A. Alexandre (Alex) Trindade
My statistical methodology research encompasses two primary areas of focus. [See my CV above for a complete list of published papers and accepted papers in
- Saddlepoint-Based Bootstrap (SPBB). Together with Rob Paige, we
have devised a method to make approximate (but accurate) inference for a (scalar) parameter
where the distribution of the estimator is intractable. If a profile estimating
equation can be derived that is a quadratic form in normal random variables (QEE), a
saddlepoint approximation for the distribution of the QEE can be
obtained. Under monotonicity of the QEE in the parameter, the saddlepoint approximation of the
QEE can be related to that of the estimator, whence p-values can be calculated
or confidence intervals constructed by pivoting the distribution function. The
main paper here is: Paige, Trindade, & Fernando (2009), Scandinavian
Journal of Statistics. This work has been funded by the National Security
Agency. We are currently seeking multivariate (vector parameter) extensions.
- Time Series Modeling. My dissertation topic was on estimators for
multivariate autoregressive (VAR) models. Together with Peter Brockwell,
Richard Davis, and Rainer Dahlhaus, we devised a series of Burg-type estimators
for subset VARs. The
main paper here is: Brockwell, Dahlhaus, & Trindade (2005), Statistica
Sinica. The SPBB approach is applicable here, and one thrust of my
current work is in this direction. Other directions and loose ends currently include
inference under asymmetric Laplace and other skewed distributions, multivariate volatility
modeling, state-space models, and generalized autocorrelation to discriminate between independent
and serially uncorrelated sequences. This latter idea is tied to our paper on
all-pass models, which in the non-Gaussian case generate serially uncorrelated
but dependent sequences: Breidt, Davis, & Trindade (2001), The Annals of Statistics. In recent work, we have extended the state-space model to handle missing values in responses and covariates: Naranjo, Trindade, & Casella (2013), Journal of the American Statistical Association.
Recent Techical Reports
- Some Results for Autoregressive
Moving Average Models Under Exponential Power Distributions, with R.W. Barnard and R.I.P. Wickramasinghe.
- Extensions of Saddlepoint-Based Bootstrap Inference With
Application to the First Order Moving Average Model, with R.L. Paige and R.I.P. Wickramasinghe.
Ph.D. Dissertation (1 MB)
Collaborative Research and Consulting
I have been involved in a number of collaborative research and statistical consulting projects.
- In 2006-2007 I worked with researchers in nuclear and radiological
engineering at the University of Florida to develop statistical models for predicting optimal doses in
patients undergoing radiation treatment. This work resulted in 3
papers with Bolch as senior author (see my CV).
- In 2005 I was contracted by Encision, Inc., for a reliability study on medical
devices. This work resulted in 2 unpublished reports.
- In 2004-2005 I was subcontracted by American Optimal Decisions for a
materials science research project funded by The Institute for Defence
Analysis that aimed to develop new steels. This work resulted in 3 papers
with Uryasev and Macheret as senior authors (see my CV).
- In 2003-2004 I was the primary statistical consultant on a reliability project
with The Boeing Company funded by DARPA. This work resulted in 2
unpublished reports and 3 papers with Uryasev as senior author (see my CV).
Datasets and Software
Finance-Related Links and Software
- Jurgen Doornik's object oriented statistical system Ox, and the companion Ox GARCH package.
- Rmetrics, a
collection of R packages for financial engineering and computational finance.
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