Professor Jim Griffin's research page

I am Professor of Statistics at the School of Mathematics, Statistics and Actuarial Science, University of Kent. Information on my research papers is available from Google scholar. My contact details are here and my interests are:

• Bayesian nonparametric methods including:
• the development of dependent nonparametric priors such as compound random measures (CoRM)
• computational methods for nonparametric modelling such as a pseudo-marginal MCMC sampler for normalized CoRM mixtures, sequential Monte Carlo methods for normalized random measures or adaptive truncation methods
• The application of nonparametric and semiparametric methods to economic and financial data including:
• the development of a Bayesian nonparametric vector autoregression model for multivariate time series
• the analysis of high-frequency data using Bayesian realized volatility
• the construction of quantile time series models for financial data
• the modelling of financial data with flexible stochastic volatility models and jumps
• Sparse Bayesian methods for regression problems with many variables including:
• efficient computation using adaptive Monte Carlo methods
• the use of shrinkage priors in models with interactions
• applications in bioinformatics and medicine.

Preprints Publications PhD Students

Preprints

2018
In Search of Lost (Mixing) Time: Adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large p (with K. Latuszynski and M. F. J. Steel) (Matlab code is available for this paper)

2017
A Bayesian Quantile Time Series Model for Asset Returns (with G. Mitrodima)

2016
Bayesian nonparametric estimation of ex-post variance (with J. Liu and J. M. Maheu)
Robustly modelling the scale and shape dynamics of stock return distributions (with E. Mitrodima and J. S. Oberoi)
Flexibly modelling volatility and jumps using realised and bi-power variation

Publications

2018
Modelling and computation using NCoRM mixtures for density regression (with F. Leisen), Bayesian Analysis, 13, 897-916. (Matlab code is available for this paper)
Discussion of "Nonparametric Bayesian Inference in Applications": Bayesian nonparametric methods in econometrics (with M. Kalli and M. F. J. Steel), Statistical Methods & Applications, 27, 207-218,
Bayesian Nonparametric Vector Autoregressive Models (with M. Kalli), Journal of Econometrics, 203, 267-282.

2017
On efficient Bayesian inference for models with stochastic volatility (with D. K. Sakaria), Econometrics and Statistics, 3, 23-33,
Compound random measures and their use in Bayesian nonparametrics (with F. Leisen), Journal of the Royal Statistical Society, Series B, 79, 525-545. (Matlab code is available for this paper).
Hierarchical sparsity priors for regression models (with P. J. Brown), Bayesian Analysis, 12, 135-159.
Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors, Statistics and Computing, 27, 131-145

2016
An adaptive truncation method for inference in Bayesian nonparametric models, Statistics and Computing, 26, 423-441.

2015
Two-sample Bayesian nonparametric hypothesis testing (with C. C. Holmes, F. Caron and D. A. Stephens), Bayesian Analysis, 10, 297-320.
Flexible Modelling of Dependence in Volatility Processes (with M. Kalli), Journal of Business and Economic Statistics, 33, 102-113.

2014
Time-varying sparsity in dynamic regression models (with M. Kalli), Journal of Econometrics, 178, 779-793. (Matlab code is available for this paper).

2013
Adaptive Monte Carlo for Bayesian Variable Selection in Regression Models (with D. S. Lamnisos and M. F. J. Steel), Journal of Computational and Graphical Statistics, 22, 729-748.
Some Priors for Sparse Regression Modelling (with P. J. Brown), Bayesian Analysis, 8, 691-702.
Comparing Distributions By Using Dependent Normalized Random-Measure Mixtures (with M. Kolossiatis and M. F. J. Steel), Journal of the Royal Statistical Society, Series B, 75, 499-529.
A Bayesian Semiparametric Model for Volatility Modelling with a Leverage Effect (with E.-I. Delatola), Computational Statistics and Data Analysis, 60, 97-110.
On Bayesian nonparametric modelling of two correlated distributions (with M. Kolossiatis and M. F. J. Steel), Statistics and Computing, 23, 1-15.
On Adaptive Metropolis-Hastings Methods (with S. G. Walker), Statistics and Computing, 23, 123-134.

2012
Bayesian correlated clustering to integrate multiple datasets (with P. W. D. Kirk, R. S. Savage, Z. Ghahramani and D. L. Wild), Bioinformatics, 28, 3290-3297.
Structuring shrinkage: some correlated priors for regression (with P. J. Brown), Biometrika, 99, 481-487.
Cross-validation prior choice in Bayesian probit regression with many covariates (with D. Lamnisos and M. F. J. Steel), Statistics and Computing, 22, 359-373.

