GSB Logo

Selected Bibliography for Nicholas Polson
Robert Law, Jr. Professor of Econometrics and Statistics



Accessing Articles

"The Bayesian Bridge." Nicholas G. Polson, James G. Scott and Jesse Windle; Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2014, 76(4), pp. 713-33.
http://dx.doi.org/10.1111/rssb.12042

"Analyzing Risky Choices: Q-Learning for Deal-No-Deal." Laszlo Korsos and Nicholas G. Polson; Applied Stochastic Models in Business and Industry, 2014, 30(3), pp. 258-70.
http://dx.doi.org/10.1002/asmb.1971

"Sequential Learning, Predictability, and Optimal Portfolio Returns." Michael Johannes, Arthur Korteweg and Nicholas Polson; The Journal of Finance, 2014, 69(2), pp. 611-44.
http://dx.doi.org/10.1111/jofi.12121

"Bayesian Inference for Logistic Models Using Pólya–Gamma Latent Variables." Nicholas G. Polson, James G. Scott and Jesse Windle; Journal of the American Statistical Association, 2013, 108(504), pp. 1339-49.
http://dx.doi.org/10.1080/01621459.2013.829001

"Data Augmentation for Non-Gaussian Regression Models Using Variance-Mean Mixtures." Nicholas G. Polson and J. G. Scott; Biometrika, 2013, 100(2), pp. 459-71.
http://dx.doi.org/10.1093/biomet/ass081

"Bayesian Instrumental Variables: Priors and Likelihoods." Hedibert F. Lopes and Nicholas G. Polson; Econometric Reviews, 2013, 33(1-4), pp. 100-21.
http://dx.doi.org/10.1080/07474938.2013.807146

"Optimal Portfolio Choice and Stochastic Volatility." Anne Gron, Bjørn N. Jørgensen and Nicholas G. Polson; Applied Stochastic Models in Business and Industry, 2012, 28(1), pp. 1-15.
http://dx.doi.org/10.1002/asmb.898

"Bayesian Statistics with a Smile: A Resampling-Sampling Perspective." Hedibert F. Lopes, Nicholas G. Polson and Carlos M. Carvalho; Brazilian Journal of Probability and Statistics, 2012, 26(4), pp. 358-71.
http://dx.doi.org/10.1214/11-BJPS144

"Tracking Epidemics with Google Flu Trends Data and a State-Space Seir Model." Vanja Dukic, Hedibert F. Lopes and Nicholas G. Polson; Journal of the American Statistical Association, 2012, 107(500), pp. 1410-26.
http://dx.doi.org/10.1080/01621459.2012.713876

"On the Half-Cauchy Prior for a Global Scale Parameter." Nicholas G. Polson and James G. Scott; Bayesian Analysis, 2012, 7(4), pp. 887-902.
http://dx.doi.org/10.1214/12-BA730

"Rejoinder: "Data Augmentation for Support Vector Machines"." Nicholas G. Polson and Steven L. Scott; Bayesian Analysis, 2011, 6(1), pp. 43-47.
http://dx.doi.org/10.1214/11-BA601REJ

"Discussion on ‘Adversarial Risk Analysis: Borel Games’." Nicholas Polson; Applied Stochastic Models in Business and Industry, 2011, 27(2), pp. 89-91.
http://dx.doi.org/10.1002/asmb.892

"A Simulation-Based Approach to Stochastic Dynamic Programming." Nicholas G. Polson and Morten Sorensen; Applied Stochastic Models in Business and Industry, 2011, 27(2), pp. 151-63.
http://dx.doi.org/10.1002/asmb.896

"Predictive Macro-Finance with Dynamic Partition Models." Daniel Zantedeschi, Paul Damien and Nicholas G. Polson; Journal of the American Statistical Association, 2011, 106(494), pp. 427-39.
http://dx.doi.org/10.1198/jasa.2011.ap09732

"Data Augmentation for Support Vector Machines." Nicholas G. Polson and Steven L. Scott; Bayesian Analysis, 2011, 6(1), pp. 1-23.
http://dx.doi.org/10.1214/11-BA601

"Local Shrinkage Rules, Lévy Processes and Regularized Regression." Nicholas G. Polson and James G. Scott; Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2012, 74(2), pp. 287-311.
http://dx.doi.org/10.1111/j.1467-9868.2011.01015.x

