Recent Updates:

03/22/22: BigVAR version 1.1.0 is now available on cran

03/18/22: Updated BigVAR Vignette

09/15/20: High Dimensional Forecasting via Interpretable Vector Autoregression in press at the Journal of Machine Learning Research

01/26/19: Updated and Improved Shiny App is back online (hosted on a raspberry pi)

02/27/17: Final draft of VARX-L: Structured Regularization for Large Vector Autoregressions with Exogenous Variables (In press at the International Journal of Forecasting)

11/18/14: Slides from Student Seminar on High Performance Computing

I received my PhD from the Department of Statistics and Data Science at Cornell University. I worked with David Matteson and Jacob Bien on developing regularization methods for multivariate time series. I currently work in quantitative finance.