Mattias Villani
Contact
Name and title: Mattias Villani
Phone: +468162993
Workplace: Department of Statistics Länk till annan webbplats.
Visiting address Room A 4626Albanovägen 12, Hus 4, plan 6
Postal address Statistiska institutionen106 91 Stockholm
About me
I am Professor of Statistics at Stockholm University since 2018. Previously I was professor at Linköping University and a researcher at the central bank of Sweden.
Teaching
I currently teach:
- Statistical Theory and Modeling, 7.5 hp. Master's level.
- Bayesian Learning, 7.5 hp. Master's level.
- Advanced Bayesian Learning, 8 hp. PhD level.
Research
My research focuses on developing computationally efficient Bayesian methods for inference, prediction and decision making using flexible probabilistic models.
Ongoing research project
Bayesian methods for general time-varying parameter models with global-local shrinkage process priors. Swedish Research Council, 2026-2028.
Selected publications
- Time-Varying Multi-Seasonal AR Models, Journal of Computational and Graphical Statistics, 2026 (with Ganna Fagerberg and Robert Kohn).
- The block-Poisson estimator for optimally tuned exact subsampling MCMC, Journal of Computational and Graphical Statistics, 2021 (with Matias Quiroz, Minh Ngoc Tran, Robert Kohn, and Khue-Dung Dang).
- Hamiltonian Monte Carlo with Energy Conserving Subsampling, Journal of Machine Learning Research, 2019 (with Khue-Dung Dang, Matias Quiroz, Robert Kohn and Minh Ngoc Tran)
- Speeding Up MCMC by Efficient Data Subsampling, Journal of the American Statistical Association, 2018 (with Matias Quiroz, Robert Kohn and Minh Ngoc Tran)
- Sparse Partially Collapsed MCMC for Parallel Inference in Topic Models, Journal of Computational and Graphical Statistics, 2018 (with Måns Magnusson, Leif Jonsson and David Broman)
- Fast Bayesian Whole-Brain fMRI Analysis with Spatial 3D Priors, NeuroImage, 2017 (with Per Sidén, Anders Eklund and David Bolin).
- Generalized Smooth Finite Mixtures, Journal of Econometrics, 2012 (with Robert Kohn and David Nott).
- Steady State Priors for Vector Autoregressions, Journal of Applied Econometrics, 2009.
- Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through, Journal of International Economics, 2007 (with Malin Adolfson, Stefan Laséen and Jesper Lindé).
- Bayesian Point Estimation of the Cointegration Space, Journal of Econometrics, 2006.
- Bayesian Reference Analysis of Cointegration, Econometric Theory, 2005.