Director of Graduate Studies; Associate Professor of Statistics
My general research interests include time series analysis, spatial statistics, stochastic processes and their applications, robust statistics, extreme value theory, and financial mathematics. The focus of recent research is model fitting and prediction for nonlinear, non-Gaussian processes observed over space and time. This work has applications in the areas of economics and finance, the geosciences, and signal processing.
Rank-based estimation for autoregressive moving average time series models. Journal of Time Series Analysis 29 (2008), 51--73.
Maximum likelihood estimation for alpha-stable autoregressive processes (with M. Calder and R.A. Davis). Annals of Statistics 37 (2009), 1946--1982.
Rank-based estimation for GARCH processes. Econometric Theory 28 (2012), 1037--1064.
Model identification for infinite variance autoregressive processes (with R.A. Davis). Journal of Econometrics 172 (2013), 222--234.