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Research Interests

My research interests are eclectic. I am an applied mathematical statistician with a variety of research interests including, inter alia, statistical inferences for small-probability events, geometrical statistics, methods for data visualization and graphical learning, econometrics, and medical diagnostic assessment.

   Applied Statistical Modeling

1. Palacios Ramírez, V., de Carvalho, M. & Gutiérrez, L. (2024, to appear)
"Heavy-Tailed NGG-Mixture Models"
Bayesian Analysis.
• BibTeX   Supp  

2. Lee, J., de Carvalho, M., Rua, A. & Avila, J. (2024, to appear)
"Bayesian Smoothing for Time-varying Extremal Dependence"
Journal of the Royal Statistical Society, Ser. C.
• BibTeX   Supp  

3. de Carvalho, M., Huser, R. & Rubio, R. (2023)
"Similarity-based Clustering for Patterns of Extreme Values"
Stat, 12, e560.
• BibTeX   Supp  

4. Far, S. S., Inácio, V., Paulin, D., de Carvalho, M., Augustin, N., Allerhand, M. & Robertson, G. L. (2023)
"Consultancy Style Dissertations in Statistics and Data Science:
Why and How"

The American Statistician, 77, 331–339.

5. de Carvalho, M., Kumukova, A. & dos Reis, G. (2022)
"Regression-type Analysis for Multivariate Extreme Values"

Extremes, 25, 595–622.
• BibTeX  Supp  

6. Galasso, B., Zemel, Y. & de Carvalho, M. (2022)
"Bayesian Semiparametric Modelling of Phase-varying Point Processes"
Electronic Journal of Statistics, 16, 2518–2549.

7. de Carvalho, M., Pereira, S., Pereira, S. & de Zea Bermudez, P. (2022)
"An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails"
Journal of Agricultural, Biological and Environmental Statistics, 27, 222–239.
• BibTeX   Supp  

8. Inácio, V., Lourenço, de Carvalho, M., Parker, R. & Gnanapragasam, V. (2021)
"Robust and Flexible Inference for the Covariate-specific ROC Curve"
Statistics in Medicine, 40, 5779–5795.
• BibTeX   Supp  

9. Turkman, M. A., Turkman, K. F., de Zea Bermudez, P., Pereira, S., Pereira, P. & de Carvalho, M. (2021)
"Calibration of the Bulk and Extremes of Spatial Data"
Revstat—Statistical Journal, 19, 309–325.

10. de Carvalho, M., Barney, B. & Page, G. L. (2020)
"Affinity-Based Measures of Biomarker Performance Evaluation"
Statistical Methods in Medical Research, 20, 837‒853.
• BibTeX   Supp  

11. Lee, J. & de Carvalho, M. (2019)
"Technological Improvements or Climate Change? Bayesian Modeling of Time-Varying Conformance to Benford's Law"
PLOS ONE, 12, e0213300.
• BibTeX   Supp  

12. Mhalla, L., de Carvalho, M., & Chavez-Demoulin, V. (2019)
"Regression-type Models for Extremal Dependence"
Scandinavian Journal of Statistics, 46, 1141‒1167.
• BibTeX   Supp  

13. de Carvalho, M., Page, G. L. & Barney, B. (2019)
"On the Geometry of Bayesian Inference"
Bayesian Analysis, 14, 1013‒1036.
• BibTeX   Supp  

14. Inácio de Carvalho, V., de Carvalho, M., & Branscum, A. (2018)
"Bayesian Bootstrap Inference for the ROC Surface"
Stat, 7, e211.
• BibTeX   Supp  

15. Martos, G. & de Carvalho, M. (2018)
"Discrimination Surfaces with Application to Region-specific Brain Asymmetry Analysis"
Statistics in Medicine, 37, 1859‒1873.
• BibTeX   Supp  

16. Castro, D., de Carvalho, M. & Wadsworth, J. (2018)
"Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets"
Annals of Applied Statistics, 12, 283‒309.
• BibTeX   Supp  

