Mattias Villani Professor

Jag är professor i statistik vid Stockholms universitet sedan 2018. Jag har tidigare varit professor vid Linköpings universitet och arbetat på Sveriges Riksbank som forskare.

Undervisning

Nuvarande kurser:

• Statistisk teori och modellering, 7.5 hp. Avancerad nivå.
• Bayesiansk inlärning, 7.5 hp.  Avancerad nivå.
• Advancerad Bayesiansk inlärning, 8 hp. Doktorandkurs.

Forskning

Jag utvecklar beräkningseffektiva bayesianska metoder för inferens, prediktion och beslutsfattande med flexibla sannolikhetsmodeller.

Pågående forskningsprojekt (huvudsökande)

Bayesian methods for general time-varying parameter models with global-local shrinkage process priors, Vetenskapsrådet, 2026-2028.

Utvalda publikationer

• 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.