Siddhartha Chib is an econometrician and statistician, the Harry C. Hartkopf Professor of

Econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," ''The New Palgrave: A Dictionary of ...

and Statistics at

Washington University in St. Louis Washington University in St. Louis (WashU or WUSTL) is a private research university with its main campus in St. Louis County, and Clayton, Missouri. Founded in 1853, the university is named after George Washington. Washington University is r ...

. His work is primarily in

Bayesian statistics Bayesian statistics is a theory in the field of statistics based on the Bayesian interpretation of probability where probability expresses a ''degree of belief'' in an event. The degree of belief may be based on prior knowledge about the event, ...

, econometrics, and Markov chain Monte Carlo methods. Key papers include Albert and Chib (1993) which introduced an approach for binary and categorical response models based on latent variables that simplifies the Bayesian analysis of categorical response models; Chib and Greenberg (1995) which provided a derivation of the Metropolis-Hastings algorithm from first principles, guidance on implementation and extensions to multiple-block versions; Chib (1995) where a new method for calculating the marginal likelihood from the Gibbs output is developed; Chib and Jeliazkov (2001) where the method of Chib (1995) is extended to output of Metropolis-Hastings chains; Basu and Chib (2003) for a method for finding marginal likelihoods in Dirichlet process mixture models; Carlin and Chib (1995) which developed a model-space jump method for Bayesian model choice via Markov chain Monte Carlo methods; Chib (1998) which introduced a multiple-change point model that is estimated by the methods of Albert and Chib (1993) and Chib (1996) for hidden Markov processes; Kim, Shephard and Chib (1998) which introduced an efficient inference approach for univariate and multivariate stochastic volatility models; and Chib and Greenberg (1998) which developed the Bayesian analysis of the

multivariate probit model In statistics and econometrics, the multivariate probit model is a generalization of the probit model used to estimate several correlated binary outcomes jointly. For example, if it is believed that the decisions of sending at least one child to ...

. He has also developed original methods for Bayesian inference in Tobit censored responses, discretely observed diffusions, univariate and multivariate ARMA processes, multivariate count responses, causal inference, hierarchical models of longitudinal data, nonparametric regression, and unconditional and conditional moment models.

Biography

He received a bachelor's degree from St. Stephen’s College, Delhi, in 1979, an M.B.A. from the

Indian Institute of Management, Ahmedabad Indian Institute of Management Ahmedabad (IIM Ahmedabad) is the world's number 1 business school, located in Ahmedabad, Gujarat, India. The school has been accorded the status of an Institute of National Importance by Ministry of Human Resourc ...

, in 1982, and a Ph.D. in economics from the

University of California, Santa Barbara The University of California, Santa Barbara (UC Santa Barbara or UCSB) is a Public university, public Land-grant university, land-grant research university in Santa Barbara County, California, Santa Barbara, California with 23,196 undergraduate ...

, in 1986. His advisors were

Sreenivasa Rao Jammalamadaka Sreenivasa Rao Jammalamadaka, also known as J.S. Rao, is a statistician specializing in directional statistics, Goodness of fit tests, Spacings, and aspects of large sample efficiencies and inference. He was born in Munipalle, Andhra Pradesh, ...

and Thomas F. Cooley.

Honors and awards

He is a fellow of the

American Statistical Association The American Statistical Association (ASA) is the main professional organization for statisticians and related professionals in the United States. It was founded in Boston, Massachusetts on November 27, 1839, and is the second oldest continuousl ...

(2001), the International Society of Bayesian Analysis (2012), and the

Journal of Econometrics The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work deal ...

(1996).

Selected publications

* Albert, Jim; Chib, Siddhartha.
Bayesian Analysis of Binary and Polychotomous Response Data
. ''

Journal of the American Statistical Association The ''Journal of the American Statistical Association (JASA)'' is the primary journal published by the American Statistical Association, the main professional body for statisticians in the United States. It is published four times a year in March, ...

,'' 88(2), 669–679, 1993. *Chib, Siddhartha; Greenberg, Edward.
Understanding the Metropolis–Hastings Algorithm
. ''

American Statistician ''The American Statistician'' is a quarterly peer-reviewed scientific journal covering statistics published by Taylor & Francis on behalf of the American Statistical Association. It was established in 1947. The editor-in-chief is Daniel R. Jesk ...

'', 49(4), 327–335, 1995 *Chib, Siddhartha.
Marginal Likelihood from the Gibbs Output
. ''

'', 90(4), 1313–1321, 1995. *Carlin, Brad; Chib, Siddhartha.
Bayesian Model Choice via Markov Chain Monte Carlo Methods
. ''

Journal of the Royal Statistical Society, Series B The ''Journal of the Royal Statistical Society'' is a peer-reviewed scientific journal of statistics. It comprises three series and is published by Wiley for the Royal Statistical Society. History The Statistical Society of London was founded ...

'', 57(3), 473–484, 1995. *Chib, Siddhartha.
Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models
. ''

'', 75, 79–97, 1996. * Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha. " Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, ''

Review of Economic Studies ''The Review of Economic Studies'' (also known as ''REStud'') is a quarterly peer-reviewed academic journal covering economics. It was established in 1933 by a group of economists based in Britain and the United States. The original editorial team ...

'', 65, 361–393, 1998. *Chib, Siddhartha.
Estimation and Comparison of Multiple Change Point Models
. ''

'', 86, 221-241, 1998. *Chib, Siddhartha; Jeliazkov, Ivan.
Marginal Likelihood from the Metropolis-Hastings Output
. ''

'', 96(1), 270-281, 2001. *Chib, Siddhartha; Nardari, Federico; Shephard, Neil.
Markov Chain Monte Carlo Methods for Stochastic Volatility Models
. ''

'', 108, 281-316, 2002. *Chib, Siddhartha; Ramamurthy, Srikanth.
Tailored randomized block MCMC methods with application to DSGE models
. ''

'', 155, 19-38, 2010. *Chib, Siddhartha; Shin, Minchul; Simoni, Anna.
Bayesian Estimation and Comparison of Moment Condition Models
. ''

'', 113(4), 1656-1668, 2018. *Chib, Siddhartha; Shin, Minchul; Simoni, Anna. " Bayesian Estimation and Comparison of Conditional Moment Models".
Journal of the Royal Statistical Society, Series B
84 (3), 740–764, 2022.

References

External links

Homepage
* {{DEFAULTSORT:Chib, Siddhartha Living people Bayesian statisticians University of California, Santa Barbara alumni Washington University in St. Louis faculty Delhi University alumni Econometricians Fellows of the American Statistical Association Year of birth missing (living people) Indian Institute of Management Ahmedabad alumni St. Stephen's College, Delhi alumni 20th-century Indian economists 21st-century Indian economists Indian emigrants to the United States Indian statisticians