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About me:
About me:
I am a postdoc in Botond Szabo's research group at Bocconi University.
Prior to joining Bocconi University, I was a PhD student at Universitat Pompeu Fabra (UPF) and Universitat Politècnica de Catalunya (UPC) advised by David Rossell and Piotr Zwiernik. Before that, 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 from the USA.
Research interests:
Research interests:
My current work focuses on transfer learning and high-dimensional inference at crossroads between Bayesian and frequentist theory.
From my professional and academic experience, I also developed interests in: covariance matrix sampling, federated learning, causality, graphs, extreme values and genomics.
News:
News:
Happy to announce I'll be moving to Bocconi University in Milan in September 2025 for a postdoctoral position.
I won the Fundació Ferran Sunyer i Balaguer scholarship and will be visiting the University of Toronto in the Spring of 2024!
I won a 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.
Publications (preprints, journal and conference papers):
Publications (preprints, journal and conference papers):
Rognon-Vael P., Rossell D., E-Values For Multiplicity Control In Multiverse Analysis (link).
Rognon-Vael P., Rossell D., Empirical Bayes for Data Integration, TEST (discussion paper) (link).
Flynn H., Olkhovskaya J., Rognon-Vael P., Sparse Nonparametric Contextual Bandits, Algorithmic Learning Theory 2026 (link).
Rognon-Vael P., Rossell D., Zwiernik P., Improving variable selection properties with data integration and transfer learning (link).
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:
European Meeting of Statisticians, August 2026, contributed talk.
ISBA World Meeting, July 2026, contributed talk.
ISNPS, July 2026, invited talk.
CMStatistics, December 2024, invited talk.
ISBA World Meeting, June 2024, invited talk.
ICSDS, Dec. 2023, student award session.
SEIO Congress, November 2023, invited talk.
Teaching:
Teaching:
Introductory course in probability, statistics and algebra of the Master's in Data Science, Barcelona School of Economics, 2021 - 2024
Bayesian/frequentist high-dimensional regression and double machine learning, Barcelona School of Economics Summer School, 2023-2025
Introduction to Python and R programming, Barcelona School of Economics, 2022-2023
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:
Bocconi Institute for Data Science and Analytics (BIDSA)
Via Röntgen n. 1, Milan 20136
Office: 4.a2.16
Email: firstname . rognon @ gmail . com
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