wbnicholson.com

William B. Nicholson

Ithaca, NY 14850. 5/30/15: Updated draft of Structured Regularization for Large Vector Autoregressions with Exogenous Variables. 5/30/15: Added source of BigVAR. 2/12/15: New Paper: Hierarchical Vector Autoregression. 11/18/14: Slides from Student Seminar on High Performance Computing. I am a fourth year PhD Candidate in the Department of Statistics. At Cornell University. I work with David Matteson. On developing regularization methods for multivariate time series.

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Will Nicholson

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William B. Nicholson | wbnicholson.com Reviews

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Ithaca, NY 14850. 5/30/15: Updated draft of Structured Regularization for Large Vector Autoregressions with Exogenous Variables. 5/30/15: Added source of BigVAR. 2/12/15: New Paper: Hierarchical Vector Autoregression. 11/18/14: Slides from Student Seminar on High Performance Computing. I am a fourth year PhD Candidate in the Department of Statistics. At Cornell University. I work with David Matteson. On developing regularization methods for multivariate time series.

<META> KEYWORDS

1 research

2 software

3 blog

4 personal

5 will nicholson

6 phd candidate

7 department of statistics

8 cornell university

9 wbn8@cornell edu

10 linkedin

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William B. Nicholson | wbnicholson.com Reviews

https://wbnicholson.com

Ithaca, NY 14850. 5/30/15: Updated draft of Structured Regularization for Large Vector Autoregressions with Exogenous Variables. 5/30/15: Added source of BigVAR. 2/12/15: New Paper: Hierarchical Vector Autoregression. 11/18/14: Slides from Student Seminar on High Performance Computing. I am a fourth year PhD Candidate in the Department of Statistics. At Cornell University. I work with David Matteson. On developing regularization methods for multivariate time series.

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wbnicholson.com

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Software

http://www.wbnicholson.com/personal.html

My website layout utilizes the 960 grid system. I am interested in sports analytics, particularly football and basketball. In assessing player value, I favor the Value Approximation Method. Developed by mathematician Doug Drinen at Pro-football reference. Which uses "objective" statistics in an attempt to measure a player's NFL success relative to draft position. Additionally, Football Outsiders. Constructed a Defense Adjusted Value over Average.

2

Software

http://www.wbnicholson.com/software.html

Sponsored through Google's "Summer of Code" program, I constructed an R package which allows for the efficient forecasting of high dimensional multivariate time series via regularization methods using both the VARX-L. Frameworks. The package manual is available here. And the package source here. The package is also hosted on Github. A demonstration of some of the capabilities of my package "BigVAR" is now available as a shiny app.

3

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http://www.wbnicholson.com/resume.php

William B. Nicholson. My research interests center around multivariate time series. My current research involves incorporating regularization methods into a vector autoregression framework [. My other projects are oriented toward financial applications, specifically non-Gaussian measures of dependence in finance [. And estimating windows of local stationarity of stock returns in a pairs trading application [. BS Economics, B.S. Mathematical Statistics. Nicholson, W., Matteson, D. and Bien, J.

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PHDS | Cornell University Department of Statistical Science

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Cornell Day of Statistics]. Cornell Day of Statistics 2016. Seats are filled, and registration is closed for the Cornell Day of Statistics. The conference will take place at the Statler Hotel in the J. Willard Marriott Executive Education. Our department offers three programs at the undergraduate and graduate levels. Students can earn a BA in either Biometry or Statistics. The MPS offers students the opportunity to. Welcome to the Department of Statistical Science. Professional Societies and Meetings.

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People | Cornell University Department of Statistical Science

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Cornell Day of Statistics]. Cornell Day of Statistics 2016. Seats are filled, and registration is closed for the Cornell Day of Statistics. The conference will take place at the Statler Hotel in the J. Willard Marriott Executive Education. Our department offers three programs at the undergraduate and graduate levels. Students can earn a BA in either Biometry or Statistics. The MPS offers students the opportunity to. Welcome to the Department of Statistical Science. Professional Societies and Meetings.

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wbnicholson.com

William B. Nicholson

Ithaca, NY 14850. 5/30/15: Updated draft of Structured Regularization for Large Vector Autoregressions with Exogenous Variables. 5/30/15: Added source of BigVAR. 2/12/15: New Paper: Hierarchical Vector Autoregression. 11/18/14: Slides from Student Seminar on High Performance Computing. I am a fourth year PhD Candidate in the Department of Statistics. At Cornell University. I work with David Matteson. On developing regularization methods for multivariate time series.

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