sample of publications

• articles 

  • Selecting the number of factors in multi-variate time series.  JOURNAL OF TIME SERIES ANALYSIS.  2024
  • A testing approach to clustering scalar time series.  JOURNAL OF TIME SERIES ANALYSIS.  44:667-685. 2023
  • Understanding complex predictive models with ghost variables.  TEST.  32:107-145. 2023
  • What drives industrial energy prices?.  ECONOMIC MODELLING.  120:1-14. 2023
  • Comment on Factor Models for High-Dimensional Tensor Time Series.  JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.  118-123. 2022
  • Wavelet estimation for factor models with time-varying loadings.  International Journal of Wavelets, Multiresolution and Information Processing.  20:1-27. 2022
  • 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial.  INTERNATIONAL JOURNAL OF FORECASTING.  37:1333-1337. 2021
  • Sparse estimation of dynamic principal components for forecasting high-dimensional time series.  INTERNATIONAL JOURNAL OF FORECASTING.  37:1498-1508. 2021
  • On a new procedure for identifying a dynamic common factor model = Sobre un nuevo procedimiento para identificar un modelo de factores comunes dinámicos.  Revista Colombiana de Estadistica.  44:1-21. 2021
  • A robust procedure to build dynamic factor models with cluster structure.  Journal of Econometrics.  216:35-52. 2020
  • Agustín Maravall: An interview with the International Journal of Forecasting.  INTERNATIONAL JOURNAL OF FORECASTING.  36. 2020
  • Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series.  TECHNOMETRICS.  61:429-444. 2019
  • Clustering time series by linear dependency.  STATISTICS AND COMPUTING.  29:655-676. 2019
  • Rejoinder on: Data science, big data and statistics.  TEST.  28:363-368. 2019
  • Data science, big data and statistics.  TEST.  28:289-329. 2019
  • Forecasting Multiple Time Series With One-Sided Dynamic Principal Components.  JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.  114:1683-1694 . 2019
  • Las nuevas oportunidades del Big Data para las instituciones financieras.  Papeles de economía española.  78-97. 2019
  • Distance-weighted discrimination of face images for gender classification.  Stat.  6. 2017
  • Fast and robust estimators of variance components in the nested error model.  STATISTICS AND COMPUTING.  27:1655-1675. 2017
  • Generalized Dynamic Principal Components (vol 111, pg 1121, 2016).  JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.  112:465-465. 2017
  • Common seasonality in multivariate time series.  STATISTICA SINICA.  26:1389-1410. 2016
  • Generalized dynamic principal components.  JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.  111:1121-1131. 2016
  • Outlier detection and robust estimation in linear regression models with fixed group effects.  JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION.  84:2652-2669. 2014
  • Suavizamiento controlado de tasas de mortalidad con P-splines: Aplicaciones para México y el Reino Unido = Smoothing controlled mortality rates P-splines: Applications to Mexico and the United Kingdom.  Papeles de Poblacion.  20:99-131. 2014
  • Big data y estadistica: ¿tendencia o cambio?.  Boletin de Estadistica e Investigacion Operativa (Boletin de Estadistica e Investigacion Operativa).  30:313-324. 2014
  • Prediccion de clusters de series temporales demográficas.  MedULA.  22:25-28. 2013
  • Tests for comparing time series of unequal lengths.  JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION.  82:1715-1725. 2012
  • Nearest-neighbors medians clustering.  Statistical Analysis and Data Mining.  5:349-362. 2012
  • A conditionally heteroskedastic independent factor model with an application to financial stock returns.  INTERNATIONAL JOURNAL OF FORECASTING.  28:70-93. 2012
  • Estimating GARCH volatility in the presence of outliers.  ECONOMICS LETTERS.  114:86-90. 2012
  • Identification of TAR Models Using Recursive Estimation.  JOURNAL OF FORECASTING.  30:31-50. 2011
  • Eigenvectors of a Kurtosis Matrix as Interesting Directions to Reveal Cluster Structure.  JOURNAL OF MULTIVARIATE ANALYSIS.  101:1995-2007. 2010
  • Dimension Reduction in Time Series and the Dynamic Factor Model.  BIOMETRIKA.  96:494-496. 2009
  • A Robust Partial Least Squares Regression Method with Applications.  JOURNAL OF CHEMOMETRICS.  23:78-90. 2009
  • Bayesian Likelihood Robustness in Linear Models.  Journal of Statistical Planning and Inference.  139:2196-2207. 2009
  • Coments on Testing for the Existence of Cluster by Fuentes and Casella.  SORT-Statistics and Operations Research Transactions.  153-158. 2009
  • Comments on Invariant Coordinate Selection.  JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS.  3-58. 2009
  • Comparison of Times Series with Unequal Lengths in the Frequency Domain.  COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION.  38:527-540. 2009
  • Modelo factorial dinámico threshold = Threshold Dynamic Factor Model.  Revista Colombiana de Estadistica.  31:183-192. 2008
  • Bayesian Analysis of Dynamic Factor Models: An Application to Air Pollution and Mortality in São Paulo, Brazil.  ENVIRONMETRICS.  19:582-601. 2008

