Professor Mark Steel (Deputy Head)
Professor Mark Steel is interested in theoretical and applied Bayesian statistics, including multivariate distribution theory, inference robustness, Bayesian model averaging, spatial statistics, non- and semiparametric inference, stochastic frontier models, contingent valuation and stochastic volatility models. Part of his interests stem from his background in economics: he held a Chair in Economics at the University of Edinburgh from 1998-2000. He then moved to a Chair of Statistics at the University of Kent at Canterbury and has joined the University of Warwick in 2003.
He is an Editor of Bayesian Analysis and Associate Editor of the Journal of Econometrics, the Journal of Productivity Analysis and of the Central European Journal of Economic Modelling and Econometrics. Previously, he was Associate Editor of the Journal of the Royal Statistical Society, Series B (2003-2007), the Journal of Business and Economic Statistics (2000-2006) and of Econometric Theory (1994-2005). He has been a Fellow of the Journal of Econometrics since 1997. He has had a variety of roles in the International Society for Bayesian Analysis and in the Royal Statistical Society.
Contact him at: M.F.Steel "at" stats.warwick.ac.uk
Recent publications include (see his homepage for more publications and links to electronic versions):
Alternative efficiency meares for multiple-output production, with C. Fernandez and G. Koop, Journal of Econometrics, 126, (2005), 411-444.
Modelling directional dispersion through hyperspherical log-splines, with J.T. Ferreira, Journal of the Royal Statistical Society, B (Statistical Methodology), 67, (2005), 599-616.
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility, with J. Griffin, Journal of Econometrics, 134, (2006), 605-644.
Order-Based Dependent Dirichlet Processes, with J.Griffin, Journal of the American Statistical Association, Theory and Methods, 101, (2006), 179-194.
A constructive representation of univariate skewed distributions, with J.T. Ferreira, Journal of the American Statistical Association, Theory and Methods, 101, (2006), 823-829.
Non-Gaussian Bayesian geostatistical modelling, with M.B. Palacios, Journal of the American Statistical Association, Theory and Methods, 101, (2006), 604-618.
On describing multivariate skewed distributions: A directional approach, with J.T. Ferreira, Canadian Journal of Statistics, 34, (2006), 411-429.
Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers, with J.T. Ferreira, Journal of Econometrics, 137, (2007), 641-673.
A New Class of Skewed Multivariate Distributions with Applications to Regression Analysis, with J.T. Ferreira, Statistica Sinica, 17, (2007), 505-529.
Jointness in Bayesian variable selection with applications to growth regression, with E. Ley, Journal of Macroeconomics, 29, (2007), 476-493.
Bayesian Stochastic Frontier Analysis Using WinBUGS, with J.Griffin, Journal of Productivity Analysis, 27, (2007), 163-176.
Flexible mixture modelling of stochastic frontiers, with J.Griffin, Journal of Productivity Analysis, 29, (2008), 33-50.
Directional log-spline distributions, with J.T. Ferreira and M.A. Juarez, Bayesian Analysis, 3, (2008), 297-316.
On the effect of prior assumptions in Bayesian Model Averaging with applications to growth regression, with E. Ley, Journal of Applied Econometrics, 24, (2009), 651-674.
Flexible Univariate Continuous Distributions, with F. Quintana and J.T. Ferreira, Bayesian Analysis, 4, (2009), 497-522.
Transdimensional sampling algorithms for Bayesian variable selection in classification problems with many more variables than observations, with D. Lamnisos and J. Griffin, Journal of Computational and Graphical Statistics, 18, (2009), 592-612.
Model-based clustering of non-Gaussian panel data based on skew-t distributions, with M.A. Juarez, Journal of Business and Economic Statistics, 28, (2010), 52-66.
Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes, with J. Griffin. Computational Statistics and Data Analysis, 54, (2010), 2594-2608.
Non-Gaussian dynamic Bayesian modelling for panel data, with M.A. Juarez, Journal of Applied Econometrics, 25, (2010), 1128-1154.
Bayesian nonparametric modelling with the Dirichlet process regression smoother, with J. Griffin, Statistica Sinica, 20, (2010), 1507-1527.
A general class of nonseparable space-time covariance models, with T. Fonseca, Environmetrics, 22, (2011), 224-242.
Modelling multi-output stochastic frontiers using copulas, with A. Carta, Computational Statistics and Data Analysis, forthcoming.
Stick-breaking autoregressive processes, with J. Griffin, Journal of Econometrics, 162, (2011), 383-396.
Cross-validation prior choices in Bayesian probit regression with many covariates, with D. Lamnisos and J. Griffin, Statistics and Computing, 22, (2012), 359-373.
Modelling overdispersion with the normalized tempered stable distribution, with M. Kolossiatis and J. Griffin, Computational Statistics and Data Analysis, 55, (2011), 2288-2301.
Inference for grouped data with a truncated skew-Laplace distribution, with F.J. Rubio, Computational Statistics and Data Analysis, 55, (2011), 3218-3231.
Non-Gaussian spatiotemporal modelling through scale mixing, with T. Fonseca, Biometrika, 98, (2011), 761-774.
On Bayesian nonparametric modelling of two correlated distributions, with M. Kolossiatis and J. Griffin, Statistics and Computing, forthcoming.
On the Marshall-Olkin transformation as a skewing mechanism, with F.J. Rubio, Computational Statistics and Data Analysis, 56, (2012), 2251–2257.
Mixtures of g-priors for Bayesian Model Averaging with economic applications, with E. Ley, Journal of Econometrics, forthcoming.
Adaptive Monte Carlo for Bayesian variable selection in regression models, with D. Lamnisos and J. Griffin, Journal of Computational and Graphical Statistics, forthcoming.
