My current research focus is on sequential Monte Carlo (SMC) algorithms. More specifically, I am interested in developing algorithms to tackle the filtering problem in high-dimensions and under model misspecification using SMC. More generally, my interests span computational statistics and machine learning. I maintain a research blog called almost stochastic, from where you can get a fair idea about my interests.
10 April 2017: Between 10-13 April 2017, I am attending to the Spring School and Workshop on Volatility Dynamics and Option Prices and Econometrics of Intraday Data organised by the Bernoulli Center at EPFL in Lausanne, Switzerland.