Siddhartha Chib Explained

Siddhartha Chib
Fields:Econometrics, Statistics
Workplaces:Washington University in St. Louis
Alma Mater:University of California, Santa Barbara
Thesis Title:Some Contributions to Likelihood Based Prediction Methods
Thesis1 Title:and
Thesis2 Title:)-->
Thesis1 Url:and
Thesis2 Url:)-->
Thesis Year:1985
Thesis1 Year:and
Thesis2 Year:)-->
Doctoral Advisors:)-->
Academic Advisors:Sreenivasa Rao Jammalamadaka
Thomas F. Cooley
Spouses:)-->
Partners:)-->

Siddhartha Chib is an econometrician and statistician, the Harry C. Hartkopf Professor of Econometrics and Statistics at Washington University in St. Louis. His work is primarily in Bayesian statistics, econometrics, and Markov chain Monte Carlo methods.

Key papers include Albert and Chib (1993)[1] which introduced an approach for binary and categorical response models based on latent variables that simplifies the Bayesian analysis of categorical response models; Chib and Greenberg (1995)[2] which provided a derivation of the Metropolis-Hastings algorithm from first principles, guidance on implementation and extensions to multiple-block versions; Chib (1995)[3] where a new method for calculating the marginal likelihood from the Gibbs output is developed; Chib and Jeliazkov (2001)[4] where the method of Chib (1995) is extended to output of Metropolis-Hastings chains; Basu and Chib (2003)[5] for a method for finding marginal likelihoods in Dirichlet process mixture models; Carlin and Chib (1995)[6] which developed a model-space jump method for Bayesian model choice via Markov chain Monte Carlo methods; Chib (1998)[7] which introduced a multiple-change point model that is estimated by the methods of Albert and Chib (1993)[8] and Chib (1996)[9] for hidden Markov processes; Kim, Shephard and Chib (1998)[10] which introduced an efficient inference approach for univariate and multivariate stochastic volatility models;[11] [12] and Chib and Greenberg (1998)[13] which developed the Bayesian analysis of the multivariate probit model.

He has also developed original methods for Bayesian inference in Tobit censored responses,[14] discretely observed diffusions,[15] univariate and multivariate ARMA processes,[16] [17] multivariate count responses,[18] causal inference,[19] [20] hierarchical models of longitudinal data,[21] nonparametric regression,[22] [23] and unconditional and conditional moment models.[24] [25]

Biography

He received a bachelor's degree from St. Stephen’s College, Delhi, in 1979, an M.B.A. from the Indian Institute of Management, Ahmedabad, in 1982, and a Ph.D. in economics from the University of California, Santa Barbara, in 1986.[26] His advisors were Sreenivasa Rao Jammalamadaka and Thomas F. Cooley.

Honors and awards

He is a fellow of the American Statistical Association (2001),[27] the International Society of Bayesian Analysis (2012),[28] and the Journal of Econometrics (1996).[29]

