Mike West

Arts and Sciences Distinguished Professor Emeritus of Statistics and Decision Sciences · 2024 - Present Statistical Science, Trinity College of Arts & Sciences

Professor Emeritus of Statistical Science · 2024 - Present Statistical Science, Trinity College of Arts & Sciences

Recent News Items

Published November 3, 2025

Duke Arts & Sciences

Mike West Wins 2025 Jerome Sacks Award for Cross-Disciplinary Research

Published September 30, 2021

Mike West Recognized as 2022 Distinguished de Finetti Lecturer

Published May 27, 2021

May Books: Mike West "Time Series: Modeling, Computation, and Inference"

View All News Items

Recent Scholarly Works

Risks and Uncertainty in Monetary Policy

Preprint · June 15, 2026 Central banks monitor macroeconomic risk through two traditions: scenario analysis, regularly used since the mid-1990s, and distributional forecasting, practiced since the late 1960s. The two are complementary but separate: scenarios provide narratives wit ... Link to item Cite

Predictive Concordance for Parameter Optimisation and Mixture Synthesis

Preprint · June 12, 2026 We discuss probabilistic measures of concordance between two probability distributions based on the expected misclassification rate (EMR). The focus is on comparing a given reference distribution with other distributions in a parametrised class, and optimi ... Link to item Cite

Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting

Preprint · May 12, 2026 We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian dynamic linear model ... Link to item Cite

View All Scholarly Works

External Links

Personal site