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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.

Here is a link to my Paper Cloud.

   Applied Statistical Modeling

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

2. de Carvalho, M., Page, G. L. & Barney, B. (2018, in press)
"On the Geometry of Bayesian Inference"
Bayesian Analysis.
• BibTeX   Supp  

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

4. 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  

5. 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  

6. 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  

7. 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  

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

9. 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  

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

11. 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  

12. 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  

13. 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  

14. 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 •  

15. 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 •  

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

17. 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.
BibTeX 

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

   Applied Econometrics and Risk Analysis

19. de Carvalho, M. & Martos, G. (2018, in press)
"Brexit: Tracking and Disentangling the Sentiment Towards Leaving the EU"
International Journal of Forecasting
BibTeX  Shiny •   R package: ASSA

20. 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

21. 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.
BibTeX 

22. 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

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

24. 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

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

26. 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.
BibTeX 

    Book Chapters

27. 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.
BibTeX 

28. 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.
BibTeX 

29. 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.
BibTeX 

   Contribution to Papers with Discussion

30. Huser, R., de Carvalho, M. & Lombardo, L. (2018)
"Discussion of «Visualizing Spatiotemporal Models with Virtual Reality» by
Castruccio, S., Genton, M. G. & Sun, Y."

Journal of the Royal Statistical Society, Ser. A.
BibTeX 

31. 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.
BibTeX 

32. 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.
BibTeX 

33. 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.
BibTeX 

34. 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.
BibTeX 

35. 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.
BibTeX 

   History of Statistics

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

Extremes, 18, 563‒583.
BibTeX 

   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.
BibTeX 

   Research Showcase


Geometry of Bayesian Inference
‡de Carvalho et al (2018, Bayesian Anal; to appear)


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


Fitting 3-D covariate-adjusted angular densities
‡Mhalla et al. (2018, Scandinavian J Stat; conditionally accepted)


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.