Carlos M. Carvalho, Ph.D.
Associate Professor of Statistics


  Research Interests
My work focuses on Bayesian statistics in complex, high-dimensional problems with applications ranging from finance to genomics. Here are some key aspects of my current research:
  • Use of complex state-space models in asset pricing problems;

  • Dimensionality reduction in large-scale multivariate problems;

  • Sparse models for high-dimensional covariance matrices, including graphical models and sparse factor models.

  • Model search/selection in linear models and graphical models;

  • Dynamic graphical models in multivariate financial time series and portfolio analysis;

  • Conditional variance models and multivariate stochastic volatility;

  • Sequential estimation and particle filtering;

  • Parallel statistical computation.



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