• book chapters 

  • Presentación. In: Análisis econométrico y big data.  FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS). 2021
  • Presentación. In: Nuevo métodos de predicción económica con datos masivos.  FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS). 1-3. 2021
  • Time series segmentation procedures to detect, locate and estimate change-points. In: Empirical economic and financial research: theory, methods and practice.  45-59. 2015
  • Finding outliers in linear and nonlinear time series. In: Robustness and complex data structures.  SPRINGER. 243-260. 2013
  • Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion. In: Economic Time Series: Modeling and Seasonality.  CRC Press & IEEE. 317-336. 2012
  • Robust Henderson III Estimators of Variance Components in the Nested Error Model. In: Modern Mathematical Tools and Techniques in Capturing Complexity.  SPRINGER VERLAG GMBH. 329-339. 2011
  • An Unified Approach to Model Selection, Discrimination, Goodness of Fit and Outliers in Time Series. In: Advances in Mathematical and Statistical Modeling.  Birkhauser. 267-278. 2008

• books 

  • Propuestas para la reforma de la Universidad Española.  FUNDACION ALTERNATIVAS. 2010

• conference contributions 

  • A testing approach to cluster time series.  20-20. 2023
  • Modelling multiple seasonalities of NO2 hourly pollution levels.  57. 2022
  • Cleaning a large set of time series for common, cluster and specific outliers 2017
  • Clustering time series by dependence measures 2017
  • A procedure for clustering time series 2016
  • Common seasonality in multivariate time series 2016
  • Common seasonality in multivariate time series 2016
  • Outlier detection in high-dimensional time series 2016
  • Outlier detection in high-dimensional time series 2016
  • Big data and statistical advances 2015
  • Generalized dynamic principal components 2015
  • Generalized dynamic principal components 2015
  • Robust dynamic principal components 2015
  • Dynamic principal components in the time domain for non stationery time series 2014
  • Dynamic principal components in time domain 2013
  • Factor models for multivariate time series analysis 2013
  • Outlier Detection in ARIMA and Seasonal ARIMA Models by Bayesian Information Type Criteria 2012
  • An Alternative Approach to Robust Small Area Estimation 2011
  • Comparison of Principal Component Analysis and Independent Component Analysis for Financial Time Series 2008
  • Ponencia invitada 2008
  • Robust Discriminant Analysis Based on Partial Least Squares 2008

• working papers 

  • What do international energy prices have in common after taking into account the key drivers? 2020
  • Estimation of the common component in Dynamic Factor Models 2018
  • Clustering Big Data by Extreme Kurtosis Projections 2017
  • Independent components techniques based on kurtosis for functional data analysis 2014
  • Recombining partitions from multivariate data: a clustering method on Bayes factors 2014
  • The change-point problem and segmentation of processes with conditional heteroskedasticity 2013
  • Recombining partitions via unimodality tests 2013
  • Robust Henderson III estimators of variance components in the nested error model 2011
  • Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica 2011
  • Handwritten digit classification 2011
  • Exploring ICA for time series decomposition 2011
  • Clustering and Classifying Images with Local and Global Variability 2009
  • Eigenvectors of a Kurtosis Matrix as Interesting Directions to Reveal Cluster Structure 2009
  • Nearest-Neighbours Median Cluster Algorithm 2009
  • Robust Estimation in Linear Regression Models with Fixed Effects 2009
  • A Multivariate Generalized Independent Factor GARCH Model with an Application to Financial Stock Returns 2008
  • A Methodology for Population Projections: An Application to Spain 2008
  • Estimating and Forecasting GARCH Volatility in the Presence of Outliers 2008