Interests and progress

I am a PhD student focusing on inference on stochastic processes. My project is to analyse a general transformation model for Ito processes. I am currently focusing on robust inference on SDEs. Please email me if you are interested in further details. My advisor is Per Mykland.

I am interested in applications of statistical methods to financial and economic data. I have also done work in methodology for statistical genetics. Other areas of interest include topics in statistical inference, in particular asymptotic approximations.

I do occasional consulting projects as a part of the programme, see this page for areas of interest for consulting projects.

Related material

My first published paper appeared in the icelandic journal raust in 2003. This paper was written jointly with Daníel F. Guðbjartsson of deCode genetics.

A recent lecture (pdf) on the basics of point estimation that I gave for a course in the financial mathematics programme.

Non-technical and unpublished papers:

• Estimating equations and the generalized method of moments, some thoughts on connections between the literature in Econometrics and Statistics.
• An analysis of price impact of orders, an application of a well known method in the financial analysis of price impact with some thoughts on the adequacy of the model (joint work with Ioanid Rosu).

Short talks presenting two papers as part of the mini-seminar series for 1st and 2nd year students:

• Frequentist Model Averaging,
• A Simple Derivation of r* for Curved Exponential Families.

Courses taken at the University of Chicago.