Mattias Villani

About me

I am Professor of Statistics at Stockholm University since 2018. Previously I was professor at Linköping University and a researcher the central bank of Sweden.

My research focuses on developing computationally efficient Bayesian methods for inference, prediction and decision making using flexible probabilistic models.

I currently teach the Master's level courses  Statistical Theory and Modeling, 7.5 hp and Bayesian Learning, 7.5 credits. I also give the PhD level course Advanced Bayesian Learning, 7.5 credits every second year.

Selected publications

• 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).
• Efficient Bayesian Multivariate Surface Regression, Scandinavian Journal of Statistics, 2013 (with Feng Li).
• 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.