohn R, 1985, 'A Structured State Space Approach to Computing the Likelihood of an ARIMA Process and its Derivatives', Journal of Statistical Computation and Simulation, vol. 21, pp. 135 - 169, http://dx.doi.org/10.1080/00949658508810810
    Journal articles | 1985
    Ansley CF; Kohn R, 1985, 'Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions', The Annals of Statistics, vol. 13, http://dx.doi.org/10.1214/aos/1176349739
    Journal articles | 1985
    Ansley CF; Kohn R, 1985, 'On the rate of convergence of the innovation representation of a moving average process', Biometrika, vol. 72, pp. 325 - 330, http://dx.doi.org/10.1093/biomet/72.2.325
    Journal articles | 1985
    Kohn R; Ansley CF, 1985, 'Computing the likelihood and its derivatives for a gaussian arma model', Journal of Statistical Computation and Simulation, vol. 22, pp. 229 - 263, http://dx.doi.org/10.1080/00949658508810849
    Journal articles | 1985
    Kohn R; Ansley CF, 1985, 'Efficient estimation and prediction in time series regression models', Biometrika, vol. 72, pp. 694 - 697, http://dx.doi.org/10.1093/biomet/72.3.694
    Journal articles | 1984
    Kohn R; Ansley CF, 1984, 'A note on Kalman filtering for the seasonal moving average model', Biometrika, vol. 71, pp. 648 - 650, http://dx.doi.org/10.1093/biomet/71.3.648
    Journal articles | 1983
    Ansley CF; Kohn R, 1983, 'Exact likelihood of vector autoregressive-moving average process with missing or aggregated data', Biometrika, vol. 70, pp. 275 - 278, http://dx.doi.org/10.1093/biomet/70.1.275
    Journal articles | 1983
    Kohn R; Ansley CF, 1983, 'Fixed interval estimation in state space models when some of the data are missing or aggregated', Biometrika, vol. 70, pp. 683 - 688, http://dx.doi.org/10.1093/biomet/70.3.683
    Journal articles | 1983
    Kohn R; Ansley CF, 1983, 'On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise', The Annals of Statistics, vol. 11, http://dx.doi.org/10.1214/aos/1176346270
    Journal articles | 1982
    Ansley CF; Kohn R, 1982, 'A geometrical derivation of the fixed interval smoothing algorithm', Biometrika, vol. 69, pp. 486 - 487, http://dx.doi.org/10.1093/biomet/69.2.486
    Journal articles | 1982
    Kohn R, 1982, 'When is an aggregate of a time series efficiently forecast by its past?', Journal of Econometrics, vol. 18, pp. 337 - 349, http://dx.doi.org/10.1016/0304-4076(82)90087-2
    Journal articles | 1982
    Kohn R; Ansley C, 1982, 'A Note on Obtaining the Theoretical Autocovariances of an ARMA Process', Journal of Statistical Computation and Simulation, vol. 15, pp. 273 - 283, http://dx.doi.org/10.1080/00949658208810594
    Journal articles | 1981
    Kohn R, 1981, 'A note on an alternative derivation of the likelihood of an autoregressive moving average process', Economics Letters, vol. 7, pp. 233 - 236, http://dx.doi.org/10.1016/0165-1765(81)90057-4
    Journal articles | 1980
    KOHN R, 1980, 'ON THE SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .2.', ADVANCES IN APPLIED PROBABILITY, vol. 12, pp. 462 - 474, http://dx.doi.org/10.2307/1426606
    Journal articles | 1980
    KOHN R, 1980, 'SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .1.', ADVANCES IN APPLIED PROBABILITY, vol. 12, pp. 183 - 199, http://dx.doi.org/10.2307/1426501
    Journal articles | 1980
    Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. I', Advances in Applied Probability, vol. 12, pp. 183 - 199, http://dx.doi.org/10.1017/s0001867800033450
    Journal articles | 1980
    Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. II', Advances in Applied Probability, vol. 12, pp. 462 - 474, http://dx.doi.org/10.1017/s0001867800050266
    Journal articles | 1979
    KOHN R, 1979, 'IDENTIFICATION RESULTS FOR ARMAX STRUCTURES', ECONOMETRICA, vol. 47, pp. 1295 - 1304, http://dx.doi.org/10.2307/1911964
    Journal articles | 1979
