Biography:Siddhartha Chib

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Short description: Statistician and econometrician
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
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] and Chib and Greenberg (1998)[12] which developed the Bayesian analysis of the multivariate probit model.

He has also developed original methods for Bayesian inference in Tobit censored responses,[13] discretely observed diffusions,[14] univariate and multivariate ARMA processes,[15][16] multivariate count responses, causal inference,[17][18] hierarchical models of longitudinal data,[19] nonparametric regression,[20][21] and unconditional and conditional moment models.[22][23]

Biography

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.[24] His advisors were Sreenivasa Rao Jammalamadaka and Thomas F. Cooley.

Honors and awards

He is a fellow of the American Statistical Association (2001),[25] the International Society of Bayesian Analysis (2012),[26] and the Journal of Econometrics (1996).[27]

Selected publications

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. https://www.jstor.org/stable/2290350. 
  2. ↑ Chib, Siddhartha; Greenberg, Edward (1995). "Understanding the Metropolis Hastings Algorithm". American Statistician 49: 327–335. http://web1.sph.emory.edu/users/hwu30/teaching/statcomp/papers/chibGreenbergMH.pdf. Retrieved 2020-04-24. 
  3. ↑ Chib, Siddhartha (1995). "Marginal Likelihood from the Gibbs Output". Journal of the American Statistical Association 90 (432): 1313–1321. doi:10.1080/01621459.1995.10476635. https://apps.olin.wustl.edu/faculty/chib/papers/chib95.pdf. Retrieved 2020-04-30. 
  4. ↑ Chib, Siddhartha; Jeliazkov, Ivan (2001). "Marginal Likelihood from the Metropolis-Hastings Output". Journal of the American Statistical Association 96 (1): 270–281. doi:10.1198/016214501750332848. https://apps.olin.wustl.edu/faculty/chib/papers/chibJeliazkov2001.pdf. 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. doi:10.1198/01621450338861947. https://www.jstor.org/stable/30045209. 
  6. ↑ Carlin, Bradley; Chib, Siddhartha (1995). "Bayesian Model Choice via Markov Chain Monte Carlo". Journal of the Royal Statistical Society, Series B 57: 473–484. https://people.eecs.berkeley.edu/~jordan/sail/readings/archive/carlin-chib.pdf. 
  7. ↑ 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. http://apps.olin.wustl.edu/faculty/chib/papers/chib98.pdf. 
  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: 1–15. 
  9. ↑ 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. http://apps.olin.wustl.edu/faculty/chib/papers/chib96.pdf. 
  10. ↑ 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. http://www.nuff.ox.ac.uk/economics/papers/1996/w26/chib8.pdf. 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. https://doi.org/10.1016/j.jeconom.2005.06.026. 
  12. ↑ Chib, Siddhartha; Greenberg, Edward (June 1998). "Analysis of multivariate probit models". Biometrika 85 (2): 347–361. doi:10.1093/biomet/85.2.347. https://academic.oup.com/biomet/article-abstract/85/2/347/298820. Retrieved 2020-04-24. 
  13. ↑ 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. 
  14. ↑ 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. https://ora.ox.ac.uk/objects/uuid:32366322-5b0e-4f38-b18b-89c11fd44265. Retrieved 2020-08-28. 
  15. ↑ 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. https://www.sciencedirect.com/science/article/abs/pii/0304407694900639. Retrieved 2020-08-22. 
  16. ↑ 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. https://doi.org/10.1016/0304-4076(94)01653-H. 
  17. ↑ 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. https://doi.org/10.1016/j.jeconom.2006.07.009. 
  18. ↑ Chib, Siddhartha; Greenberg, Edward; Simoni, Anna (2022). "Nonparametric Bayes Analysis of the Sharp and Fuzzy Regression Discontinuity Designs". Econometric Theory 39 (3): 481–533. doi:10.1017/S0266466622000019. https://doi.org/10.1017/S0266466622000019. 
  19. ↑ Chib, Siddhartha; Carlin, Bradley (1998). "On MCMC sampling in hierarchical longitudinal models". Statistics and Computing 9: 17–26. doi:10.1023/A:1008853808677. 
  20. ↑ 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. https://www.jstor.org/stable/27590727. 
  21. ↑ 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. https://doi.org/10.1016/j.jeconom.2009.11.002. 
  22. ↑ 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. doi:10.1080/01621459.2017.1358172. 
  23. ↑ Chib, Siddhartha; Shin, Minchul; Simoni, Anna (2022). "Bayesian Estimation and Comparison of Conditional Moment Models". Journal of the Royal Statistical Society, Series B (Statistical Methodology) 84 (3): 740–764. doi:10.1111/rssb.12484. https://doi.org/10.1111/rssb.12484. 
  24. ↑ "Faculty". https://olin.wustl.edu/EN-US/Faculty-Research/Faculty/Pages/FacultyDetail.aspx?username=chib. 
  25. ↑ "ASA Fellows List". https://www.amstat.org/ASA/Your-Career/Awards/ASA-Fellows-list.aspx. 
  26. ↑ "ISBA Fellows". https://bayesian.org/membership/isba-fellows/. 
  27. ↑ "Journal of Econometrics Fellows". Journal of Econometrics 78 (1): 131–133. January 1997. doi:10.1016/S0304-4076(97)80004-8. https://reader.elsevier.com/reader/sd/pii/S0304407697800048?token=3CB52A7A74D8909CCDC2B54EF41AC2CE12E41293FCF4A3997F86AFF2009D14E2F2DEC7CB39D21C6F4774D8E1DF69AF02&originRegion=us-east-1&originCreation=20221213210022. 

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