17. Hanson, T. E., de Carvalho, M. & Chen, Y. (2017)
"Bernstein Polynomial Angular Densities of Multivariate Extreme Value Distributions"
Statistics and Probability Letters, 128, 60‒66.
BibTeX   R package: extremis

18. Tsagbey, S., de Carvalho, M. & Page, G. L. (2017)
"All Data are Wrong but some are Useful?"
The American Statistician, 71, 231‒235.
• BibTeX   Supp  

19. Inácio de Carvalho, V., de Carvalho, M. & Branscum, A. (2017)
"Nonparametric Bayesian Covariate-Adjusted Estimation of the Youden Index"
Biometrics, 73, 1279‒1288.
R package: ROCnReg • BibTeX   • Code   Supp  

20. Castro, D. & de Carvalho, M. (2017)
"Spectral Density Regression for Bivariate Extremes"
Stochastic Environmental Research and Risk Assessment, 31, 1603‒1613.
• BibTeX   Supp  

21. Inácio de Carvalho, V., de Carvalho, M., Alonzo, T. A. &
González-Manteiga, W. (2016)
"Functional Covariate-Adjusted Partial Area Under the
Specificity-ROC Curve with an Application to Metabolic Syndrome Diagnosis"

Annals of Applied Statistics, 10, 1472‒1495.
• BibTeX   • Code   Supp  

22. de Carvalho, M. (2016)
"Mean, What do you Mean?"
The American Statistician, 70, 270‒274.

23. Marques, F., Coelho, C. A. & de Carvalho, M. (2015)
"On the Distribution of Linear Combinations of Independent Gumbel Random Variables"
Statistics and Computing 25, 683‒701.
• BibTeX   Supp  

24. de Carvalho, M. & Davison, A. C. (2014)
"Spectral Density Ratio Models for Multivariate Extremes"
Journal of the American Statistical Association, 109, 764‒776.
• BibTeX   • Code   Supp  

25. Inácio de Carvalho, V., Jara, A., Hanson, T. E. & de Carvalho, M. (2013)
"Bayesian Nonparametric ROC Regression Modeling"
Bayesian Analysis, 8, 623‒646.
R package: ROCnReg • BibTeX   • Code   Supp  

26. de Carvalho, M., Turkman, K. F. & Rua, A. (2013)
"Dynamic Threshold Modelling and the US Business Cycle"
Journal of the Royal Statistical Society, Ser. C, 62, 535‒550.
• BibTeX  Supp   Shiny •  

27. de Carvalho, M., Oumow, B., Segers, J. & Warchol, M. (2013)
"A Euclidean Likelihood Estimator for Bivariate Tail Dependence"
Communications in Statistics—Theory and Methods, 42, 1176‒1192.
R package: extremis • BibTeX  Code   Shiny •  

28. de Carvalho, M. (2012)
"A Generalization of the Solis‒Wets Method"
Journal of Statistical Planning and Inference, 142, 633‒644.
• BibTeX  Movie 

29. de Carvalho, M., Fonseca, M., Mexia, J. T. & Oliveira, M. (2012)
"A Dimension Reduction Technique for Estimation in Linear Mixed Models"
Journal of Statistical Computation and Simulation, 82, 219‒226.

30. de Carvalho, M. & Ramos, A. (2012)
"Bivariate Extreme Statistics, II"
Revstat—Statistical Journal, 10, 81‒104.

   Forecasting, Applied Econometrics and Risk Analysis

31. de Carvalho, M. & Martos, G. (2022)
"Modeling Interval Trendlines: Symbolic Singular Spectrum Analysis for Interval Time Series"
Journal of Forecasting, 41, 167–180.
• BibTeX   Supp   R package: ASSA

32. de Carvalho, M. & Martos, G. (2020)
"Brexit: Tracking and Disentangling the Sentiment Towards Leaving the EU"
International Journal of Forecasting, 36, 1128–1137.
BibTeX  Shiny •   R package: ASSA

33. de Carvalho, M. & Rua, A. (2017)
"Real-Time Nowcasting the US Output Gap: Singular Spectrum Analysis at Work"
International Journal of Forecasting, 33, 185–198.
BibTeX  Shiny •   R package: ASSA

34. de Carvalho, M. & Rua, A. (2014)
"Extremal Dependence in International Output Growth: Tales from the Tails"
Oxford Bulletin of Economics and Statistics, 76, 605‒620.