Selected publications

External links

Notes and References

  1. Albert . Jim . Chib . Siddhartha . 1993 . Bayesian Analysis of Binary and Polychotomous Response Data . Journal of the American Statistical Association . 88 . 422 . 669–679 . 10.1080/01621459.1993.10476321 . 2290350.
  2. Chib. Siddhartha. Greenberg. Edward. 1995. Understanding the Metropolis Hastings Algorithm. American Statistician. 49. 4 . 327–335. 10.1080/00031305.1995.10476177 . 2020-04-24. 2019-11-13. https://web.archive.org/web/20191113140222/http://web1.sph.emory.edu/users/hwu30/teaching/statcomp/papers/chibGreenbergMH.pdf. live.
  3. Chib. Siddhartha. 1995. Marginal Likelihood from the Gibbs Output. Journal of the American Statistical Association. 90. 432. 1313–1321. 10.1080/01621459.1995.10476635. 2020-04-30. 2019-07-15. https://web.archive.org/web/20190715023512/http://apps.olin.wustl.edu/faculty/chib/papers/chib95.pdf. live.
  4. Chib. Siddhartha. Jeliazkov. Ivan. 2001. Marginal Likelihood from the Metropolis-Hastings Output. Journal of the American Statistical Association. 96. 1. 270–281. 10.1198/016214501750332848. 44046690. 2020-04-30. 2019-07-15. https://web.archive.org/web/20190715175500/http://apps.olin.wustl.edu/faculty/chib/papers/chibJeliazkov2001.pdf. live. 10.1.1.722.3656.
  5. Basu . Sanjib . Chib . Siddhartha . 2003 . Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models . Journal of the American Statistical Association . 98 . 461 . 224–235 . 10.1.1.722.3907 . 10.1198/01621450338861947 . 30045209 . 17496626.
  6. Carlin. Bradley. Chib. Siddhartha. 1995. Bayesian Model Choice via Markov Chain Monte Carlo. Journal of the Royal Statistical Society, Series B. 57. 473–484. 10.1111/j.2517-6161.1995.tb02042.x .
  7. Chib . Siddhartha . 1998 . Estimation and comparison of multiple change-point models . Journal of Econometrics . 86 . 2 . 221–241 . 10.1016/S0304-4076(97)00115-2.
  8. Albert. Jim. Chib. Siddhartha. 1993. Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts. Journal of Business and Economic Statistics. 11. 1 . 1–15. 10.2307/1391303 . 1391303 .
  9. Chib . Siddhartha . 1996 . Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models . Journal of Econometrics . 75 . 79–97 . 10.1.1.119.4348 . 10.1016/0304-4076(95)01770-4.
  10. Kim. Sangjoon. Shephard. Neil. Chib. Siddhartha. 1998. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models. Review of Economic Studies. 65. 3. 361–393. 10.1111/1467-937X.00050. 18381818 . 2020-09-29. 2017-08-11. https://web.archive.org/web/20170811003749/http://www.nuff.ox.ac.uk/economics/papers/1996/w26/chib8.pdf. live.
  11. Chib . Siddhartha . Nardari . Federico . Shephard . Neil . 2006 . Analysis of high dimensional multivariate stochastic volatility models . Journal of Econometrics . 134 . 2 . 341–371. 10.1016/j.jeconom.2005.06.026 .
  12. Omori . Yasuhiro. Chib. Siddhartha . Shephard. Neil . Nakajima. Jouchi. 2007 . Stochastic volatility with leverage: Fast and efficient likelihood inference. Journal of Econometrics . 140 . 2 . 425–449. 10.1016/j.jeconom.2006.07.008 .
  13. Chib . Siddhartha . Greenberg . Edward . 1998 . Analysis of multivariate probit models . live . Biometrika . 85 . 2 . 347–361 . 10.1.1.198.8541 . 10.1093/biomet/85.2.347 . https://web.archive.org/web/20190321080857/https://academic.oup.com/biomet/article-abstract/85/2/347/298820 . 2019-03-21 . 2020-04-24 . Oxford Academic.
  14. Chib. Siddhartha. 1992. Bayes inference in the Tobit censored regression model. Journal of Econometrics. 51. 1–2. 79–99. 10.1016/0304-4076(92)90030-U.
  15. Eleriain. Ola. Chib. Siddhartha. Shephard. Neil. 2001. Likelihood Inference for Discretely Observed Nonlinear Diffusions. Econometrica. 69. 4. 959–993. 10.1111/1468-0262.00226. 2020-08-28. 2020-10-26. https://web.archive.org/web/20201026194556/https://ora.ox.ac.uk/objects/uuid:32366322-5b0e-4f38-b18b-89c11fd44265. live.
  16. Chib. Siddhartha. Greenberg. Edward. 1994. Bayes inference in regression models with ARMA (p, q) errors. Journal of Econometrics. 64. 1–2. 183–206. 10.1016/0304-4076(94)90063-9. 2020-08-22. 2020-07-24. https://web.archive.org/web/20200724152908/https://www.sciencedirect.com/science/article/abs/pii/0304407694900639. live.
  17. Chib . Siddhartha . Greenberg . Edward . 1995 . Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models . Journal of Econometrics . 68 . 2 . 339–360. 10.1016/0304-4076(94)01653-H .
  18. Chib . Siddhartha. Winkelmann. Rainer. 2001 . Markov Chain Monte Carlo Analysis of Correlated Count Data. Journal of Business and Economic Statistics. 19. 4 . 428–435. 10.1198/07350010152596673 .
  19. Chib . Siddhartha . 2007 . Analysis of treatment response data without the joint distribution of potential outcomes . Journal of Econometrics . 140 . 2 . 401–412 . 10.1016/j.jeconom.2006.07.009 .
  20. Chib . Siddhartha . Greenberg . Edward . Simoni . Anna . 2022 . Nonparametric Bayes Analysis of the Sharp and Fuzzy Regression Discontinuity Designs . Econometric Theory. 39 . 3 . 481–533 . 10.1017/S0266466622000019 . 28242828 .
  21. Chib. Siddhartha. Carlin. Bradley. 1998. On MCMC sampling in hierarchical longitudinal models. Statistics and Computing. 9. 17–26. 10.1023/A:1008853808677. 15267509.
  22. Chib . Siddhartha . Jeliazkov . Ivan . 2006 . Inference in Semiparametric Dynamic Models for Binary Longitudinal Data . Journal of the American Statistical Association . 101 . 2 . 685–700. 10.1198/016214505000000871 . 27590727 . 10169747 .
  23. Chib . Siddhartha . Greenberg . Edward . 2010 . Additive cubic spline regression with Dirichlet process mixture errors . Journal of Econometrics . 156 . 2 . 322–336. 10.1016/j.jeconom.2009.11.002 .
  24. Chib. Siddhartha. Shin. Minchul. Simoni. Anna. 2018. Bayesian Analysis and Comparison of Moment Condition Models. Journal of the American Statistical Association. 113. 4. 1656–1668. 10.1080/01621459.2017.1358172. 1606.02931. 56211599.
  25. Chib . Siddhartha . Shin . Minchul . Simoni . Anna . 2022 . Bayesian Estimation and Comparison of Conditional Moment Models . Journal of the Royal Statistical Society, Series B (Statistical Methodology) . 84 . 3 . 740–764. 10.1111/rssb.12484 . 2110.13531 . 209455901 .
  26. Web site: Faculty . Washington University in St. Louis . 24 April 2020 . 23 April 2020 . https://web.archive.org/web/20200423183637/https://olin.wustl.edu/EN-US/Faculty-Research/Faculty/Pages/FacultyDetail.aspx?username=chib . live .
  27. Web site: ASA Fellows List . American Statistical Association . 24 April 2020 . 21 May 2020 . https://web.archive.org/web/20200521183138/https://www.amstat.org/ASA/Your-Career/Awards/ASA-Fellows-list.aspx . live .
  28. Web site: ISBA Fellows . The International Society for Bayesian Analysis . 24 April 2020 . 9 February 2018 . https://web.archive.org/web/20180209063830/https://bayesian.org/membership/isba-fellows/ . live .
  29. Journal of Econometrics Fellows . Journal of Econometrics . January 1997 . 78 . 1 . 131–133 . 10.1016/S0304-4076(97)80004-8 .

This article is licensed under the GNU Free Documentation License. It uses material from the Wikipedia article "Siddhartha Chib".

Except where otherwise indicated, Everything.Explained.Today is © Copyright 2009-2024, A B Cryer, All Rights Reserved. Cookie policy.