David Frazier

Assoc Professor

20162020

Research output per year

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Personal profile

Biography

Research interests

Simulation-based inference in both the classical and Bayesian paradigm.

Financial Econometrics, with applications to asset pricing.

Nonparametric and semiparametric econometric modeling. 

Monash teaching commitment

ETC 1010: Data Modeling and Computing

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Projects

Research Output

Indirect inference with(out) constraints

Frazier, D. T. & Renault, E., Jan 2020, In : Quantitative Economics. 11, 1, p. 113-159 47 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
1 Citation (Scopus)

Model misspecification in approximate Bayesian computation: consequences and diagnostics

Frazier, D. T., Robert, C. P. & Rousseau, J., Apr 2020, In : Journal of the Royal Statistical Society Series B-Statistical Methodology. 82, 2, p. 421-444 24 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Approximate Bayesian forecasting

Frazier, D. T., Maneesoonthorn, W., Martin, G. M. & McCabe, B. P. M., 1 Apr 2019, In : International Journal of Forecasting. 35, 2, p. 521-539 19 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

A simple iterative Z-estimator for semiparametric models

Frazier, D. T., Feb 2019, In : Econometric Theory. 35, 1, p. 111-141 31 p.

Research output: Contribution to journalArticleResearchpeer-review

Auxiliary likelihood-based approximate Bayesian computation in state space models

Martin, G. M., McCabe, B. P. M., Frazier, D. T., Maneesoonthorn, W. & Robert, C. P., 2019, In : Journal of Computational and Graphical Statistics. 28, 3, p. 508-522 15 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)