Mattias Villani

Natural Born Bayesian

Research

arXived and submitted

Journal publications

  • Bayesian Rician Regression for Neuroimaging, Frontiers in Neuroscience (with Bertil Wegmann and Anders Eklund)
    [ arXiv | bioRxiv ]
  • Sparse Partially Collapsed MCMC for Parallel Inference in Topic Models, Journal of Computational and Graphical Statistics (with Måns Magnusson, Leif Jonsson and David Broman)
    [ arXiv | Journal Version ]
  • A Bayesian Heteroscedastic GLM with Application to fMRI Data with Motion Spikes, NeuroImage (with Anders Eklund and Martin Lindquist)
    [ arXiv | bioRxiv | Journal Version ]
  • Speeding up MCMC by Delayed Acceptance and Data Subsampling, Journal of Computational and Graphical Statistics (with Matias QuirozMinh Ngoc Tran and Robert Kohn).
    [ arXiv | Journal Version ]
  • Fast Bayesian Whole-Brain fMRI Analysis with Spatial 3D Priors, NeuroImage (with Per Sidén, Anders Eklund and David Bolin).
    [ arXiv | Journal Version]
  • BROCCOLI: Software for Fast fMRI Analysis on Many-Core CPUs and GPUs. Frontiers in Neuroinformatics 8:24 (with Anders Eklund, Paul Dufort and Stephen LaConte).
    [ Journal Version | BibTeX ]
  • Efficient Bayesian Multivariate Surface Regression, Scandinavian Journal of Statistics, 40, 706–723, 2013 (with Feng Li).
    Working Paper | Supplementary material | Journal Version | BibTeX ]
  • Harnessing Graphics Processing Units for Improved Neuroimaging Statistics, Cognitive, Affective and Behavioral Neuroscience, 13, 585-597, 2013 (with Anders Eklund and Stephen LaConte).
    [ Working Paper | Journal Version | BibTeX ]
  • Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios, Journal of Financial and Quantitative Analysis, 49, 1071-1099, 2014 (with Paolo Giordani, Tor Jacobson, Erik von Schedvin).
    Working Paper | Journal Version ]
  • Generalized Smooth Finite Mixtures, Journal of Econometrics, 171(2),  121-133, 2012 (with Robert Kohn and David Nott).
    Working Paper | Journal Version | BibTeX ].
  • Regression Density Estimation with Variational Methods and Stochastic Approximation, Journal of Computational and Graphical Statistics, 21 (3), 797-820, 2012 (with David Nott, Siew Li Tan and Robert Kohn).
    Working Paper | Journal VersionAppendix | BibTeX ]
  • Bayesian Inference in Structural Second-Price Common Value Auctions, Journal of Business and Economic Statistics29, 382-396, 2010 (with Bertil Wegmann)
    Working Paper | Journal Version | BibTeX ]
  • Flexible Modelling of Conditional Distributions using Smooth Mixtures of Asymmetric Student T Densities, Journal of Statistical Planning and Inference, 140, 3638-3654, 2010 (with Feng Li and Robert Kohn)
    Working PaperJournal Version | BibTeX ]
  • Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction, International Journal of Forecasting, 26, 312-325, 2010 (with Paolo Giordani)
    Working PaperJournal Version | BibTeX ]
  • Regression Density Estimation using Smooth Adaptive Gaussian Mixtures, Journal of Econometrics, 153(2), 155-173, 2009 (with Robert Kohn and Paolo Giordani).
    [ Working Paper | Older WP | Journal Version | BibTeX ]
  • Steady State Priors for Vector Autoregressions, Journal of Applied Econometrics, 24, 630-650, 2009.
    Working Paper | Journal Version | BibTeX ]
  • Evaluating an Estimated New Keynesian Small Open Economy Model, Journal of Economic Dynamics and Control, 32, 2690-2721, 2008 (with Malin Adolfson, Stefan Laséen and Jesper Lindé).
    Working Paper Journal Version | BibTeX ]
  • Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks, International Journal of Central Banking,  111-144, Dec 2007 (with Malin Adolfson, Michael K. Andersson, Jesper Lindé, and Anders Vredin).
    [ Journal Version | BibTeX ]
  • Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through, Journal of International Economics, 72, 481-511, 2007 (with Malin Adolfson, Stefan Laséen and Jesper Lindé).
    Working Paper | Online Appendix | Journal Version | BibTeX ]
  • Forecasting Performance of an Open Economy DSGE Model, Econometric Reviews, 26, 289-328, 2007 (with Malin Adolfson and Jesper Lindé).
    Working Paper | Journal Version | BibTeX ]
  • Bayesian Inference in DSGE Models – Some Comments, Econometric Reviews26, 173-185, 2007 (with Malin Adolfson and Jesper Lindé).
    Working Paper | Journal Version | BibTeX ]
  • Empirical Properties of Closed and Open Economy DSGE Models of the Euro Area, Macroeconomic Dynamics, 12, 2-19, 2008 (with Malin Adolfson, Stefan Laseen and Jesper Lindé).
    Working Paper | Journal Version | BibTeX ]
  • The multivariate split normal distribution and asymmetric principal components analysis, Communications in Statistics – Theory and Methods, 35, 1123-1140, 2006 (with Rolf Larsson).
    Working Paper | Journal Version | BibTeX ]
  • A Bayesian approach to modelling graphical vector autoregressions, Journal of Time Series Analysis, 27, 141-156, 2006 (with Jukka Corander).
    Working Paper | Journal Version | BibTeX ]
  • Bayesian point estimation of the cointegration space, Journal of Econometrics, 134, 645-664, 2006.
    Working Paper | Journal Version | BibTeX ]
  • Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open Economy Model, International Finance, 8, 509-544, 2005. (with Malin Adolfson, Stefan Laséen, and Jesper Lindé).
    Working Paper | Journal Version | BibTeX ]
  • Bayesian reference analysis of cointegration, Econometric Theory, 21, 326-357, 2005.
    Working Paper | Journal Version | BibTeX ]
  • The role of sticky prices in an open economy DSGE model: a Bayesian investigation, Journal of the European Economic Association, 3, 444-457, 2005 (with Malin Adolfson, Stefan Laséen and Jesper Lindé).
    Working Paper | Journal version | BibTeX ]
  • Bayesian assessment of dimensionality in reduced rank regression, Statistica Neerlandica, 58, 255-270, 2004 (with Jukka Corander).
    Working Paper | Journal version | BibTeX ]
  • Fractional Bayesian lag length inference in multivariate autoregressive processes, Journal of Time Series Analysis, 22, 67-86, 2001.
    Journal Version | BibTeX ]
  • Bayesian prediction with cointegrated vector autoregressions, International Journal of Forecasting, 17, 585-605, 2001.
    Journal Version | BibTeX ]
  • A distance measure between cointegration spaces, Economics Letters, 70, 2001, 21-27, 2001 (with Rolf Larsson).
    Journal Version | BibTeX ]