    Kohn R, 1979, 'Asymptotic estimation and hypothesis testing results for vector linear time series models.', Econometrica, vol. 47, pp. 1005 - 1030, http://dx.doi.org/10.2307/1914144
    Journal articles | 1978
    Kohn R, 1978, 'Local and global identification and strong consistency in time series models', Journal of Econometrics, vol. 8, pp. 269 - 293, http://dx.doi.org/10.1016/0304-4076(78)90048-9
    Journal articles | 1977
    Kohn R, 1977, 'Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average process', Biometrika, vol. 64, pp. 622 - 625, http://dx.doi.org/10.1093/biomet/64.3.622
  • Working Papers | 2020
    Mendes EF; Carter CK; Gunawan D; Kohn R, 2020, A flexible particle Markov chain Monte Carlo method, Springer Science and Business Media LLC, http://dx.doi.org10.1007/s11222-019-09916-7, http://arxiv.org/abs/1401.1667v6
    Working Papers | 2018
    Gunawan D; Carter C; Kohn R, 2018, On Scalable Particle Markov Chain Monte Carlo, http://dx.doi.org, http://arxiv.org/abs/1804.04359v3
    Working Papers | 2018
    Gunawan D; Kohn R; Tran MN, 2018, Robust Particle Density Tempering for State Space Models, http://dx.doi.org, http://arxiv.org/abs/1805.00649v3
    Working Papers | 2017
    Gunawan D; Carter C; Kohn R, 2017, Efficient Bayesian inference for multivariate factor stochastic volatility models with leverage, http://dx.doi.org, http://arxiv.org/abs/1706.03938v1
    Working Papers | 2017
    Gunawan D; carter C; Fiebig D; Kohn R, 2017, Efficient Bayesian estimation for flexible panel models for multivariate outcomes: Impact of life events on mental health and excessive alcohol consumption, http://dx.doi.org, http://arxiv.org/abs/1706.03953v3
  • Preprints | 2023
    Salomone R; Yu X; Nott DJ; Kohn R, 2023, Structured variational approximations with skew normal decomposable graphical models, http://arxiv.org/abs/2302.03348v1
    Preprints | 2023
    Thompson R; Dezfouli A; Kohn R, 2023, The Contextual Lasso: Sparse Linear Models via Deep Neural Networks, http://arxiv.org/abs/2302.00878v1
    Preprints | 2022
    Botha I; Kohn R; South L; Drovandi C, 2022, Automatically adapting the number of state particles in SMC$^2$, http://dx.doi.org/10.48550/arxiv.2201.11354
    Preprints | 2022
    Yang Y; Quiroz M; Kohn R; Sisson SA, 2022, A correlated pseudo-marginal approach to doubly intractable problems, http://dx.doi.org/10.48550/arxiv.2210.02734
    Conference Presentations | 2021
    Chatterjee P; Gunawan D; Kohn R, 2021, 'The Interaction between credit constraints and uncertainty shocks', presented at ASSA Meetings 2021, 03 January 2021
    Preprints | 2021
    Chin V; Beavan A; Fransen J; Mayer J; Kohn R; Ryan LM; Sisson SA, 2021, Modelling age-related changes in executive functions of soccer players, http://dx.doi.org/10.48550/arxiv.2105.01226
    Preprints | 2021
    Gunawan D; Kohn R; Nott D, 2021, Flexible Variational Bayes based on a Copula of a Mixture of Normals, http://dx.doi.org/10.48550/arxiv.2106.14392
    Preprints | 2021
    Munezero P; Villani M; Kohn R, 2021, Dynamic Mixture of Experts Models for Online Prediction, http://dx.doi.org/10.48550/arxiv.2109.11449
    Preprints | 2021
    Villani M; Quiroz M; Kohn R; Salomone R, 2021, Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes, http://dx.doi.org/10.48550/arxiv.2104.02134
    Preprints | 2020
    Balnozan I; Fiebig DG; Asher A; Kohn R; Sisson SA, 2020, Hidden Group Time Profiles: Heterogeneous Drawdown Behaviours in Retirement, http://dx.doi.org/10.48550/arxiv.2009.01505
    Preprints | 2020
    Gunawan D; Kohn R; Nott D, 2020, Variational Approximation of Factor Stochastic Volatility Models, http://dx.doi.org/10.48550/arxiv.2010.06738
    Conference Papers | 2020
