Details about Robert J. Kohn

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Workplace:	School of Economics, UNSW Business School, UNSW Sydney, (more information at EDIRC)

Access statistics for papers by Robert J. Kohn.

Last updated 2020-02-04. Update your information in the RePEc Author Service.

Short-id: pko171

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Working Papers

2022

1. A Statistical Recurrent Stochastic Volatility Model for Stock Markets
   Papers, arXiv.org View citations (7)

2019

2. Hamiltonian Monte Carlo with Energy Conserving Subsampling
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)
3. Subsampling Sequential Monte Carlo for Static Bayesian Models
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2017

4. Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)

2016

5. Block-Wise Pseudo-Marginal Metropolis-Hastings
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (3)
6. Fast Inference for Intractable Likelihood Problems using Variational B ayes
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
7. Speeding up MCMC by Efficient Data Subsampling
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015) View citations (2)

2015

8. Exact ABC using Importance Sampling
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
9. SCALABLE MCMC FOR LARGE DATA PROBLEMS USING DATA SUBSAMPLING AND THE DIFFERENCE ESTIMATOR
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2012

10. A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
    Papers, arXiv.org View citations (3)
    See also Journal Article A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving, Insurance: Mathematics and Economics, Elsevier (2014) View citations (4) (2014)

2010

11. Adaptive hybrid Metropolis-Hastings samplers for DSGE models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (8)
12. Modeling Conditional Densities Using Finite Smooth Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (4)

2009

13. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2007

14. Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models
    Discussion Papers, School of Economics, The University of New South Wales
15. Bayesian Variable Selection of Risk Factors in the APT Model
    Discussion Papers, School of Economics, The University of New South Wales View citations (1)
16. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)

2006

17. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (23)
    See also Journal Article Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (106) (2008)

2005

18. A unified approach to nonlinearity, structural change and outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    See also Journal Article A unified approach to nonlinearity, structural change, and outliers, Journal of Econometrics, Elsevier (2007) View citations (77) (2007)

1998

19. Estimating Long-Term Trends in Tropospheric Ozone Levels
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
20. Nonparametric Seemingly Unrelated Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Nonparametric seemingly unrelated regression, Journal of Econometrics, Elsevier (2000) View citations (30) (2000)

1997

21. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Statistics Working Paper, Australian Graduate School of Management View citations (3)
    See also Journal Article Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data, Journal of Business Research, Elsevier (2000) View citations (4) (2000)

1996

22. Additive Nonparametric Regression with Autocorrelated Errors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
    See also Journal Article Additive nonparametric regression with autocorrelated errors, Journal of the Royal Statistical Society Series B, Royal Statistical Society (1998) View citations (4) (1998)

Undated

23. Additive Nonparametric Regression for Time Series
    Statistics Working Paper, Australian Graduate School of Management
24. Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo
    Statistics Working Paper, Australian Graduate School of Management View citations (13)
    See also Journal Article Bayesian estimation of an autoregressive model using Markov chain Monte Carlo, Journal of Econometrics, Elsevier (1996) View citations (22) (1996)
25. Finite sample performance of robust Bayesian regression
    Statistics Working Paper, Australian Graduate School of Management View citations (1)
26. Markov Chain Monte Carlo in Conditionally Gaussian State Space Models
    Statistics Working Paper, Australian Graduate School of Management View citations (28)
27. Nonparametric Regression using Bayesian Variable Selection
    Statistics Working Paper, Australian Graduate School of Management View citations (97)
    See also Journal Article Nonparametric regression using Bayesian variable selection, Journal of Econometrics, Elsevier (1996) View citations (123) (1996)
28. Robust Bayesian estimation of autoregressive-moving range models
    Statistics Working Paper, Australian Graduate School of Management
29. Robust Bayesian nonparametric regression
    Statistics Working Paper, Australian Graduate School of Management View citations (8)
30. Semiparametric Bayesian inference for time series with mixed spectra
    Statistics Working Paper, Australian Graduate School of Management View citations (20)
    See also Journal Article Semiparametric Bayesian Inference for Time Series with Mixed Spectra, Journal of the Royal Statistical Society Series B, Royal Statistical Society (1997) View citations (20) (1997)

