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Siddhartha Chib

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Siddhartha Chib
Alma materUniversity of California, Santa Barbara
Scientific career
FieldsEconometrics, Statistics
InstitutionsWashington University in St. Louis
Thesis Some Contributions to Likelihood Based Prediction Methods  (1985)
Academic advisorsSreenivasa Rao Jammalamadaka
Thomas F. Cooley
Websiteapps.olin.wustl.edu/faculty/chib/

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

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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

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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

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References

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  1. ^ Albert, Jim; Chib, Siddhartha (1993). "Bayesian Analysis of Binary and Polychotomous Response Data". Journal of the American Statistical Association. 88 (422): 669–679. doi:10.1080/01621459.1993.10476321. JSTOR 2290350.
  2. ^ Chib, Siddhartha; Greenberg, Edward (1995). "Understanding the Metropolis Hastings Algorithm" (PDF). American Statistician. 49 (4): 327–335. doi:10.1080/00031305.1995.10476177. Archived (PDF) from the original on 2019-11-13. Retrieved 2020-04-24.
  3. ^ Chib, Siddhartha (1995). "Marginal Likelihood from the Gibbs Output" (PDF). Journal of the American Statistical Association. 90 (432): 1313–1321. doi:10.1080/01621459.1995.10476635. Archived (PDF) from the original on 2019-07-15. Retrieved 2020-04-30.
  4. ^ Chib, Siddhartha; Jeliazkov, Ivan (2001). "Marginal Likelihood from the Metropolis-Hastings Output" (PDF). Journal of the American Statistical Association. 96 (1): 270–281. CiteSeerX 10.1.1.722.3656. doi:10.1198/016214501750332848. S2CID 44046690. Archived (PDF) from the original on 2019-07-15. Retrieved 2020-04-30.
  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. CiteSeerX 10.1.1.722.3907. doi:10.1198/01621450338861947. JSTOR 30045209. S2CID 17496626.
  6. ^ Carlin, Bradley; Chib, Siddhartha (1995). "Bayesian Model Choice via Markov Chain Monte Carlo" (PDF). Journal of the Royal Statistical Society, Series B. 57: 473–484. doi:10.1111/j.2517-6161.1995.tb02042.x.
  7. ^ Chib, Siddhartha (1998). "Estimation and comparison of multiple change-point models" (PDF). Journal of Econometrics. 86 (2): 221–241. doi: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. doi:10.2307/1391303. JSTOR 1391303.
  9. ^ Chib, Siddhartha (1996). "Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models" (PDF). Journal of Econometrics. 75: 79–97. CiteSeerX 10.1.1.119.4348. doi:10.1016/0304-4076(95)01770-4.
  10. ^ Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha (1998). "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models" (PDF). Review of Economic Studies. 65 (3): 361–393. doi:10.1111/1467-937X.00050. S2CID 18381818. Archived (PDF) from the original on 2017-08-11. Retrieved 2020-09-29.
  11. ^ Chib, Siddhartha; Nardari, Federico (2006). "Analysis of high dimensional multivariate stochastic volatility models". Journal of Econometrics. 134 (2): 341–371. doi: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. doi:10.1016/j.jeconom.2006.07.008.
  13. ^ Chib, Siddhartha; Greenberg, Edward (1998). "Analysis of multivariate probit models". Biometrika. 85 (2): 347–361. CiteSeerX 10.1.1.198.8541. doi:10.1093/biomet/85.2.347. Archived from the original on 2019-03-21. Retrieved 2020-04-24 – via Oxford Academic.
  14. ^ Chib, Siddhartha (1992). "Bayes inference in the Tobit censored regression model". Journal of Econometrics. 51 (1–2): 79–99. doi: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. doi:10.1111/1468-0262.00226. Archived from the original on 2020-10-26. Retrieved 2020-08-28.
  16. ^ Chib, Siddhartha; Greenberg, Edward (1994). "Bayes inference in regression models with ARMA (p, q) errors". Journal of Econometrics. 64 (1–2): 183–206. doi:10.1016/0304-4076(94)90063-9. Archived from the original on 2020-07-24. Retrieved 2020-08-22.
  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. doi:10.1016/0304-4076(94)01653-H.
  18. ^ Chib, Siddhartha; Winkelmann, Rainer (2001). "Markov Chain Monte Carlo Analysis of Correlated Count Data" (PDF). Journal of Business and Economic Statistics. 19 (4): 428–435. doi: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. doi: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" (PDF). Econometric Theory. 39 (3): 481–533. doi:10.1017/S0266466622000019. S2CID 28242828.
  21. ^ Chib, Siddhartha; Carlin, Bradley (1998). "On MCMC sampling in hierarchical longitudinal models". Statistics and Computing. 9: 17–26. doi:10.1023/A:1008853808677. S2CID 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. doi:10.1198/016214505000000871. JSTOR 27590727. S2CID 10169747.
  23. ^ Chib, Siddhartha; Greenberg, Edward (2010). "Additive cubic spline regression with Dirichlet process mixture errors". Journal of Econometrics. 156 (2): 322–336. doi:10.1016/j.jeconom.2009.11.002.
  24. ^ Chib, Siddhartha; Shin, Minchul; Simoni, Anna (2018). "Bayesian Analysis and Comparison of Moment Condition Models" (PDF). Journal of the American Statistical Association. 113 (4): 1656–1668. arXiv:1606.02931. doi:10.1080/01621459.2017.1358172. S2CID 56211599.
  25. ^ Chib, Siddhartha; Shin, Minchul; Simoni, Anna (2022). "Bayesian Estimation and Comparison of Conditional Moment Models" (PDF). Journal of the Royal Statistical Society, Series B (Statistical Methodology). 84 (3): 740–764. arXiv:2110.13531. doi:10.1111/rssb.12484. S2CID 209455901.
  26. ^ "Faculty". Washington University in St. Louis. Archived from the original on 23 April 2020. Retrieved 24 April 2020.
  27. ^ "ASA Fellows List". American Statistical Association. Archived from the original on 21 May 2020. Retrieved 24 April 2020.
  28. ^ "ISBA Fellows". The International Society for Bayesian Analysis. Archived from the original on 9 February 2018. Retrieved 24 April 2020.
  29. ^ "Journal of Econometrics Fellows". Journal of Econometrics. 78 (1): 131–133. January 1997. doi:10.1016/S0304-4076(97)80004-8.
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