Publications

(2023). Bayesian Tensor Factorisations for Time Series of Counts. Machine Learning.

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(2023). Reservoir computing for macroeconomic forecasting with mixed frequency data. International Journal of Forecasting.

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(2023). Variance Reduction for Metropolis-Hastings Samplers. Statistics and Computing.

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(2023). Sparse Spectral Bayesian Permanental Process with Generalized Kernel. Artificial intelligence and Statistics (AISTAT 2023).

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(2023). Scalable and Interpretable Marked Point Processes. Artificial intelligence and Statistics (AISTAT 2023).

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(2023). Missing data patterns in runners’ careers: do they matter?. Journal of the Royal Statistical Society Series C: Applied Statistics.

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(2023). Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices. Bernoulli.

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(2023). Flexible marked spatio-temporal point processes with applications to event sequences from association football. Discussion paper at the Journal of the Royal Statistical Society Series C: Applied Statistics.

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(2023). Doubly-online changepoint detection for monitoring health status during sports activities. Annals of Applied Statistics.

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(2023). Bayesian online change point detection with Hilbert space approximate Student-t process. Proceedings of the 40th International Conference on Machine Learning (ICML 2023).

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(2022). Bayesian prediction of jumps in large panels of time series data. Bayesian Analysis.

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(2021). How Good are Low-Rank Approximations in Gaussian Process Regression?. 36th AAAI Conference on Artificial Intelligence (oral presentation).

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(2021). Scalable inference for a full multivariate stochastic volatility model. Journal of Econometrics.

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(2021). Large scale multi-label learning using Gaussian processes. Machine Learning.

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(2021). Entropy-based adaptive Hamiltonian Monte Carlo. Advances in Neural Information Processing Systems.

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(2021). Detecting anomalies in heterogeneous population-scale VAT networks. arXiv preprint arXiv:2203.02268.

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(2020). Sample size determination for risk-based tax auditing.

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(2020). Interview with Professor Adrian FM Smith. International Statistical Review.

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(2019). Sovereign risk zones in Europe during and after the debt crisis. Quantitative Finance.

(2019). Scalable inference for a full multivariate stochastic volatility model.

(2019). Scalable Bayesian Learning for State Space Models using Variational Inference with SMC Samplers. *AISTATS, Proceedings of Machine Learning Research.

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(2019). Importance sampling from posterior distributions using copula-like approximations. Journal of Econometrics.

(2019). Gradient-based adaptive Markov chain Monte Carlo. Advances in Neural Information Processing Systems.

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(2019). Efficient sequential Monte Carlo algorithms for integrated population models. Journal of Agricultural, Biological and Environmental Statistics.

(2019). Copula-like Variational Inference. Advances in Neural Information Processing Systems.

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(2019). Bayesian forecasting of mortality rates by using latent Gaussian models. Journal of the Royal Statistical Society: Series A (Statistics in Society).

(2017). A Bayesian Approach for Analysis of Whole-Genome Bisulfite Sequencing Data Identifies Disease-Associated Changes in DNA Methylation. Genetics.

(2016). Bayesian Hierarchical Mixture Models. Statistical Analysis for High Dimensional Data, Abel Symposia 11.

(2015). WGBSSuite: simulating whole-genome bisulphite sequencing data and benchmarking differential DNA methylation analysis tools. Bioinformatics.

(2015). Volatility prediction based on scheduled macroeconomic announcements. Canadian Journal of Statistics.

(2014). Museum factors affecting the ageing process of organic materials: review on experimental designs and the INVENVORG project as a pilot study. Heritage Science.

(2014). Communication impacting financial markets. EPL (Europhysics Letters).

(2014). Arbitrage-free prediction of the implied volatility smile. Risk Magazine.

(2013). Bayesian Theory and Applications.

(2013). An MCMC model search algorithm for regression problems. Journal of Statistical Computation and Simulation.

(2012). Joint specification of model space and parameter space prior distributions. Statistical Science.

(2012). Control variates for estimation based on reversible Markov chain Monte Carlo samplers. Journal of the Royal Statistical Society: Series B (Statistical Methodology).

(2012). Contagion determination via copula and volatility threshold models. Quantitative Finance.

(2012). Conditional symmetry models for three-way contingency tables. Journal of Statistical Planning and Inference.

(2012). Cholesky-GARCH models with applications to finance. Statistics and Computing.

(2011). Likelihood-based inference for correlated diffusions. Canadian journal of statistics.

(2011). Forecasting with non-homogeneous hidden Markov models. Statistics and Computing.

(2011). A novel reversible jump algorithm for generalized linear models. Biometrika.

