Miguel de Carvalho

Professor & Chair of Statistical Data Science

Research Interests

I am an applied mathematical statistician with broad research interests. My core areas include Extreme Value Theory, Bayesian Analysis, and the interfaces between Statistics and AI. I also have extensive experience in Forecasting, Time Series Analysis, Spatial Statistics, and the application of statistical methods to problems in Medical, Environmental, and Financial Sciences.^†

Statistical Modeling

1. de Carvalho, M., Martos, G. & Svetlosak, A. (2025)
"A Game-Inspired Algorithm for Marginal and Global Clustering"
Pattern Recognition, 160, 111158.
BibTeX • Supp

2. de Carvalho, M. & Palacios Ramirez, K. (2024)
"Semiparametric Bayesian Modeling of Nonstationary Joint Extremes: How do Big Tech's Extreme Losses Behave?"
Journal of the Royal Statistical Society, Ser. C, 74, 447–465.
BibTeX • Supp

3. de Carvalho, M. & Martos, G. (2024)
"Uncovering Sets of Maximum Dissimilarity on Random Process Data"
Transactions on Machine Learning Research, 05/2024, 1–23.
BibTeX

4. Palacios Ramírez, V., de Carvalho, M. & Gutiérrez, L. (2024, to appear)
"Heavy-Tailed NGG-Mixture Models"
Bayesian Analysis.
BibTeX • Supp

5. Lee, J., de Carvalho, M., Rua, A. & Avila, J. (2024)
"Bayesian Smoothing for Time-varying Extremal Dependence"
Journal of the Royal Statistical Society, Ser. C, 73, 581–597.
BibTeX • Supp

6. de Carvalho, M., Huser, R. & Rubio, R. (2023)
"Similarity-based Clustering for Patterns of Extreme Values"
Stat, 12, e560.
BibTeX • Supp

7. Far, S. S., Inácio, V., Paulin, D., de Carvalho, M., Augustin, N., Allerhand, M. & Robertson, G. L. (2023)
"Consultancy Style Dissertations in Statistics and Data Science"
The American Statistician, 77, 331–339.
BibTeX

8. de Carvalho, M., Kumukova, A. & dos Reis, G. (2022)
"Regression-type Analysis for Multivariate Extreme Values"
Extremes, 25, 595–622.
BibTeX • Supp

9. Galasso, B., Zemel, Y. & de Carvalho, M. (2022)
"Bayesian Semiparametric Modelling of Phase-varying Point Processes"
Electronic Journal of Statistics, 16, 2518–2549.
BibTeX

10. de Carvalho, M., Pereira, S., Pereira, S. & de Zea Bermudez, P. (2022) "An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails"
Journal of Agricultural, Biological and Environmental Statistics, 27, 222–239.
BibTeX • Supp

11. Inácio, V., Lourenço, de Carvalho, M., Parker, R. & Gnanapragasam, V. (2021)
"Robust and Flexible Inference for the Covariate-specific ROC Curve"
Statistics in Medicine, 40, 5779–5795.
• BibTeX Supp

12. Turkman, M. A., Turkman, K. F., de Zea Bermudez, P., Pereira, S., Pereira, P. & de Carvalho, M. (2021)
"Calibration of the Bulk and Extremes of Spatial Data"
Revstat—Statistical Journal, 19, 309–325.
BibTeX

13. 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

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

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

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

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

18. 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

19. 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 R package: extremis

20. 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

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

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

23. 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

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

25. 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

26. 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

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

28. 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 •

29. 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.
R package: extremis • BibTeX Code Shiny •

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

31. 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

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

Forecasting, Applied Econometrics and Risk Analysis

33. de Carvalho, M. & Martos, G. (2022)
"Modeling Interval Trendlines: Symbolic Singular Spectrum Analysis for Interval Time Series"
Journal of Forecasting, 41, 167–180.
• BibTeX Supp R package: ASSA

34. de Carvalho, M. & Martos, G. (2020)
"Brexit: Tracking and Disentangling the Sentiment Towards Leaving the EU"
International Journal of Forecasting, 36, 1128–1137.
BibTeX R package: ASSA

35. 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

36. 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

37. 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

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

39. de Carvalho, M. & Marques, F. (2012)
"Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho"
North American Actuarial Journal, 16, 487‒492.
• BibTeX Code R package: spearmanCI

Applied Mathematical Modeling

40. Svetlosak, A. & de Carvalho, M. & Calabrese, R. (2023)
"Subject-to-Group Statistical Comparison for Open Banking-type Data"
Journal of the Operational Research Society, 74, 703–718.
• BibTeX Supp

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

42. 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

Applications

43. Inacio, V., de Carvalho, M., Jackson, O., McMahon, S. & Cockell, C. (2024)
"The Need for Large Sample Numbers to Demonstrate Lifeless Martian Environments"
Nature Astronomy, 8, 1493–1495.
BibTeX

44. 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

Book Chapters

45. 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

46. 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

47. 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

48. Richards, J., Lee, J., Carcaiso, V. & de Carvalho, M. (2024)
"Discussion of «Inference for extreme spatial temperature events in a changing climate with application to Ireland» by Healy, D., Tawn, J., Thorne, P. & Parnell, A."
Journal of the Royal Statistical Society, Ser. C, 74, 307–309.
BibTeX

49. de Carvalho, M., Kumukova, A. & Palacios Ramirez, V. (2023)
"Discussion of «The Importance of Context in Extreme Value Analysis with Application to Extreme Temperatures in the USA and Greenland» by Clarkson, D., Eastoe, E. & Leeson, A."
Journal of the Royal Statistical Society, Ser. C, 72, 853–854.
BibTeX

50. 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.
BibTeX

51. 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

52. 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

53. 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

54. 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

55. 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

56. 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

Asymptotic envelopes for stable process over different centering measures
‡Ramirez et al (2024, Bayesian Anal)

Time-varying extremal dependence in stock markets
‡Lee et al (2024, JRSS C)

Regression manifolds
‡de Carvalho et al (2022, Extremes)

Learning about phase variation of point processes
‡Galasso et al (2022, Elec J Statist)

A Bayesian LASSO for black swan events
‡de Carvalho et al (2022s, JABES)

Learning about interval trendlines
‡de Carvalho and Martos (2022, J Forecasting)

The 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)