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About me:
About me:
I am PhD student in statistics at Universitat Pompeu Fabra (UPF) and Universitat Politècnica de Catalunya (UPC). My advisors are David Rossell and Piotr Zwiernik .
Prior to joining UPF, I was a research intern at Marta Melé's lab in the Barcelona Supercomputing Center, working on transcriptomics. In past lives, I was a quantitative finance analyst working on all kinds of risks (climate, market, credit, liquidity, operational, fair lending) for large and midsize banks in the US.
Research interets:
Research interets:
My current work focuses on high-dimensional inference at crossroads between Bayesian and frequentist theory.
One line of work has been designing better penalty functions for settings where external / prior information is available on the sparsity of the vector of parameters e.g. data integration, sequential problems.
A second line of work is sparse bandit theory. I study regret bounds under sparsity assumption in non parametric settings.
From my professional and academic experience, I also developed interests in: nonparametrics, causality, graphs and networks, extreme values and learning under fairness constraints.
News:
News:
Happy to announce I'll be moving to Bocconi University in Milan in September 2025 for a postdoctoral position.
I presented our work on external information-based and nonexchangeable penalties for high-dimensional inference at CMStatistics 2025 in London, met nice people and great discussion! Here is a link to the presentation
I will go to my first ISBA this 2024 in Venice 🛶! I will be talking at an invited session on Theory and methods for data integration with real and very good Bayesians. I'll my put on my full Bayesian mask 🎭 and rock the carnival.
I reviewed for UAI 2024, my first time as a reviewer! Read interesting works. I also had one that was completely bogus in my opinon, luckily it was rejected.
Yayyy, it's going to be a very busy December (both 😃 and 😭). I received funding to attend the Workshop “Bayesian Statistics and Statistical Learning: New Directions in Algebraic Statistics” organised at IMSI (Chicago) this December 2023. I have been working on my algebra, I am ready 😈.
Aquesta és pels locals. Presentaré al Congrès XL de la SEIO a Elx aquest novembre 2023. Será segurament el mateix tema que a Lisboa (aquí abaix ⬇️): informació externa per a selecció de variables amb més concentració en la integració de dades aquest cop.
I won an student award 😳 to present at the upcoming ICSDS in Lisbon this December 2023. I will be talking about my work on external information and blockwise regularisation for sparsity recovery.
=> You might be interested if you like high-dimensional problems, L0 regularization / information criteria, variable selection in sequential or data integration settings, or stuff that works both the Bayesian and the frequentist ways.I was in Chicago this September ✈️ to attend the workshop "Invitation to Algebraic Statistics and Applications" at IMSI. It was hard but I discovered an entire new stream of fascinating theory and a beautiful community of algebraists 👫👭. Can't wait to buff up my algebra skills.
Attended the StatML 2023 summer school organised by Oxford University, Imperial College and Bocconi University. I really enjoyed the courses, both Murphy's on statistical inference in reinforcement learning and Rudi's on optimization! I also got to meet many fellow phds and young academics, I had a blast. Highly recommend.
Publications:
Publications:
Flynn H., Olkhovskaya J., Rognon-Vael P., Sparse Nonparametric Contextual Bandits (link).
Rognon-Vael P., Rossell D., Zwiernik P., Improving variable selection properties by using external data (link, poster, slides).
García-Pérez R., Ramirez J.M., …, Rognon P. J. , …, Melé M. (2023), “The landscape of expression and alternative splicing variation across human traits”, Cell Genomics, 3(1), 100244 (link).
Talks:
Talks:
CMStatistics 2024 - Organized session: Advances in Bayesian high-dimensional inference (Dec. 2024)
ISBA 2024 - Invited session: Theory and methods for data integration (Jun. 2024)
ICSDS 2023 - Student travel award session: External information and blockwise regularisation for sparsity recovery (Dec. 2023)
SEIO 2023 Congress - invited session: Statistical inference with external information: high-dimensional data integration (Nov . 2023)
Teaching:
Teaching:
Introductory course in probability, statistics and algebra of the Master's in Data Science, Barcelona School of Economics, 2021 - 2024 (material to be published here soon)
Bayesian/frequentist high-dimensional regression and double machine learning, Barcelona School of Economics Summer School, 2023 and 2024
Introduction to Python and R programming, Barcelona School of Economics, 2022 and 2023
Lab seminars of the Statistical Inference and Modelling course of the Master's in Data Science, Barcelona School of Economics, 2021 and 2023
Contact:
Contact:
Department of Economy and Business, Universitat Pompeu Fabra
Ramon Trias Fargas, 25-27, 08005 Barcelona
Office: 23.101
Email: firstname . rognon @ gmail . com
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