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
Sequential estimation and particle filtering;
Parallel statistical computation.