Refereed conference publications

  • Urban Network Travel Time Prediction via Online Multi-Output Gaussian Process Regression, IEEE International Conference on Intelligent Transportation Systems (ITSC2017) (with Héctor Rodríguez-Déniz, Erik Jenelius).
  • Bayesian Diffusion Tensor Estimation with Spatial Priors, International Conference on Computer Analysis of Images and Patterns (CAIP), 2017 (with Guan Xu, Per Sidén, Bertil Wegmann, Anders Eklund, Evren Özarslan and Hans Knutsson).
  • Intrusion-Damage Assessment and Mitigation in Cyber-Physical Systems for Control Applications, International Conference on Real-Time Networks and Systems, 2016 (with Rouhollah Mahfouzi, Amir Aminifar, Petru Eles and Zebo Peng).
    [ Proceedings ]
  • Automatic Localization of Bugs to Faulty Components in Large Scale Software Systems using Bayesian Classification, IEEE International Conference on Software Quality, Reliability & Security, 2016 (with Leif Jonsson, David Broman, Måns Magnusson, Kristian Sandahl and Sigrid Eldh).
    [ Proceedings ]
  • Perception-Aware Power Management for Mobile Games via Dynamic Resolution Scaling, IEEE/ACM International Conference on Computer-Aided Design (ICCAD), 2015 (with Arian Maghazeh, Unmesh Bordoloi, Petru Eles and Zebo Peng).
    [ Proceedings ]
  • Statistical Analysis of Process Variation Based on Indirect Measurements for Electronic System Design, 19th Asia and South Pacific Design Automation Conference (ASP-DAC 2014) (with Ivan Ukhov, Petru Eles and Zebo Peng).
    [ Proceedings | BibTeX ]

Books

  • Official Statistics – Methodology and Applications in Honour of Daniel Thorburn (edited with Michael Carlson and Hans Nyquist).
    Web Site with Downloads ]

Book chapters

  • Bayesian Heteroscedastic Regression for Diffusion Tensor Imaging (with Bertil Wegmann and Anders Eklund). Chapter in the book Modeling, Analysis, and Visualization of Anisotropy, Springer.
  • Modeling Conditional Densities using Finite Smooth Mixtures (with Feng Li and Robert Kohn), in Mixtures: Estimation and Applications (Mengersen, K.L., Robert, C. P. and Titterington, D.M. eds), Wiley.
    [ Book ChapterWorking Paper | BibTeX ]
  • Bayesian Approaches to Cointegration, Palgrave Handbook of Econometrics: Volume 1, Econometric Theory (with Gary Koop, Rodney Strachan and Herman van Dijk), Palgrave Macmillan.
    Working Paper | BibTeX ]

Other publications

  • The Riksbank’s communication of macroeconomic uncertainty (with David Kjellberg), Sveriges Riksbank Economic Review, 2010:1.
    Article | BibTeX ]
  • RAMSES –  a new general equilibrium model for monetary policy analysis (with Malin Adolfson, Stefan Laséen, and Jesper Lindé), Sveriges Riksbank Economic Review, 2007:2.
    [ Article | BibTeX ]
  • Aspects of Bayesian Cointegration, PhD thesis, Department of Statistics, Stockholm University, 2000.

Good papers that got left behind

  • Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods (with Johan Dahlin and Thomas Schön)
    [ arXiv ]
  • Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs, ECB Working Paper No. 296, December 2003 (with Anders Warne).
    Working Paper | BibTeX ]
  • Bayesian inference of general linear restrictions on the cointegration space, Sveriges Riksbank Working Papers Series No. 189.
    [ Working Paper | BibTeX ]