Experience

 
 
 
 
 
August 2016 – Present
Stavanger

PhD Student

University of Stavanger

Research areas:

  • Bayesian inference for non-linear dynamic econometric models.
  • Hamiltonian Monte Carlo
 
 
 
 
 
August 2016 – Present
Stavanger

Research assistant

University of Stavanger

  • STA100: Probability and Statistics 1
  • STA510: Statistical modeling and simulation
 
 
 
 
 
June 2014 – July 2014
Stavanger

Summer intern

SpareBank 1 SR-Bank - Credit control

Responsibilities include:

  • Optimizing auto-generated commercial property credit risk reports
  • Coding in SQL and VBA (Excel)

R

100%

Statistics

100%

Golf

80%

Recent Posts

Continuing from my previous post, I now focus on detailed match statistics, rather than the available aggregate data. By scraping very detailed data from each match of the 2018/2019 Norwegian hockey season, my goal is to present aggregate data that …

I wanted to visualize the personal statistics for the hockey players of Stavanger Oilers, for the 2018/2019 season. The data material is scraped from both Elite Prospects and Hockey live (regular season and playoffs), using the R-package rvest, as …

This post regards my MS_VAR Github repository, which contains code used in the following paper: Osmundsen, Kjartan Kloster, Tore Selland Kleppe, and Atle Oglend. “MCMC for Markov-switching models—Gibbs sampling vs. marginalized likelihood.” …

Recent Publications

Estimates Markov-switching vector autoregressive models by combining marginal likelihood and Hamiltonian Monte Carlo.

Combining pseudo-marginal Hamiltonian Monte Carlo with Efficient Importance Sampling, to sample from target distributions with strong nonlinear dependencies.

A statistical analysis that examines the consequences of basing the Basel Committee’s minimum capital requirement function for banks’ credit risk on expected shortfall, a switch that has already been set in motion for market risk regulation.

Recent Talks

Contributed talk, National Chung Hsing University, Taiwan.

Poster presentation, University of Warwick.

Contributed talk, City University of Hong Kong.