"Particle Learning for General Mixtures." Carlos M. Carvalho, Hedibert Freitas Lopes, Nicholas G. Polson and Matt A. Taddy; Bayesian Analysis, 2010, 5, pp. 709-40.
http://dx.doi.org/10.1214/10-ba525 

"Dynamic Trees for Learning and Design." Matthew A. Taddy, Robert B. Gramacy and Nicholas G. Polson; Journal of the American Statistical Association, 2011, 106(493), pp. 109-23.
http://dx.doi.org/10.1198/jasa.2011.ap09769

"The Horseshoe Estimator for Sparse Signals." Carlos M. Carvalho, Nicholas G. Polson and James G. Scott; Biometrika, 2010, 97(2), pp. 465-80.

http://biomet.oxfordjournals.org/cgi/content/abstract/97/2/465

"Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices." Michael S. Johannes, Nicholas G. Polson and Jonathan R. Stroud; Review of Financial Studies, 2009, 22(7), pp. 2759-99.

http://rfs.oxfordjournals.org/cgi/content/abstract/22/7/2759

"Practical Filtering with Sequential Parameter Learning." Nicholas G. Polson, Jonathan R. Stroud and Peter Müller; Journal of the Royal Statistical Society. Series B: Statistical Methodology, 2008, 70(2), pp. 413-28.

http://dx.doi.org/10.1111/j.1467-9868.2007.00642.x

"MCMC Maximum Likelihood for Latent State Models." Eric Jacquier, Michael Johannes and Nicholas Polson; Journal of Econometrics, 2007, 137(2), pp. 615-40.

http://dx.doi.org.proxy/10.1016/j.jeconom.2005.11.017

"Bayesian Analysis of Stochastic Volatility Models with Fat-Tails and Correlated Errors." Eric Jacquier, Nicholas G. Polson and Peter E. Rossi; Journal of Econometrics, 2004, 122(1), pp. 185-212.

http://dx.doi.org/10.1016/j.jeconom.2003.09.001

"Nonlinear State-Space Models with State-Dependent Variances." Jonathan R. Stroud, Peter Muller and Nicholas G. Polson; Journal of the American Statistical Association, 2003, 98(462), pp. 377-86.

http://proquest.umi.com/pqdlink?did=376571031&sid=1&Fmt=2&clientId=13392&RQT=309&VName=PQD

"Comment on 'Iterative and Recursive Estimation in Structural Nonadaptive Models'." Michael Johannes and Nicholas Polson; Journal of Business and Economic Statistics, 2003, 21(4), pp. 493-95.

http://proquest.umi.com/pqdweb?did=444683171&sid=3&Fmt=2&clientId=13392&RQT=309&VName=PQD

"The Impact of Jumps in Volatility and Returns." Bjorn Eraker, Michael Johannes and Nicholas Polson; Journal of Finance, 2003, 58(3), pp. 1269-300.

http://dx.doi.org/10.1111/1540-6261.00566

"Bayesian Analysis of Stochastic Volatility Models." Eric Jacquier, Nicholas G. Polson and Peter E. Rossi; Journal of Business and Economic Statistics, 2002, 20(1), pp. 69-87.

http://proquest.umi.com/pqdweb?did=98444402&sid=1&Fmt=4&clientId=13392&RQT=309&VName=PQD

Reprinted in:
N. Shephard; Stochastic Volatility: Selected Readings. Oxford and New York; Oxford University Press, 2005, 247-82

The Impact of Jumps in Volatility and Returns; Bjorn Eraker, Michael Johannes and Nicholas Polson; Working Papers no.02-18; Duke University, Department of Economics, 2001.

"Where Will Yahoo! Stock Be in Five Years?" Nicholas G. Polson and Jeffrey Yasumoto; Chance, New Directions for Statistics and Computers, 2000, 13(3), pp. 25-28.

"Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970-1996." Nicholas G. Polson and Bernard V. Tew; Journal of Business and Economic Statistics, 2000, 18(2), pp. 164-73.

http://proquest.umi.com/pqdweb?did=52214327&sid=2&Fmt=2&clientId=13392&RQT=309&VName=PQD

"A Bayesian Analysis of the Multinomial Probit Model with Fully Identified Parameters." Robert E. McCulloch, Nicholas G. Polson and Peter E. Rossi; Journal of Econometrics, 2000, 99(1), pp. 173-93.

