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.