Professor of Statistics
About
I am interested in stochastic processes and time series analysis. In particular, processes with infinite variance, stable distributions. I study their stochastic and statistical properties and develop methods for their computer simulation.
I am also interested in various aspects of the long-range dependence phenomenon. Its modeling in the finite and infinite variance situations and its statistical study. In that context, I have done some work on the estimation of the Hurst long-range dependence parameter by using wavelets.
Courses Taught
Research Areas(s)
- Time Series and Longitudinal Data, Inference for Stochastic Processes, Limit Theorems for Markov Chains and Stochastic Processes, Extreme-Value Theory, Long-range Dependence, Stochastic Finance, Computer and Communication Networks