35. de Carvalho, M., Rodrigues, P. & Rua, A. (2012)
"Tracking the US Business Cycle With a Singular Spectrum Analysis"
Economics Letters, 114, 32‒35.
• BibTeX   Code   Shiny •   R package: ASSA

36. de Carvalho, M. & Júlio, P. (2012)
"Digging out the PPP Hypothesis: an Integrated Empirical Coverage"
Empirical Economics, 42, 713‒744.

37. de Carvalho, M. & Marques, F. (2012)
"Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho"
North American Actuarial Journal, 16, 487‒492.
• BibTeX  Code   Shiny •   R package: spearmanCI

   Applied Mathematical Modeling

38. Svetlosak, A. & de Carvalho, M. & Calabrese, R. (2023)
"Subject-to-Group Statistical Comparison for Open Banking-type Data"
Journal of the Operational Research Society, 74, 703–718.
• BibTeX   Supp  

39. Rodrigues, P. C. & de Carvalho, M. (2013)
"Spectral Modeling of Time Series with Missing Data"
Applied Mathematical Modelling, 37, 4676‒4684.

40. de Carvalho, M. (2011)
"Confidence Intervals for the Minimum of a Function Using Extreme Value Statistics"
International Journal of Mathematical Modelling and Numerical Optimisation, 2, 288‒296.

    Book Chapters

41. de Carvalho, M. (2016)
"Statistics of Extremes: Challenges and Opportunities"
In: Handbook of EVT and its Applications to Finance and Insurance
Eds F. Longin. Hoboken: Wiley.

42. Inácio de Carvalho, V., Jara, A. & de Carvalho, M. (2015)
"Bayesian Nonparametric Approaches for ROC Curve Inference"
In: Nonparametric Bayesian Methods in Biostatistics and Bioinformatics
Eds R. Mitra and P. Müller. Cham: Springer.

43. Johnson, W. O. & de Carvalho, M. (2015)
"Bayesian Nonparametric Biostatistics"
In: Nonparametric Bayesian Methods in Biostatistics and Bioinformatics
Eds R. Mitra and P. Müller. Cham: Springer.

   Contribution to Papers with Discussion

44. de Carvalho, M., Kumukova, A. & Palacios Ramirez, V. (2023)
"Discussion of «The Importance of Context in Extreme Value Analysis with Application to Extreme Temperatures in the USA and Greenland» by Clarkson, D., Eastoe, E. & Leeson, A."

Journal of the Royal Statistical Society, Ser. C, 72, 853–854

45. Huser, R., de Carvalho, M. & Lombardo, L. (2019)
"Discussion of «Visualizing Spatiotemporal Models with Virtual Reality» by Castruccio, S., Genton, M. G. & Sun, Y."

Journal of the Royal Statistical Society, Ser. A, 182, 431–432.

46. de Carvalho, M., Page, G. L. & Barney, B. (2017)
"Discussion of «Random-Projection Ensemble Classification» by Cannings, T. I. & Samworth, R. J."

Journal of the Royal Statistical Society, Ser. B, 79, 1007–1008.

47. de Carvalho, M. & Rua, A. (2016)
"Discussion of «Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings» by Ehm, W., Gneiting, T., Jordan, A. & Krüger, F."

Journal of the Royal Statistical Society, Ser. B, 78, 539–540.

48. de Carvalho, M. (2016)
"Discussion of «Statistical Modelling of Citation Exchange Between Statistics Journals» by Varin, C., Cattelan, M. & Firth, D."

Journal of the Royal Statistical Society, Ser. A, 179, 44‒45.