    Salomone R; Quiroz M; Kohn R; Villani M; Tran MN, 2020, 'Spectral subsampling MCMC for stationary time series', in Daume III H; Singh A (ed.), Proceedings of Machine Learning Research, ML Research Press, Virtual, presented at International Conference on Machine Learning, Virtual, 13 July 2020 - 18 July 2020, http://proceedings.mlr.press/v119/salomone20a/salomone20a.pdf
    Conference Papers | 2020
    Xu M; Quiroz M; Kohn R; Sisson SA, 2020, 'Variance reduction properties of the reparameterization trick', in Chaudhuri K; Sugiyama M (ed.), AISTATS 2019 - 22nd International Conference on Artificial Intelligence and Statistics, MICROTOME PUBLISHING, Naha, JAPAN, presented at 22nd International Conference on Artificial Intelligence and Statistics (AISTATS), Naha, JAPAN, 16 April 2019 - 18 April 2019, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000509687902078&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Preprints | 2019
    Botha I; Kohn R; Drovandi C, 2019, Particle Methods for Stochastic Differential Equation Mixed Effects Models, http://dx.doi.org/10.48550/arxiv.1907.11017
    Preprints | 2019
    Chin V; Lee JYL; Ryan LM; Kohn R; Sisson SA, 2019, Multiclass classification of growth curves using random change points and heterogeneous random effects, http://dx.doi.org/10.48550/arxiv.1909.07550
    Preprints | 2019
    Frazier DT; Nott DJ; Drovandi C; Kohn R, 2019, Bayesian inference using synthetic likelihood: asymptotics and adjustments, http://dx.doi.org/10.48550/arxiv.1902.04827
    Preprints | 2019
    Gunawan D; Hawkins GE; Kohn R; Tran M-N; Brown SD, 2019, Time-evolving psychological processes over repeated decisions, http://dx.doi.org/10.48550/arxiv.1906.10838
    Preprints | 2019
    Nguyen T-N; Tran M-N; Gunawan D; Kohn R, 2019, A Statistical Recurrent Stochastic Volatility Model for Stock Markets, http://dx.doi.org/10.48550/arxiv.1906.02884
    Preprints | 2019
    Salomone R; Quiroz M; Kohn R; Villani M; Tran M-N, 2019, Spectral Subsampling MCMC for Stationary Time Series, http://dx.doi.org/10.48550/arxiv.1910.13627
    Preprints | 2019
    Tran M-N; Scharth M; Gunawan D; Kohn R; Brown SD; Hawkins GE, 2019, Robustly estimating the marginal likelihood for cognitive models via importance sampling, http://dx.doi.org/10.48550/arxiv.1906.06020
    Preprints | 2019
    Wall L; Gunawan D; Brown SD; Tran M-N; Kohn R; Hawkins GE, 2019, Identifying relationships between cognitive processes across tasks, contexts, and time, http://dx.doi.org/10.48550/arxiv.1910.07185
    Preprints | 2018
    Chin V; Gunawan D; Fiebig DG; Kohn R; Sisson SA, 2018, Efficient data augmentation for multivariate probit models with panel data: An application to general practitioner decision-making about contraceptives, http://dx.doi.org/10.48550/arxiv.1806.07274
    Preprints | 2018
    Gunawan D; Dang K-D; Quiroz M; Kohn R; Tran M-N, 2018, Subsampling Sequential Monte Carlo for Static Bayesian Models, http://dx.doi.org/10.48550/arxiv.1805.03317
    Preprints | 2018
    Gunawan D; Hawkins GE; Tran M-N; Kohn R; Brown S, 2018, New Estimation Approaches for the Hierarchical Linear Ballistic Accumulator Model, http://dx.doi.org/10.48550/arxiv.1806.10089
    Preprints | 2018
    Gunawan D; Kohn R; Tran MN, 2018, Robust Particle Density Tempering for State Space Models, http://dx.doi.org/10.48550/arxiv.1805.00649
    Preprints | 2018
    Quiroz M; Villani M; Kohn R; Tran M-N; Dang K-D, 2018, Subsampling MCMC - An introduction for the survey statistician, http://dx.doi.org/10.48550/arxiv.1807.08409
    Preprints | 2018
    Tran M-N; Nguyen N; Nott D; Kohn R, 2018, Bayesian Deep Net GLM and GLMM, http://dx.doi.org/10.48550/arxiv.1805.10157
    Preprints | 2018
    Xu M; Quiroz M; Kohn R; Sisson SA, 2018, Variance reduction properties of the reparameterization trick, http://dx.doi.org/10.48550/arxiv.1809.10330
    Preprints | 2017
    Dang K-D; Quiroz M; Kohn R; Tran M-N; Villani M, 2017, Hamiltonian Monte Carlo with Energy Conserving Subsampling, http://dx.doi.org/10.48550/arxiv.1708.00955
    Preprints | 2017
