Mohsen Pourahmadi

My research is focused on modeling dependence (covariances) in multivariate and time series data using covariates. The goal is to develop machinery for covariance matrices just like the powerful generalized linear models (GLM) for the mean vector developed over two centuries. The key ideas and tools I rely on are from prediction theory, time series analysis and theory of stochastic processes. My interest in applications includes financial data analysis, analysis of longitudinal and panel data, data mining, classification and clustering, fMRI and high-dimensional data.