Journal Articles

2020

1. Mixed Marginal Copula Modeling
   Journal of Business & Economic Statistics, 2020, 38, (1), 137-147 View citations (4)

2018

2. Subsampling MCMC - an Introduction for the Survey Statistician
   Sankhya A: The Indian Journal of Statistics, 2018, 80, (1), 33-69 View citations (2)

2016

3. Particle efficient importance sampling
   Journal of Econometrics, 2016, 190, (1), 133-147 View citations (6)

2015

4. Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
   Biometrika, 2015, 102, (2), 295-313 View citations (41)

2014

5. A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving
   Insurance: Mathematics and Economics, 2014, 59, (C), 258-278 View citations (4)
   See also Working Paper A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving, Papers (2012) View citations (3) (2012)
6. Bayesian inference for nonlinear structural time series models
   Journal of Econometrics, 2014, 179, (2), 99-111 View citations (9)

2012

7. Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage
   Journal of Financial Econometrics, 2012, 11, (1), 154-192 View citations (3)
8. Generalized smooth finite mixtures
   Journal of Econometrics, 2012, 171, (2), 121-133 View citations (13)
9. Modelling dependence using skew t copulas: Bayesian inference and applications
   Journal of Applied Econometrics, 2012, 27, (3), 500-522 View citations (35)
10. On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
    Journal of Econometrics, 2012, 171, (2), 134-151 View citations (90)

2011

11. Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach
    Journal of Multivariate Analysis, 2011, 102, (5), 871-883

2010

12. Bayesian variable selection and model averaging in the arbitrage pricing theory model
    Computational Statistics & Data Analysis, 2010, 54, (12), 3249-3268 View citations (10)
13. Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models
    Econometric Reviews, 2010, 29, (2), 146-157

2009

14. Bayesian estimation of a random effects heteroscedastic probit model
    Econometrics Journal, 2009, 12, (2), 324-339 View citations (5)
15. Multivariate probit models for conditional claim-types
    Insurance: Mathematics and Economics, 2009, 44, (2), 214-228 View citations (10)
16. Regression density estimation using smooth adaptive Gaussian mixtures
    Journal of Econometrics, 2009, 153, (2), 155-173 View citations (30)

2008

17. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
    Journal of Business & Economic Statistics, 2008, 26, 66-77 View citations (106)
    See also Working Paper Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models, Working Paper Series (2006) View citations (23) (2006)
18. Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
    Journal of the American Statistical Association, 2008, 103, 661-671 View citations (5)

2007

19. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 View citations (77)
    See also Working Paper A unified approach to nonlinearity, structural change and outliers, Econometric Institute Research Papers (2005) View citations (4) (2005)

2006

20. Efficient Bayesian inference for Gaussian copula regression models
    Biometrika, 2006, 93, (3), 537-554 View citations (52)
21. Multivariate Stochastic Volatility Models with Correlated Errors
    Econometric Reviews, 2006, 25, (2-3), 245-274 View citations (32)

2005

22. Adaptive sampling for Bayesian variable selection
    Biometrika, 2005, 92, (4), 747-763 View citations (32)

2002

23. Model selection in spline nonparametric regression
    Journal of the Royal Statistical Society Series B, 2002, 64, (1), 119-139 View citations (6)
24. Parsimonious Covariance Matrix Estimation for Longitudinal Data
    Journal of the American Statistical Association, 2002, 97, 1141-1153 View citations (63)

2001

25. Statistical Correction of a Deterministic Numerical Weather Prediction Model
    Journal of the American Statistical Association, 2001, 96, 794-804

