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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. 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  

2. 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  

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

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

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

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

7. 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  

8. 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.

9. 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  

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

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

12. 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  

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

14. 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  

15. 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  

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

17. 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 •  

18. 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.
• BibTeX  Code   Shiny •  

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

20. 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.

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

   Applied Econometrics and Risk Analysis

22. 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

23. 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

24. 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.

25. 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

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

27. 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

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

29. 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

30. 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.

31. 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.

32. 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

33. 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.

34. 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.

35. 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.

36. 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.

37. 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.

38. 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

39. 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

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.