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:

Preprints            Publications            PhD Students

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Preprints

2016
Modelling and computation using NCoRM mixtures for density regression (with F. Leisen) (Matlab code is available for this paper)
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
On efficient Bayesian inference for models with stochastic volatility (with D. K. Sakaria)

2015
Bayesian Nonparametric Vector Autoregressive Models (with M. Kalli)

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

Publications

In press
Compound random measures and their use in Bayesian nonparametrics (with F. Leisen), Journal of the Royal Statistical Society, Series B, to appear, (Matlab code is available for this paper)
Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
, Statistics and Computing
Hierarchical sparsity priors for regression models (with P. J. Brown), Bayesian Analysis

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

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

PhD Students

Current
Andrea Cremaschi (University of Kent) - Bayesian nonparametric methods for high-frequency data
Sam Oduro (University of Kent) - Financial modelling (with Jaideep Oberoi)
Su Wang (University of Kent) - Shrinkage priors for regression
Mark Sinclair-McGarvie (University of Kent) - Computational methods for Bayesian inference using GPUs

Former
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)