2000

26. A Nonparametric Approach to Identifying Latent Relationships in Hierarchical Models
    Marketing Science, 2000, 19, (2), 149-162 View citations (10)
27. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Journal of Business Research, 2000, 49, (3), 229-244 View citations (4)
    See also Working Paper Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data, Monash Econometrics and Business Statistics Working Papers (1997) (1997)
28. Nonparametric seemingly unrelated regression
    Journal of Econometrics, 2000, 98, (2), 257-281 View citations (30)
    See also Working Paper Nonparametric Seemingly Unrelated Regression, Monash Econometrics and Business Statistics Working Papers (1998) View citations (2) (1998)

1999

29. Diagnostics for Time Series Analysis
    Journal of Time Series Analysis, 1999, 20, (3), 309-330 View citations (16)

1998

30. Additive nonparametric regression with autocorrelated errors
    Journal of the Royal Statistical Society Series B, 1998, 60, (2), 311-331 View citations (4)
    See also Working Paper Additive Nonparametric Regression with Autocorrelated Errors, Monash Econometrics and Business Statistics Working Papers (1996) View citations (3) (1996)

1997

31. A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
    Journal of Econometrics, 1997, 76, (1-2), 39-52 View citations (10)
32. ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1997, 18, (1), 11-28 View citations (1)
33. Semiparametric Bayesian Inference for Time Series with Mixed Spectra
    Journal of the Royal Statistical Society Series B, 1997, 59, (1), 255-268 View citations (20)
    See also Working Paper Semiparametric Bayesian inference for time series with mixed spectra, Statistics Working Paper View citations (20)

1996

34. A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 1996, 17, (2), 203-220 View citations (7)
35. A Bayesian approach to additive semiparametric regression
    Journal of Econometrics, 1996, 74, (2), 209-235 View citations (15)
36. Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
    Journal of Econometrics, 1996, 74, (2), 237-254 View citations (22)
    See also Working Paper Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo, Statistics Working Paper View citations (13)
37. Nonparametric regression using Bayesian variable selection
    Journal of Econometrics, 1996, 75, (2), 317-343 View citations (123)
    See also Working Paper Nonparametric Regression using Bayesian Variable Selection, Statistics Working Paper View citations (97)

1994

38. Testing for linearity in a semiparametric regression model
    Journal of Econometrics, 1994, 64, (1-2), 77-96 View citations (2)

1993

39. Computing p‐Values for the Generalized Durbin–Watson Statistic and Residual Autocorrelations in Regression
    Journal of the Royal Statistical Society Series C, 1993, 42, (1), 249-258 View citations (1)

1992

40. Computing p-values for the generalized Durbin-Watson and other invariant test statistics
    Journal of Econometrics, 1992, 54, (1-3), 277-300 View citations (11)

1990

41. A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1990, 11, (3), 181-183
42. FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
    Journal of Time Series Analysis, 1990, 11, (4), 275-293 View citations (13)
43. The nonparametric estimation of growth curves
    Mathematics and Computers in Simulation (MATCOM), 1990, 32, (1), 203-208

1983

44. Consistent Estimation of Minimal Subset Dimension
    Econometrica, 1983, 51, (2), 367-76 View citations (5)

1982

45. When is an aggregate of a time series efficiently forecast by its past?
    Journal of Econometrics, 1982, 18, (3), 337-349 View citations (60)

1981

46. A note on an alternative derivation of the likelihood of an autoregressive moving average process
    Economics Letters, 1981, 7, (3), 233-236 View citations (1)

1980

47. Local identification of ARMAX structures subject to nonlinear constraints
    Metrika: International Journal for Theoretical and Applied Statistics, 1980, 27, (1), 35-41 View citations (2)

1979

48. Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
    Econometrica, 1979, 47, (4), 1005-30 View citations (17)
49. Identification Results for ARMAX Structures
    Econometrica, 1979, 47, (5), 1295-1304 View citations (3)
50. On the Relative Efficiency of Two Methods of Estimating a Dynamic Simultaneous Equations Model
    International Economic Review, 1979, 20, (1), 237-52

1978

51. Local and global identification and strong consistency in time series models
    Journal of Econometrics, 1978, 8, (3), 269-293 View citations (2)