    Gunawan D; Tran M-N; Kohn R, 2017, Fast Inference for Intractable Likelihood Problems using Variational Bayes, http://dx.doi.org/10.48550/arxiv.1705.06679
    Preprints | 2016
    Quiroz M; Tran M-N; Villani M; Kohn R; Dang K-D, 2016, The block-Poisson estimator for optimally tuned exact subsampling MCMC, http://dx.doi.org/10.48550/arxiv.1603.08232
    Preprints | 2015
    Mendes EF; Scharth M; Kohn R, 2015, Markov Interacting Importance Samplers, http://dx.doi.org/10.48550/arxiv.1502.07039
    Preprints | 2015
    Quiroz M; Tran M-N; Villani M; Kohn R, 2015, Speeding Up MCMC by Delayed Acceptance and Data Subsampling, http://dx.doi.org/10.48550/arxiv.1507.06110
    Preprints | 2015
    Quiroz M; Villani M; Kohn R, 2015, Scalable MCMC for Large Data Problems using Data Subsampling and the Difference Estimator, http://dx.doi.org/10.48550/arxiv.1507.02971
    Preprints | 2015
    Tran M-N; Nott DJ; Kohn R, 2015, Variational Bayes with Intractable Likelihood, http://dx.doi.org/10.48550/arxiv.1503.08621
    Preprints | 2014
    Mendes EF; Carter CK; Gunawan D; Kohn R, 2014, A flexible Particle Markov chain Monte Carlo method, http://dx.doi.org/10.48550/arxiv.1401.1667
    Preprints | 2014
    Quiroz M; Kohn R; Villani M; Tran M-N, 2014, Speeding Up MCMC by Efficient Data Subsampling, http://dx.doi.org/10.48550/arxiv.1404.4178
    Preprints | 2013
    Nott DJ; Tran M-N; Kuk AYC; Kohn R, 2013, Efficient variational inference for generalized linear mixed models with large datasets, http://dx.doi.org/10.48550/arxiv.1307.7963
    Preprints | 2013
    Pitt MK; Tran M-N; Scharth M; Kohn R, 2013, On the existence of moments for high dimensional importance sampling, http://dx.doi.org/10.48550/arxiv.1307.7975
    Preprints | 2013
    Scharth M; Kohn R, 2013, Particle Efficient Importance Sampling, http://dx.doi.org/10.48550/arxiv.1309.6745
    Preprints | 2013
    Tran M-N; Giordani P; Mun X; Kohn R; Pitt M, 2013, Copula-type Estimators for Flexible Multivariate Density Modeling using Mixtures, http://dx.doi.org/10.48550/arxiv.1306.3033
    Preprints | 2013
    Tran M-N; Scharth M; Pitt MK; Kohn R, 2013, Importance sampling squared for Bayesian inference in latent variable models, http://dx.doi.org/10.48550/arxiv.1309.3339
    Preprints | 2012
    Doucet A; Pitt M; Deligiannidis G; Kohn R, 2012, Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator, http://dx.doi.org/10.48550/arxiv.1210.1871
    Preprints | 2012
    Peters GW; Dong AXD; Kohn R, 2012, A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving, http://dx.doi.org/10.48550/arxiv.1210.3849
    Preprints | 2010
    Silva R; Kohn R; Giordani P; Mun X, 2010, A copula based approach to adaptive sampling, http://dx.doi.org/10.48550/arxiv.1002.4775
    Preprints | 2009
    Giordani P; Mun X; Kohn R, 2009, Flexible Multivariate Density Estimation with Marginal Adaptation, http://dx.doi.org/10.48550/arxiv.0901.0225
    Conference Papers | 2008
    Ouysse R; Kohn R, 2008, 'Bayesian Selection of Risk Factors and Estimation of Factor Betas and Risk Premiums in the APT model', in FEMES-SAMES 2008, Far Eastern Meeting of the Econometric Society, Singapore, pp. 1 - 29, presented at Far Eastern Meeting of the Econometric Society, Singapore, 16 July 2008 - 19 July 2008
    Preprints | 2007
    Cottet R; Kohn R; Nott D, 2007, Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models, http://dx.doi.org/10.48550/arxiv.0707.2158
    Conference Papers | 2007
    Ouysse R; Kohn R, 2007, 'Bayesian variable Selecton of Risk Factors in the APT model', in Bayesian Variable Selection of Risk Factors in the APT model, Bayesian Variable Selection of Risk Factors in the APT model, presented at Bayesian Variable Selection of Risk Factors in the APT model
    Preprints | 2007
    Wood S; Kohn R; Cottet R; Jiang W; Tanner M, 2007, Locally Adaptive Nonparametric Binary Regression, http://dx.doi.org/10.48550/arxiv.0709.3545
