Siddhartha Chib

Harry C. Hartkopf Professor of Econometrics and Statistics

Siddhartha Chib

Siddhartha Chib

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.

Area of Expertise

Statistics/Econometrics, Statistics/Econometrics

Education

  • Ph D 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

Academic/Professional Activities

Editor, Associate Editor, Journal of Computational and Graphical Statistics

Research Interests

Bayesian statistics and econometrics, Markov chain Monte Carlo methods

Personal Interests

Professor Chib is an avid chess player.

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 Minchul Shin, Anna Simoni, 2018

Contact

Siddhartha Chib