DEPARTMENT OF STATISTICS

Research

Statistics

Bayesian statistics and econometrics

applications in economics, finance, agriculture, and epidemiology
artificial intelligence
bayesian nonparametrics (BNP)
computational statistics
design and implementation of efficient Markov chain Monte Carlo (MCMC) algorithms
(factor) stochastic volatility models
high-dimensional inference
industrial statistics
univariate and multivariate time series modeling
shrinkage priors and regularization methods
spatio-temporal modeling
statistical learning
statistical decision theory
stochastic (partial) differential equations

Environmental statistics and risk evaluation

environmental health risk analysis
environmental monitoring networks
pollutant dispersion modeling
spatio-temporal sampling design
stochastic Navier-Stokes equation

Statistical Software

akima
ash
interp
factorstochvol
GPUoct (CUDA library for Octave)
OPDOE
sgeostat
Spatial Sampling Design Toolbox
stochvol
tripack

Stochastic Processes

actuarial mathematics
bicausal optimal transport
computational stochastics
information-based complexity
machine learning for SDEs
mathematics of energy markets
martingale optimal transport
mimicking martingales
numerical methods for SDEs
quantitative financial mathematics
(quasi-)Monte Carlo methods
robust mathematical finance
rough paths and signatures
SDEs with irregular coefficients
simulation methods
stochastic differential equations
stochastic analysis
stochastic optimal control
uncertainty quantification