http://dx.doi.org/10.1016/S0304-4076(00)00034-8

Stochastic Volatility : Univariate and Multivariate Extensions Éric Jacquier, Peter E. Rossi and Nicholas G. Polson; Série Scientifique = Scientific Series,; 99s-26; Variation: Série Scientifique (Cirano).; English ;; No. 99s-26.; Montréal: CIRANO, 1999

"Convergence of Markov Chain Monte Carlo Algorithms," Nicholas G. Polson, in J. M. Bernardo, J. O. Berger, A. P. Dawid and A. F. M. Smith: Bayesian Statistics 5 -- Proceedings of the Fifth Valencia International Meeting. Oxford: Clarendon Press Oxford University Press, 1996, pp. 297-321

"Diagnostic Measures for Model Criticism." Cinzia Carota, Giovanni Parmigiani and Nicholas G. Polson; Journal of the American Statistical Association, 1996, 91(434), pp. 753-62.

http://links.jstor.org/sici?sici=0162-1459%28199606%2991%3A434%3C753%3ADMFMC%3E2.0.CO%3B2-3

Stochastic Volatility : Univariate and Multivariate Extensions Eric Jacquier, Nicholas G. Polson and Peter Rossi; Rodney L. White Center for Financial Research ;; 19-95; Philadelphia, PA: Rodney L. White Center for Financial Research, 1995

Bayesian Inference Nicholas Polson and George C. Tiao; Aldershot, U.K.: Elgar., 1995

Models and Priors for Multivariate Stochastic Volatility Éric Jacquier, Peter E. Rossi and Nicholas G. Polson; Série Scientifique = Scientific Series,; No. 95s-18; Montréal: CIRANO, 1995

"Sampling from Log-Concave Distributions (Corr: 94v4 P1255)." Alan Frieze, Ravi Kannan and Nick Polson; Annals of Applied Probability, 1994, 4(4), pp. 812-37.

http://links.jstor.org/sici?sici=1050-5164%28199411%294%3A4%3C1255%3ACSFLD%3E2.0.CO%3B2-U

"On the Geometric Convergence of the Gibbs Sampler." Gareth O. Roberts and Nicholas G. Polson; Journal of the Royal Statistical Society. Series B (Methodological), 1994, 56(2), pp. 377-84.

http://links.jstor.org/sici?sici=0035-9246%281994%2956%3A2%3C377%3AOTGCOT%3E2.0.CO%3B2-V

"Bayes Factors for Discrete Observations from Diffusion Processes." Nicholas G. Polson and Gareth O. Roberts; Biometrika, 1994, 81(1), pp. 11-26.

http://links.jstor.org/sici?sici=0006-3444%28199403%2981%3A1%3C11%3ABFFDOF%3E2.0.CO%3B2-6

"Reply to Comments on 'Bayesian Analysis of Stochastic Volatility Models''." Eric Jacquier, Nicholas G. Polson and Peter E. Rossi; Journal of Business and Economic Statistics, 1994, 12(4), pp. 413-17.

http://links.jstor.org/sici?sici=0735-0015%28199410%2912%3A4%3C413%3A%5BAOSVM%3E2.0.CO%3B2-C

"Bayesian Analysis of Stochastic Volatility Models." Eric Jacquier, Nicholas G. Polson and Peter E. Rossi; Journal of Business and Economic Statistics, 1994, 12(4), pp. 371-89.

http://links.jstor.org/sici?sici=0735-0015%28199410%2912%3A4%3C371%3ABAOSVM%3E2.0.CO%3B2-M

Bayesian Analysis of Stochastic Volatility Models; Eric Jacquier, Nicholas G. Polson and Peter E. Rossi; Working paper 93-141.; Chicago, IL: H.G.B. Alexander Research Foundation Dept. of Economics Graduate School of Business University of Chicago, 1993.

Changes in Utility as Diagnostics Cinzia Carota, Giovanni Parmigiani and Nicholas G. Polson; Dp #93-A20.; Durham, N.C.: Institute of Statistics and Decision Sciences Duke University, 1993

Sampling from Log-Concave Distributions Alan Frieze, Ravi Kannan and Nicholas G. Polson; Research Report 93-155.; Carnegie Mellon University Dept. of Mathematics, 1993

"A Bayesian Perspective on the Design of Accelerated Life Tests," Nicholas G. Polson, in A. P. Basu: Advances in Reliability. New York; Amsterdam: Elsevier/North-Holland, 1993, pp. 321-30

"Bayesian Model Criticism," Cinzia Carota, Giovanni Parmagiani and Nicholas G. Polson, in ASA Proceedings of the Section on Bayesian Statistical Science. Alexandria, VA: American Statistical Association, 1993, pp. 22-27

"A Utility Based Approach to Information for Stochastic Differential Equations." Nicholas G. Polson and Gareth O. Roberts; Stochastic Processes and their Applications, 1993, 48(2), pp. 341-56.

http://dx.doi.org/10.1016/0304-4149(93)90053-7

"A Note on the Residual Entropy Function." Pietro Muliere, Giovanni Parmigiani and Nicholas G. Polson; Probability in the Engineering and Informational Sciences, 1993, 7, pp. 413-20.