(2010). Inference for stochastic volatility models using time change transformations. The Annals of Statistics.

(2008). Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. Computational Statistics & Data Analysis.

(2008). Bayesian clustering for row effects models. Journal of Statistical Planning and Inference.

(2007). Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models. The Econometrics Journal.

(2007). Flexible threshold models for modelling interest rate volatility. Econometric reviews.

(2006). Multivariate mixtures of normals with unknown number of components. Statistics and Computing.

(2006). Bayesian model selection for partially observed diffusion models. Biometrika.

(2005). Model determination for categorical data with factor level merging. Journal of the Royal Statistical Society: Series B (Statistical Methodology).

(2005). Bayesian analysis of the unobserved arch model. Statistics and Computing.

(2004). Quantification of automobile insurance liability: a Bayesian failure time approach. Insurance: Mathematics and Economics.

(2004). Periodic Markov switching autoregressive models for Bayesian analysis and forecasting of air pollution. Statistical Modelling.

(2004). Bayesian inference for non-Gaussian Ornstein--Uhlenbeck stochastic volatility processes. Journal of the Royal Statistical Society: Series B (Statistical Methodology).

(2003). Inference for some multivariate ARCH and GARCH models. Journal of Forecasting.

(2003). Bayesian variable and link determination for generalised linear models. Journal of statistical planning and inference.

(2003). Bayesian inference for nondecomposable graphical Gaussian models. Sankhyā: The Indian Journal of Statistics.

(2003). Bayesian analysis of extreme values by mixture modeling. Extremes.

(2003). Assessment of Athens's metro passenger behaviour via a multiranked probit model. Journal of the Royal Statistical Society: Series C (Applied Statistics).

(2003). An introduction to MCMC. Spatial statistics and computational methods.

(2003). A full-factor multivariate GARCH model. The Econometrics Journal.

(2002). On Bayesian model and variable selection using MCMC. Statistics and Computing.

(2002). Bayesian modelling of outstanding liabilities incorporating claim count uncertainty. North American Actuarial Journal.

(2001). Wind speed prediction in a complex terrain. Environmetrics.

(2001). Bayesian analysis of mortality data. Journal of the Royal Statistical Society: Series A (Statistics in Society).

(2001). Bayesian analysis of correlated proportions. Sankhyā: The Indian Journal of Statistics, Series B.

(2001). An application of three bivariate time-varying volatility models. Applied stochastic models in business and industry.

(2001). A simulation approach to nonparametric empirical Bayes analysis. International statistical review.

(2001). A simulation approach to hierarchical models. International Statistical Review.

(2000). Stochastic search variable selection for log-linear models. Journal of Statistical Computation and Simulation.

(2000). Full Bayesian inference for GARCH and EGARCH models. Journal of Business & Economic Statistics.

(2000). Bayesian variable selection using the Gibbs sampler. Biostatistics-Basel.

(2000). An approach to multidimensional item response modeling. The Sixth World Meeting of the International Society for Bayesian Analysis ISBA.

(1999). Prediction of wind speed and direction at a potential site. Wind Engineering.

(1999). Markov chain Monte Carlo model determination for hierarchical and graphical log-linear models. Biometrika.

(1999). Fatigue loading parameter identification of a wind turbine operating in complex terrain. Journal of Wind Engineering and Industrial Aerodynamics.

(1999). A Markov chain Monte Carlo convergence diagnostic using subsampling. Journal of Computational and Graphical Statistics.

(1998). Bayesian classification of neolithic tools. Journal of the Royal Statistical Society: Series C (Applied Statistics).

(1997). An approach to diagnosing total variation convergence of MCMC algorithms. Journal of Computational and Graphical Statistics.

(1996). The role of embedded integration rules in Bayesian statistics. Statistics and Computing.

(1996). Hierarchical modelling for classifying binary data. Bayesian Statistics 5.

(1996). A comparative study of perinatal mortality using a two-component mixture model. Bayesian Biostatistics, (Statistics textbooks and monographs).

(1995). Random variate transformations in the Gibbs sampler: Issues of efficiency and convergence. Statistics and Computing.

(1995). Bayesian analysis of errors-in-variables regression models. Biometrics.

(1993). Bayesian inference for generalized linear and proportional hazards models via Gibbs sampling. Applied Statistics.

(1992). Bayesian analysis of generalised linear models with covariate measurement error. Bayesian statistics 4.

(1992). A Numerical Integration Strategy in Bayesian Analysis. Bayesian Statistics 4.

(1991). Positive embedded integration in Bayesian analysis. Statistics and Computing.

(1991). Numerical prediction for the two-parameter Weibull distribution. The Statistician.