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Associate Professor of Statistics
445C West HallDepartment of StatisticsUniversity of Michigan1085 South UniversityAnn Arbor, MI 48109-1107
Office Location(s): 445C West Hall
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.
Department of Statistics
439 West Hall1085 South University
Ann Arbor, MI