Mattias Villani
Names
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Mattias |
| last: |
Villani |
Identifer
Contact
Affiliations
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Statistiska institutionen, Stockholms universitet (weight: 91%)
- https://www.statistics.su.se/
- location: Sweden, Stockholm
Research profile
author of:
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods (RePEc:arx:papers:1506.06975)
by Johan Dahlin & Mattias Villani & Thomas B. Schon - Bayesian Optimization of Hyperparameters from Noisy Marginal Likelihood Estimates (RePEc:arx:papers:2004.10092)
by Oskar Gustafsson & Mattias Villani & Par Stockhammar - Bayesian Inference in Structural Second-Price Common Value Auctions (RePEc:bes:jnlbes:v:29:i:3:y:2011:p:382-396)
by Wegmann, Bertil & Villani, Mattias - Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open‐Economy Model (RePEc:bla:intfin:v:8:y:2005:i:3:p:509-544)
by Malin Adolfson & Stefan Laséen & Jesper Lindé & Mattias Villani - Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes (RePEc:bla:jtsera:v:22:y:2001:i:1:p:67-86)
by Mattias Villani - A Bayesian Approach to Modelling Graphical Vector Autoregressions (RePEc:bla:jtsera:v:27:y:2006:i:1:p:141-156)
by Jukka Corander & Mattias Villani - Efficient Bayesian Multivariate Surface Regression (RePEc:bla:scjsta:v:40:y:2013:i:4:p:706-723)
by Feng Li & Mattias Villani - Bayesian assessment of dimensionality in reduced rank regression (RePEc:bla:stanee:v:58:y:2004:i:3:p:255-270)
by Jukka Corander & Mattias Villani - Evaluating An Estimated New Keynesian Small Open Economy Model (RePEc:cpr:ceprdp:6027)
by Linde, Jesper & Adolfson, Malin & LASEEN, PER & Villani, Mattias - Bayesian Reference Analysis Of Cointegration (RePEc:cup:etheor:v:21:y:2005:i:02:p:326-357_05)
by Villani, Mattias - Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios (RePEc:cup:jfinqa:v:49:y:2014:i:04:p:1071-1099_00)
by Giordani, Paolo & Jacobson, Tor & Schedvin, Erik von & Villani, Mattias - Empirical Properties Of Closed- And Open-Economy Dsge Models Of The Euro Area (RePEc:cup:macdyn:v:12:y:2008:i:s1:p:2-19_07)
by Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias - Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs (RePEc:ecb:ecbwps:2003296)
by Warne, Anders & Villani, Mattias - Evaluating an estimated new Keynesian small open economy model (RePEc:eee:dyncon:v:32:y:2008:i:8:p:2690-2721)
by Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias - A distance measure between cointegration spaces (RePEc:eee:ecolet:v:70:y:2001:i:1:p:21-27)
by Larsson, Rolf & Villani, Mattias - Bayesian point estimation of the cointegration space (RePEc:eee:econom:v:134:y:2006:i:2:p:645-664)
by Villani, Mattias - Regression density estimation using smooth adaptive Gaussian mixtures (RePEc:eee:econom:v:153:y:2009:i:2:p:155-173)
by Villani, Mattias & Kohn, Robert & Giordani, Paolo - Generalized smooth finite mixtures (RePEc:eee:econom:v:171:y:2012:i:2:p:121-133)
by Villani, Mattias & Kohn, Robert & Nott, David J. - Bayesian estimation of an open economy DSGE model with incomplete pass-through (RePEc:eee:inecon:v:72:y:2007:i:2:p:481-511)
by Adolfson, Malin & Laseen, Stefan & Linde, Jesper & Villani, Mattias - Bayesian prediction with cointegrated vector autoregressions (RePEc:eee:intfor:v:17:y:2001:i:4:p:585-605)
by Villani, Mattias - Forecasting macroeconomic time series with locally adaptive signal extraction (RePEc:eee:intfor:v:26:y::i:2:p:312-325)
by Giordani, Paolo & Villani, Mattias - Bayesian approaches to cointegratrion (RePEc:ems:eureir:1915)
by Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M. - An estimated New Keynesian small open economy model (RePEc:fip:fedgpr:y:2005:x:12)
by Malin Adolfson & Stefan Laseen & Jesper Lindé & Mattias Villani - Panel Regression with Unobserved Classes (RePEc:hhs:hastef:0353)
by Salabasis, Mickael & Villani, Mattias - Bayesian Prediction with a Cointegrated Vector Autoregression (RePEc:hhs:rbnkwp:0097)
by Villani, Mattias - Bayes Estimators of the Cointegration Space (RePEc:hhs:rbnkwp:0150)
by Villani, Mattias - Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs (RePEc:hhs:rbnkwp:0156)
by Villani, Mattias & Warne, Anders - A Bayesian Approach to Modelling Graphical Vector Autoregressions (RePEc:hhs:rbnkwp:0171)
by Corander, Jukka & Villani, Mattias - The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis (RePEc:hhs:rbnkwp:0175)
by Villani, Mattias & Larsson, Rolf - Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through (RePEc:hhs:rbnkwp:0179)
by Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias - Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area (RePEc:hhs:rbnkwp:0180)
by Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias - Inference in Vector Autoregressive Models with an Informative Prior on the Steady State (RePEc:hhs:rbnkwp:0181)
by Villani, Mattias - Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks (RePEc:hhs:rbnkwp:0188)
by Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders - Bayesian Inference of General Linear Restrictions on the Cointegration Space (RePEc:hhs:rbnkwp:0189)
by Villani, Mattias - Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model (RePEc:hhs:rbnkwp:0190)
by Adolfson, Malin & Lindé, Jesper & Villani, Mattias - Evaluating An Estimated New Keynesian Small Open Economy Model (RePEc:hhs:rbnkwp:0203)
by Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias - Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures (RePEc:hhs:rbnkwp:0211)
by Villani, Mattias & Kohn, Robert & Giordani, Paolo - Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities (RePEc:hhs:rbnkwp:0233)
by Li, Feng & Villani, Mattias & Kohn, Robert - Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction (RePEc:hhs:rbnkwp:0234)
by Giordani, Paolo & Villani, Mattias - Bayesian Inference in Structural Second-Price common Value Auctions (RePEc:hhs:rbnkwp:0242)
by Wegmann , Bertil & Villani, Mattias - Modeling Conditional Densities Using Finite Smooth Mixtures (RePEc:hhs:rbnkwp:0245)
by Li, Feng & Villani, Mattias & Kohn, Robert - Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios (RePEc:hhs:rbnkwp:0256)
by Giordani, Paolo & Jacobson, Tor & von Schedvin , Erik & Villani, Mattias - Dynamic mixture-of-experts models for longitudinal and discrete-time survival data (RePEc:hhs:rbnkwp:0268)
by Quiroz, Matias & Villani, Mattias - Speeding Up Mcmc By Efficient Data Subsampling (RePEc:hhs:rbnkwp:0297)
by Quiroz, Matias & Villani, Mattias & Kohn, Robert - Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator (RePEc:hhs:rbnkwp:0306)
by Quiroz, Matias & Villani, Mattias & Kohn, Robert - Hamiltonian Monte Carlo with Energy Conserving Subsampling (RePEc:hhs:rbnkwp:0372)
by Dang, Khue-Dung & Quiroz, Matias & Kohn, Robert & Tran, Minh-Ngoc & Villani, Mattias - Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks (RePEc:ijc:ijcjou:y:2007:q:4:a:4)
by Malin Adolfson & Michael K. Andersson & Jesper Lindé & Mattias Villani & Anders Vredin - Steady-state priors for vector autoregressions (RePEc:jae:japmet:v:24:y:2009:i:4:p:630-650)
by Mattias Villani - Bayesian Approaches to Cointegration (RePEc:lec:leecon:04/27)
by Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani - Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model (RePEc:mmf:mmfc05:32)
by Mattias Villani & Malin Adolfson & Jesper Linde - DOLDA: a regularized supervised topic model for high-dimensional multi-class regression (RePEc:spr:compst:v:35:y:2020:i:1:d:10.1007_s00180-019-00891-1)
by Måns Magnusson & Leif Jonsson & Mattias Villani - Subsampling MCMC - an Introduction for the Survey Statistician (RePEc:spr:sankha:v:80:y:2018:i:1:d:10.1007_s13171-018-0153-7)
by Matias Quiroz & Mattias Villani & Robert Kohn & Minh-Ngoc Tran & Khue-Dung Dang - Block-Wise Pseudo-Marginal Metropolis-Hastings (RePEc:syb:wpbsba:2123/14595)
by Kohn, R. & Quiroz, M. & Tran, M.-N. & Villani, M. - Speeding up MCMC by Efficient Data Subsampling (RePEc:syb:wpbsba:2123/16205)
by Kohn, Robert & Quiroz, Matias & Tran, Minh-Ngoc & Villani, Mattias - Bayesian Analysis of DSGE Models—Some Comments (RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:173-185)
by Malin Adolfson & Jesper Linde & Mattias Villani - Forecasting Performance of an Open Economy DSGE Model (RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328)
by Malin Adolfson & Jesper Linde & Mattias Villani - Speeding Up MCMC by Efficient Data Subsampling (RePEc:taf:jnlasa:v:114:y:2019:i:526:p:831-843)
by Matias Quiroz & Robert Kohn & Mattias Villani & Minh-Ngoc Tran - Bayesian Inference in Structural Second-Price Common Value Auctions (RePEc:taf:jnlbes:v:29:y:2011:i:3:p:382-396)
by Bertil Wegmann & Mattias Villani - The Role of Sticky Prices in an Open Economy DSGE Model: A Bayesian Investigation (RePEc:tpr:jeurec:v:3:y:2005:i:2-3:p:444-457)
by Malin Adolfson & Stefan Laséen & Jesper Lindé & Mattias Villani - Bayesian optimization of hyperparameters from noisy marginal likelihood estimates (RePEc:wly:japmet:v:38:y:2023:i:4:p:577-595)
by Oskar Gustafsson & Mattias Villani & Pär Stockhammar