49. de Carvalho, M. & Page, G. L. (2013)
"Discussion of «How to Find an Appropriate Clustering for Mixed Type Variables with Application to Socio-Economic Stratification» by Hennig, C. & Liao, T. F."

Journal of the Royal Statistical Society, Ser. C, 62, 343‒344.

50. Inácio, V., de Carvalho, M. & Turkman, M. A. (2012)
"Discussion of «Probabilistic Index Models» by Thas, O., de Neve, J., Lieven, C. & Ottoy., J.-P."

Journal of the Royal Statistical Society, Ser. B, 74, 659‒661.

   History of Statistics

51 . Fraga Alves, I. & de Carvalho, M. (2015)
"A Conversation with Ivette Gomes"

Extremes, 18, 563‒583.

   Selected Conference Manuscripts

1. de Carvalho, M. & Davison, A. C. (2011)
"Semiparametric Estimation for K-Sample Multivariate Extremes,"

In: Proc. 58th World Congress Int. Statist. Inst.

   Research Showcase

Asymptotic envelopes for stable process over different centering measures
‡Ramirez et al (2024, Bayesian Analysis)

Time-varying extremal dependence in stock markets
‡Lee et al (2024, JRSS C)

Regression manifolds
‡de Carvalho et al (2022, Extremes)

Learning about phase variation of point processes
‡Galasso et al (2022, Elec J Statist)

A Bayesian LASSO for black swan events
‡de Carvalho et al (2022s, JABES)

Learning about interval trendlines
‡de Carvalho and Martos (2022, J Forecasting)

The Geometry of Bayesian inference
‡de Carvalho et al (2019, Bayesian Anal)

Discrimination surfaces and IMDs
‡Martos and de Carvalho (2018, Stat Med)

Fitting 3-D covariate-adjusted angular densities
‡Mhalla et al. (2019, Scandinavian J Stat)

Time-varying extremal dependence in stock markets
‡Castro et al. (2018, AoAS)

Spectral surfaces
‡de Carvalho (2016, Wiley)

Covariate-adjusted extremal dependence
‡Castro and de Carvalho (2017, SERRA)

Spectral density fit from spectral density ratio model
‡de Carvalho and Davison (2014, JASA)

Kernel smoothed Euclidean spectral density
‡de Carvalho et al. (2013, Comm Stat Theo Meth)

Mirror plot
‡de Carvalho et al. (2013, JRSS C)

Zigzag search
‡ de Carvalho (2012, JSPI)

Comb plot and singular spectrum business cycle analysis
‡de Carvalho and Rua (2017, IJF); de Carvalho, Rodrigues, and Rua (2012, Econ Lett)

Functional covariate-adjusted partial AUC
‡Inácio de Carvalho et al (2016, AoAS)

Bayesian nonparametric biostatistics
‡Inácio de Carvalho, de Carvalho, and Branscum (2017, Biometrics), Johnson and de Carvalho (2015, Springer), Inácio de Carvalho, Jara, and de Carvalho (2015, Springer), Inácio de Carvalho et al (2013, Bayesian Anal)

Modeling missing data by combining forecasts and backcasts
‡Rodrigues and de Carvalho (2012, Appl Math Modell)

Jackknife Euclidean likelihood confidence intervals for Spearman's rho
‡de Carvalho and Marques (North Amer Actuarial J, 2013).

Pointwise difference between the exact density of the sum of two independent Gumbel random variables and the densities obtained through our near-exact approximation (gray lines), as well as the difference between the exact density and the approximation in Cetinkaya et al (2001) (black line)
‡Marques, Coelho, and de Carvalho (2015, Stat Comput)

My research has been supported by grants from: Banco de Portugal (Portuguese Central Bank), Center for Mathematics and Applications—Universidade Nova de Lisboa, Fondecyt (Chilean NSF), Fonds National Suisse de la Recherche Scientifique (Swiss NSF), and Fundação para a Ciência e a Tecnologia (Portuguese NSF); the order is alphabetical.