A Note on the Residual Entropy Function Pietro Muliere, Giovanni Parmigiani and Nicholas G. Polson; Dp #92-A23; Durham, N.C.: Institute of Statistics and Decision Sciences Duke University, 1992

"Bayesian Design for Random Walk Barriers," G. Parmigiani and N. G. Polson, in J. M. Bernardo, J. O. Berger, A. P. Dawid and A. F. M. Smith: Bayesian Statistics 4. Proceedings of the Fourth Valencia International Meeting. Oxford: Clarendon Press Oxford University Press, 1992, pp. 715-21

"On the Expected Amount of Information from a Non-Linear Model." Nicholas G. Polson; Journal of the Royal Statistical Society. Series B (Methodological), 1992, 54(3), pp. 889-95.

http://links.jstor.org/sici?sici=0035-9246%281992%2954%3A3%3C889%3AOTEAOI%3E2.0.CO%3B2-W

"A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling." Bradley P. Carlin, Nicholas G. Polson and David S. Stoffer; Journal of the American Statistical Association, 1992, 87(418), pp. 493-500.

http://links.jstor.org/sici?sici=0162-1459%28199206%2987%3A418%3C493%3AAMCATN%3E2.0.CO%3B2-X

"Practical Markov Chain Monte Carlo : Comment." Nicholas G. Polson; Statistical Science, 1992, 7(4), pp. 490-91.

http://links.jstor.org/sici?sici=0883-4237%28199211%297%3A4%3C490%3A%5BMCMCC%3E2.0.CO%3B2-H

"Inference for Nonconjugate Bayesian Models Using the Gibbs Sampler." Bradley P. Carlin and Nicholas G. Polson; The Canadian Journal of Statistics, 1991, 19, pp. 399-405.

"A Bayesian Decision Theoretic Characterization of Poisson Processes." Nicholas G. Polson and Gareth O. Roberts; Journal of the Royal Statistical Society. Series B (Methodological), 1991, 53(3), pp. 675-82.

http://links.jstor.org/sici?sici=0035-9246%281991%2953%3A3%3C675%3AABDTCO%3E2.0.CO%3B2-E

"A Representation of the Posterior Mean for a Location Model." Nicholas G. Polson; Biometrika, 1991, 78(2), pp. 426-30.

http://links.jstor.org/sici?sici=0006-3444%28199106%2978%3A2%3C426%3AAROTPM%3E2.0.CO%3B2-S

"An Expected Utility Approach to Influence Diagnostics." Bradley P. Carlin and Nicholas G. Polson; Journal of the American Statistical Association, 1991, 86(416), pp. 1013-21.

http://links.jstor.org/sici?sici=0162-1459%28199112%2986%3A416%3C1013%3AAEUATI%3E2.0.CO%3B2-P

"Review of 'Bayesian Statistics'." Nicholas G. Polson; Journal of the American Statistical Association, 1990, 85( 412), pp. 1167.

http://links.jstor.org/sici?sici=0162-1459%28199012%2985%3A412%3C1167%3ABSAI%3E2.0.CO%3B2-K

"Prior Distributions for the Bivariate Binomial." Nick Polson and Larry Wasserman; Biometrika, 1990, 77(4), pp. 901-04.

http://links.jstor.org/sici?sici=0006-3444%28199012%2977%3A4%3C901%3APDFTBB%3E2.0.CO%3B2-J

Bayesian Perspectives on Statistical Modelling; Nicholas G. Polson; Ph.D. Dissertation, University of Nottingham 1988.

 

Accessing Linked Articles

Links to articles are, in most cases, to University of Chicago subscription databases. University of Chicago users who are off-campus will need to use IT Services' ProxyIt bookmarklet to authenticate themselves as authorized users. Vistors to our site may be able to get access through a local library; contact your local library for assistance.