Matteo Iacopini

I am a Marie Sklodowska-Curie research fellow at the Department of Econometrics and Data Science at Vrije Universiteit Amsterdam. I received a joint PhD in Economics and Mathématiques Appliquées from Ca' Fosacri University of Venice and Université Paris 1 Panthéon-Sorbonne, respectively.

My research mainly focuses on the development of statistical models for high-dimensional and complex data in a time series setting, using tensor calculus and a Bayesian approach. Other areas of my ongoing research include tensor calculus in statistics, Bayesian nonparametrics, discrete time series, and dynamic networks. While I am primarily motivated by applications in economics and finance, I am enthusiastic about interesting data problems in any field.

Research interests

  • Bayesian statistics
    hierachical models, nonparametric models
  • Tensor calculus in statistics
    tensor decompositions, tensor modelling in statistics
  • Dynamic networks
    estimation, modelling and forecasting
  • Functional data analysis
    multivariate functional time series models
  • Count time series
    univariate and multivariate modelling
  • Econometrics
    time series, state space models, hidden Markov models