Rubén Loaiza-Maya

I am a Senior Lecturer at the Department of Econometrics and Business Statistics at Monash University. My research focuses on developing models and Bayesian estimation methods that can be applicable to large data sets with multiple and highly dependent variables. I completed my doctoral studies in statistics and econometrics at the Melbourne Business School at the University of Melbourne.

Curriculum Vitae

Working papers

Optimal probabilistic forecasts for risk management. Joint work with Yuru Sun, Worapree (Ole) Maneesoonthorn and Gael Martin

Contact information

Email: ruben.loaizamaya@monash.edu

Phone: (+61) 99052510

Address: 900 Dandenong Rd, Caulfield East VIC 3145

Publications + Code

[21] Efficient variational approximations for state space models, Accepted at Journal of Business and Economic Statistics. Joint work with Didier Nibbering

[20] Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models, forthcoming at Statistics and Computing. Joint work with Weiben Zhang, Michael Smith and Worapree (Ole) Maneesoonthorn

[19] Loss-Based Variational Bayes Prediction, forthcoming at the Journal of Computational and Graphical Statistics. Joint work with David Frazier , Gael Martin and Bonsoo Koo. Code.

[18] ABC-based Forecasting in Misspecified State Space Models, forthcoming at the International Journal of Forecasting. Joint work with Chaya Weerasinghe, Gael Martin and David Frazier

[17] Hybrid unadjusted Langevin methods for high-dimensional latent variable models, Journal of Econometrics (2024). Joint work with Didier Nibbering and Dan Zhu. Code

[16] Bayesian Forecasting in the 21st Century: A Modern Review, International Journal of Forecasting (2024). Joint work with Gael Martin, David Frazier, Worapree (Ole) Maneesoonthorn, Florian Huber, Gary Koop, John Maheu, Didier Nibbering and Anastasios Panagiotelis.

[15] Fast variational Bayes methods for multinomial probit models, Journal of Business and Economic Statistics (2023). Joint work with Didier Nibbering. Code.

[14] Variational Bayes in State Space Models: Inferential and Predictive Accuracy, Journal of Computational and Graphical Statistics (2023). Joint work with David Frazier and Gael Martin.

[13] Implicit Copula Variational Inference , Journal of Computational and Graphical Statistics (2023). Joint work with Michael Smith. Code

[12] Scalable Bayesian estimation in the multinomial probit model, Journal of Business and Economic Statistics (2022). Joint work with Didier Nibbering. Code

[11] Fast and Accurate Variational Inference for Models with Many Latent Variables, Journal of Econometrics (2022). Joint work with Michael Smith, David Nott and Peter Danaher. Code

[10] Optimal probabilistic forecasts: When do they work?, International Journal of Forecasting (2022). Joint work with Gael Martin, David Frazier, Worapree (Ole) Maneesoonthorn, and Andres Ramirez Hassan.

[9] Focused Bayesian Prediction, Journal of Applied Econometrics (2021). Joint work with Gael Martin and David Frazier. Code

[8] Advertising Effectiveness for Multiple Brands in a Multimedia and Multichannel Environment, Journal of Marketing Research (2020). Joint work with Peter Danaher, Tracey Danaher and Michael Smith. Code

[7] High-dimensional Copula Variational Approximation through Transformation, Journal of Computational and Graphical Statistics (2020). Joint work with Michael Smith and David Nott. Code

[6] Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula, Journal of Business and Economic Statistics (2020). Joint work with Michael Smith. Code

[5] Variational Bayes estimation of discrete-margined copula models with application to time series, Journal of Computational and Graphical Statistics (2019). Joint work with Michael Smith. Code

[4] Time series copulas for heteroskedastic data, Journal of Applied Econometrics (2018). Joint work with Michael Smith and Worapree (Ole) Maneesoonthorn. Code

[3] Latin American exchange rate dependencies: A regular vine copula approach, Contemporary Economic Policy (2015). Joint work with Jose Eduardo Gomez-Gonzales and Luis F Melo-Velandia

[2] Exchange rate contagion in Latin America, Research in International Business and Finance (2015). Joint work with Jose Eduardo Gomez-Gonzales and Luis F Melo-Velandia

[1] Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates, Economic Systems (2016). Joint work with Luis F Melo-Velandia and Mauricio Villamizar-Villegas

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