    Conference Papers | 1994
    SMITH M; KOHN R, 1994, 'A BAYESIAN APPROACH TO ADDITIVE NONPARAMETRIC REGRESSION', in Sall J; Lehman A (ed.), COMPUTING SCIENCE AND STATISTICS, VOL 26, INTERFACE FOUNDATION NORTH AMERICA, NC, RESEARCH TRIANGLE PK, pp. 96 - 105, presented at 26th Symposium on the Interface of Computing Science and Statistics - Computationally Intensive Statistical Methods, NC, RESEARCH TRIANGLE PK, 15 June 1994 - 18 June 1994, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1994BD22V00017&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1
    Conference Papers | 1990
    Kohn R; Ansley CF, 1990, 'The nonparametric estimation of growth curves', in Mathematics and Computers in Simulation, pp. 203 - 208, http://dx.doi.org/10.1016/0378-4754(90)90239-F
    Preprints |
    Chan DX; Kohn R; Nott DJ; Kirby C, Locally Adaptive Semiparametric Estimation of the Mean and Variance Functions in Regression Models, http://dx.doi.org/10.2139/ssrn.878225
    Preprints |
    Cottet R; Kohn R; Nott DJ, Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models, http://dx.doi.org/10.2139/ssrn.1000681
    Preprints |
    Cripps EJ; Kohn R; Nott DJ, Bayesian Subset Selection and Model Averaging using a Centered and Dispersed Prior for the Error Variance, http://dx.doi.org/10.2139/ssrn.879481
    Preprints |
    Giordani P; Kohn R, Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals, http://dx.doi.org/10.2139/ssrn.1082955
    Preprints |
    Giordani P; Kohn R, Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models, http://dx.doi.org/10.2139/ssrn.738894
    Preprints |
    Giordani P; Kohn R; Mun X, Flexible Multivariate Density Estimation with Marginal Adaptation, http://dx.doi.org/10.2139/ssrn.1342419
    Preprints |
    Giordani P; Kohn R; van Dijk DJC, A Unified Approach to Nonlinearity, Structural Change, and Outliers, http://dx.doi.org/10.2139/ssrn.738865
    Preprints |
    Gu Y; Fiebig DG; Cripps EJ; Kohn R, Bayesian Estimation of a Random Effects Heteroscedastic Probit Model, http://dx.doi.org/10.2139/ssrn.1260140
    Preprints |
    Kohn R; Li F; Villani M, Modeling Conditional Densities Using Finite Smooth Mixtures, http://dx.doi.org/10.2139/ssrn.1711194
    Preprints |
    Li F; Villani M; Kohn R, Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities, http://dx.doi.org/10.2139/ssrn.1551195
    Preprints |
    Mendes EF; Scharth M; Kohn R, Markov Interacting Importance Samplers, http://dx.doi.org/10.2139/ssrn.2569488
    Preprints |
    Peters GW; Kohn R, A Copula Based Bayesian Approach for PaiddIncurred Claims Models for Non-Life Insurance Reserving, http://dx.doi.org/10.2139/ssrn.2980405
    Preprints |
    Quiroz M; Villani M; Kohn R, Scalable MCMC for Large Data Problems Using Data Subsampling and the Difference Estimator, http://dx.doi.org/10.2139/ssrn.2706410
    Preprints |
    Quiroz M; Villani M; Kohn R, Speeding Up MCMC by Efficient Data Subsampling, http://dx.doi.org/10.2139/ssrn.2592889
    Preprints |
    Scharth M; Kohn R, Particle Efficient Importance Sampling, http://dx.doi.org/10.2139/ssrn.2331232
    Preprints |
    Smith MN; Sheather S; Kohn R, Finite Sample Performance of Robust Bayesian Regression, http://dx.doi.org/10.2139/ssrn.41540
    Preprints |
    Smith MS; Gan Q; Kohn R, Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications, http://dx.doi.org/10.2139/ssrn.1671816
    Preprints |
    Tran M-N; Scharth M; Pitt MK; Kohn R, Importance Sampling Squared for Bayesian Inference in Latent Variable Models, http://dx.doi.org/10.2139/ssrn.2386371
    Preprints |
    Villani M; Kohn R; Giordani P, Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures, http://dx.doi.org/10.2139/ssrn.1024701
    Preprints |
    Wood SA; Kohn R; Cottet R; Jiang W; Tanner M, Locally Adaptive Nonparametric Binary Regression, http://dx.doi.org/10.2139/ssrn.1000861