Dr Nuttanan Wichitaksorn

TSG-814

Lecturer in Analytics/Statistics

Email: nuttanan.wichitaksorn@aut.ac.nz

Physical Address:
School of Engineering, Computer and Mathematical Sciences
AUT Tower, Level 1
2-14 Wakefield St
Auckland 1010



Postal Address:
School of Engineering, Computer and Mathematical Sciences
Auckland University of Technology
Private Bag 92006,
Auckland 1142,
New Zealand



Qualifications:

  • PhD in Econometrics, University of Sydney, Australia
  • Master of Arts in Economics, Rutgers University, USA
  • Master of Economics, Chulalongkorn University, Thailand
  • Bachelor of Science in Cooperative Economics, Kasetsart University, Thailand

Biography:

Nate’s current specialization is Econometrics and Statistics with emphasis on Bayesian approach and applications in economics, finance, health science, and social science. His research interests also lie in the fields of computational statistics using Monte Carlo methods, financial analytics, skew distributions, copula modeling, robust quantile regression, and GPU-based parallel computation.

Before joining AUT, Nate has been a research fellow at Thailand Development Research Institute and was a Lecturer in Statistics at University of Canterbury, New Zealand where he is now an Adjunct Fellow. Prior to that, he obtained a PhD in Econometrics from University of Sydney, Australia, and two MAs in Economics from Rutgers University, USA, and Chulalongkorn University, Thailand.

Teaching Areas:

  • Applied Statistics/Introductory Statistics
  • Time Series Analysis
  • Industrial and Business Analytics
  • Bayesian Inference

Research Areas:

  • Bayesian Statistics and Econometrics
  • Analytic Methods in Finance, Economics, Health Science, and Social Science
  • Computational Statistics using Monte Carlo Methods (Markov chain Monte Carlo and Direct Monte Carlo)
  • Copula Modeling
  • Robust and Parametric Quantile Regression

Research Summary:

Selected Grants
  • Research Grant (850,000 Baht or USD equivalent 24,000) from International Organization for Migration for the Project Titled “Thai Labor Market Assessment", 2016
  • Research Grant (10,000 CHF or USD equivalent 11,500) from ETH and Ministry of Education, Switzerland for the Project Titled “Development and Application of Advanced Risk Management Tools for Stabilizing the Economic and Financial System in Thailand", 2015-2016, with Marc Paolella (PI) and Paul Embrechts
  • Research Grant (USD 100,000) from Food and Agriculture Organization for the Project Titled “Rice Balance Sheet: An Estimation of Uses of Rice in Thailand", 2015
  • Research Grant (240,000 Baht or USD equivalent 8,000) from the Young Researchers Scheme by Thailand Research Fund for the Project Titled “Competitive Behavior of Thai Commercial Banks", 2004-2005

Current Research Projects:

  • Portfolio Analysis using Loss
  • Matrix Copulas
  • Projection of Water Demand in Thailand
  • Projection of Public Health Expenditure in Thailand
  • Influence of Foreign Players in Thai Soccer League
  • Dynamics of the Thai Labor Market and Its Determinants

Publications:

  • Wichitaksorn, N., Wang, J.J.J., Choy, S.T.B., and Gerlach, R. 2015. Analysing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures. Applied Stochastic Models in Business and Industry. 31(5): 584-608.
  • Wichitaksorn, N. and Choy, S.T.B. 2015. Bayesian Parallel Computation for Intractable Likelihood using Griddy-Gibbs Sampler. In S.K. Upadhyay, U. Singh, D.K. Dey, and A. Loganathan (eds.), Current Trends in Bayesian Methodology with Applications, 619-630. Florida: CRC Press, Taylor & Francis Group.
  • Wichitaksorn, N. and Choy, S.T.B. 2015. Assessing sectoral risk through skew-error capital asset pricing model: Empirical evidence from Thai stock market. In V.-N. Huynh, V. Kreinovich, S. Sriboonchitta, and K. Suriya, Econometrics of Risk, Studies in Computational Intelligence Series 583, 435-447. Switzerland: Springer Verlag.
  • Wichitaksorn, N., Choy, S.T.B., and Gerlach, R. 2014. A generalized class of skew distributions and associated robust quantile regression models. Canadian Journal of Statistics. 42(4): 579-596.
  • Wichitaksorn, N. and Tsurumi, H. 2013. Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: The case of asymmetric Laplace distribution. Computational Statistics & Data Analysis. 67: 226-235.
  • Wichitaksorn, N. and Choy, S.T.B. 2012. Modeling Dependence of Bivariate Seemingly Unrelated Tobit Model through Copula. Proceedings of the Fourth International Conference of the Thailand Econometric Society, January 13-14, 2011, Chiang Mai, Thailand.
  • Choy, S.T.B. and Wichitaksorn, N. 2011. Discussion on Bayesian variable selection for random intercept modeling of Gaussian and non-Gaussian Data. Bayesian Statistics 9. 189-191.

Awards:

  • Dean's Citation Award for Tutoring (Teaching in Tutorials) in Semester 2, 2012 from University of Sydney Business School, awarded in May 2013
  • Honorable Mention as a Finalist (among Four Finalists) for NISS/ASA Best y-BIS Paper Award 2012 by National Institute of Statistical Sciences and American Statistical Association
  • ISBA 2012 World Meeting Junior Travel Award from Japanese Ministry of Education, Science, Sports, Culture and Technology
  • Award for Excellence in Postgraduate Research by Statistical Society of Australia, Inc., New South Wales Branch, 2011


Last updated: 07-Jul-2017 10.11am

The information on this page was correct at time of publication. For a comprehensive overview of AUT qualifications, please refer to the Academic Calendar.