Siddhartha Chib

Siddhartha Chib is an econometrician and statistician and 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.

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

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] and Chib and Jeliazkov (2001)[4] , where a new method for calculating the marginal likelihood from the Gibbs and Metropolis-Hastings output is developed; Carlin and Chib (1995), which developed a model-space jump method for Bayesian model choice via Markov chain Monte Carlo methods; Chib (1998)[5] , which introduced a multiple-change point model that is estimated by the methods of Albert and Chib (1993)[6] and Chib (1996)[7] for hidden Markov processes; Kim, Shephard and Chib (1998)[8], which introduced an efficient inference approach for univariate and multivariate stochastic volatility models; and Chib and Greenberg (1998)[9] , which developed the Bayesian analysis of the multivariate probit model.

He has also written on Tobit censored responses[10] , discretely observed diffusions[11] , univariate and multivariate ARMA processes, multivariate count responses, causal inference, hierarchical models of longitudinal data, and, in Chib, Shin and Simoni (2018)[12] , on the Bayesian analysis of moment condition models.

Biography

He received a bachelor's degree from Delhi University in 1979. He earned a Ph.D. in Economics from the University of California, Santa Barbara in 1986.[13] His advisor was Sreenivasa Rao Jammalamadaka.

Honors and awards

He is a fellow of the American Statistical Association (2001),[14] the International Society of Bayesian Analysis (2012),[15] and the Journal of Econometrics.

Selected publications
gollark: That is a cryptocurrency.
gollark: > to cheat the currency you must have majority control over the networkEr, that's what cryptocurrencies do, but it's "majority of hash power" generally.
gollark: Or blake3! It's new so it MUST be good!
gollark: Who cares about avoiding side channels? Side channels are the best kind of channel!
gollark: And add all the trendy cryptocurrency features, like... non-SHA256 proof of work algorithms?

References
  1. Albert, Jim; Chib, Siddhartha (June 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, Siddhartha (1995). "Understanding the Metropolis Hastings Algorithm" (PDF). American Statistician. 49: 327–335.
  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.
  4. Chib, Siddhartha; Jeliazkov, Ivan (2001). "Marginal Likelihood from the Metropolis-Hastings Output" (PDF). Journal of the American Statistical Association. 96 (1): 270–281. doi:10.1198/016214501750332848.
  5. Chib, Siddhartha (1998). "Estimation and comparison of multiple change-point models". Journal of Econometrics. 86 (2): 221–241. doi:10.1016/S0304-4076(97)00115-2.
  6. 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: 1–15.
  7. Chib, Siddhartha (1996). "Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models". Journal of Econometrics. 75: 79–97. doi:10.1016/0304-4076(95)01770-4.
  8. Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha (1998). "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models". Review of Economic Studies. 65 (3): 361–393. doi:10.1111/1467-937X.00050.
  9. Chib, Siddhartha; Greenberg, Edward (June 1998). "Analysis of multivariate probit models". Biometrika. 85 (2): 347–361. CiteSeerX 10.1.1.198.8541. doi:10.1093/biomet/85.2.347 – via Oxford Academic.
  10. 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.
  11. 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.
  12. Chib, Siddhartha; Shin, Minchul; Simoni, Anna (2018). "Bayesian Analysis and Comparison of Moment Condition Models". Journal of the American Statistical Association. 113 (4): 1656–1668. arXiv:1606.02931. doi:10.1080/01621459.2017.1358172.
  13. "Faculty". Washington University in St. Louis. Retrieved 24 April 2020.
  14. "ASA Fellows List". American Statistical Association. Retrieved 24 April 2020.
  15. "ISBA Fellows". The International Society for Bayesian Analysis. Retrieved 24 April 2020.
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