Siddhartha Chib
Harry C. Hartkopf Professor of Econometrics and Statistics
Area of Expertise:
Statistics/Econometrics, Statistics/Econometrics
Research Interests:
Bayesian statistics and econometrics, Markov chain Monte Carlo methods
Selected Publications:
- "Bayesian Analysis of Binary and Polychotomous Response Data", Journal of the American Statistical Association, with J. Albert, 1993
- "Understanding the Metropolis-Hastings Algorithm", American Statistician, with E. Greenberg, 1995
- "Marginal Likelihood from the Gibbs Output", Journal of the American Statistical Association, 1995
- "Bayesian Model Choice via Markov Chain Monte Carlo Methods", with B. Carlin, 1995
- "Analysis of Multivariate Probit Models", Biometrika, with E. Greenberg, 1998
- "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, with S. Kim, N. Shephard, 1998
- "Marginal Likelihood from the Metropolis-Hastings Output", Journal of the American Statistical Association, with I. Jeliakov, 2001
- "Likelihood Inference for Discretely Observed Nonlinear Diffusions", Econometrica, with O. Elarian, N. Shephard, 2001
- "Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models", Journal of the American Statistical Association, with S. Basu, 2003
- "Bayesian Estimation and Comparison of Moment Condition Models", Journal of the American Statistical Association, Issue 524, with M. Shin, A. Simoni, 2018
Academic/Professional Activities:
- Editor, Associate Editor, Journal of Computational and Graphical Statistics
Personal Interests:
Professor Chib is an avid chess player.
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Professor Chib's research is in the area of Bayesian statistics and Markov chain Monte Carlo computational methods. He has published papers on a number of different topics including the analysis of binary and ordinal data, Markov mixture models, stochastic volatility, Metropolis-Hastings algorithms and model choice. He is a Fellow of the American Statistical Association.
Siddhartha Chib's Home Page
Email: chib@wustl.edu
Phone: (314) 935-4657
PhD 1986, University of California, Santa Barbara
MA 1984, University of California, Santa Barbara
MBA 1982, Indian Institute of Management, Ahmedabad
BA 1979, St. Stephens College, Delhi University
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