Nicholas Polson

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Nicholas Polson (born May 7, 1963) is a British statistician who is a professor of econometrics and statistics at the University of Chicago Booth School of Business. His works are primarily in Bayesian statistics, Markov chain Monte Carlo and Sequential Monte Carlo, (aka Particle filter). Polson was educated at Worcester College, Oxford University and the University of Nottingham where his PhD supervisor was Adrian Smith.

Selected publications[edit]

  • Eraker, B., M. Johannes and N.G. Polson, "The Impact of Jumps in Volatility in Returns," (2003) Journal of Finance, 58, 3, 1269–1300.
  • Carlin, B.P., N.G. Polson and D.S. Stoffer, "A Monte Carlo Approach to Non-Normal and Non-Linear State Space Modelling" (1992) Journal of American Statistical Association, 87, 493–500.