2011
Bayesian adaptive lassos with non-convex penalization (with P. J. Brown), Australian and New Zealand Journal of Statistics, 53, 423-442.
Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility (with E.-I. Delatola), Bayesian Analysis, 6, 901-926. (Matlab code is available for this paper).
Bayesian Clustering of Distributions in Stochastic Frontier Analysis, Journal of Productivity Analysis, 36, 275-283.
Inference in Infinite Superpositions of non-Gaussian Ornstein-Uhlenbeck processes using Bayesian nonparametric methods, Journal of Financial Econometrics, 9, 519-549.
The Ornstein-Uhlenbeck Dirichlet Process and other time-varying processes for Bayesian nonparametric inference, Journal of Statistical Planning and Inference, 141, 3648-3664.
Modelling overdispersion with the Normalized Tempered Stable distribution (with M. Kolossiatis and M. F. J. Steel), Computational Statistics and Data Analysis, 55, 2288-2301.
Stick-Breaking Autoregressive Processes (with M. F. J. Steel), Journal of Econometrics, 162, 383-396.
Posterior Simulation of Normalized Random Measure Mixtures (with S. G. Walker), Journal of Computational and Graphical Statistics, 20, 241-259. (Matlab code is available for this paper).
Slice Sampling Mixture Models (with M. Kalli and S. G. Walker), Statistics and Computing, 21, 93-105.
Covariance measurement in the presence of non-synchronous trading and market microstructure noise (with R. C. A. Oomen), Journal of Econometrics, 160, 58-68.

2010
Bayesian Nonparametric Modelling with the Dirichlet Process Regression Smoother (with M. F. J. Steel), Statistica Sinica, 20, 1507-1527.
Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes (with M. F. J. Steel), Computational Statistics and Data Analysis, 54, 2594-2608. (Matlab code is available for this paper).
Discovering Transcriptional Modules from Bayesian Data Fusion (with R. S. Savage, Z. Ghahramani, B. J. de la Cruz and D. L. Wild), Bioinformatics, 26, 1158-1167.
Inference with Normal-Gamma prior distributions in regression problems (with P. J. Brown), Bayesian Analysis, 5, 171-188.
Default priors for density estimation with mixture models, Bayesian Analysis, 5, 45-64. (Matlab code is available for this paper).

2009
Transdimensional sampling algorithms for Bayesian variable selection in classification problems with many more variables than observations (with D. Lamnisos and M. F. J. Steel), Journal of Computational and Graphical Statistics, 18, 592-612. (Matlab code and a ReadMe file are available).

2008
Flexible Mixture Modelling of Stochastic Frontiers (with M. F. J. Steel), Journal of Productivity Analysis, 29, 33-50.
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (with R. C. A. Oomen), Econometric Reviews, 27, 230-253.

2007
Bayesian Stochastic Frontier Analysis Using WinBUGS (with M. F. J. Steel), Journal of Productivity Analysis, 27, 163-176. (WinBUGS code is available).

2006
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (with M. F .J. Steel), Journal of Econometrics, 134, 605-644.
Order-Based Dependent Dirichlet Processes (with M. F. J. Steel), Journal of the American Statistical Association, Theory and Methods, 101, 179-194.

2004
Semiparametric Bayesian Inference for Stochastic Frontier Models (with M. F. J. Steel), Journal of Econometrics, 123, 121-152. (Matlab code is available).

2001
A Bayesian Partition Model for Customer Attrition (with C. J. Hoggart), in Bayesian Methods with Applications to Science, Policy and Official Statistics (Selected Papers from ISBA 2000): The Sixth World Meeting of the International Society for Bayesian Analysis, 223-232.

Technical Reports

2014
Individual adaptation: an adaptive MCMC scheme for variable selection (with K. Latuszynski and M. F. J. Steel)

2013
Adaptive MC³ and Gibbs Algorithms for Bayesian Model Averaging in Linear Regression Models (with D. S. Lamnisos and M. F. J. Steel)
Identifying cancer subtypes in glioblastoma by combining genomic, transcriptomic and epigenomic data (with R. S. Savage, Z. Ghaharmani, P. W. K. Kirk, D. L. wild)

2011
Bayesian multivariate density estimation for observables and random effects

Posters

An adaptive MCMC scheme for Bayesian Variable Selection In Binary and Time-to-Event Endpoints via data augmentation (with K. Wan and D. Robinson)

PhD Students

Current
Alex Diana (University of Kent) - Bayesian nonparametric methods in ecology (with Eleni Matechou)
Mark Sinclair-McGarvie (University of Kent) - Computational methods for Bayesian inference using GPUs

Former
Su Wang (University of Kent) - "Inference with Time-Varying Parameter Models using Bayesian shrinkage"
Sam Oduro (University of Kent) - Bayesian econometric modelling of informed trading, bid-ask spread and volatility (with Jaideep Oberoi)
Andrea Cremaschi (University of Kent) - "Comparing computational approaches to the analysis of high-frequency trading data using Bayesian methods"
Bill Sakaria (University of Kent) - "Application of Dynamic Factor Modelling to Financial Contagion"
Vasiliki Dimitrakopoulou (University of Kent) - "Bayesian Variable Selection in Cluster Analysis" (with Phil Brown)
Eleni-Ioanna Delatola (University of Kent) - "Bayesian Nonparametric Modelling of Financial Data"
Kitty Wan (University of Kent) - "Statistical Methods for the Analysis of Genetic Association Studies" (with Phil Brown)
Michalis Kolossiatis (University of Warwick) - "Modelling via Normalisation for Parametric and Nonparametric Inference" (with Mark Steel)
Demetris Lamnisos (University of Warwick) - "Bayesian Variable Selection for Binary Regression with Many More Variables than Observations" (with Mark Steel)