Søren Wengel MogensenCenter for Statistics
Department of Finance, Copenhagen Business School
swm.fi@cbs.dk
I'm an associate professor of statistics at the Department of Finance, Copenhagen Business School (CBS). Before joining CBS, I was a postdoc at the Department of Automatic Control at Lund University. My position in Lund was funded by an International Postdoctoral Grant from the Independent Research Fund Denmark.
My research focuses on graphical models and causal inference, in particular in stochastic processes. An overarching goal of my work is to develop methods for extracting causal information from partial observation of, e.g., point processes, diffusions, and time series. In collaboration with researchers at the European Spallation Source (ESS), I develop and apply causal inference methods to solve challenging problems at this facility.
We have recently published a dataset from a complex subsystem of the ESS along with the ground-truth causal graph constructed from expert knowledge. This can be used as a causal discovery benchmark for time series methods, data and more information.
The research page contains papers and presentations.